In a market crash, fixed-income portfolios hedged with short Treasury bonds and futures lose less than those hedged with interest rate swaps given equivalent durations.
这跟FLIGHT TO QUALITY有关吧，In a market crash, treasury bonds and futures will worth even more, which causes loss to short position. while the interest rate swaps will worth less and bring gains. therefore, In a market crash, fixed-income portfolios hedged with short Treasury bonds and futures lose more than those hedged with interest rate swaps given equivalent durations. 请高手指点
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