I've read through this thread and tried very hard to understand the difference between using SOFR futures and treasury futures, e.g. ZT, for STT exposure in implementing mHFEA. One thing that doesn't seem clear to me after reading through the discussion is: if you use a SOFR future for your STT allocation, does that mean you're foregoing term premium compared to a duration-equivalent allocation of treasuries? That is at least my naive intuition for why there's an increasing spread between SOFRs and treasuries as you move to the long end of the curve.
This seems too simple of an explanation, so I'm happy to learn how exactly I've misunderstood the two different forward curves.
This seems too simple of an explanation, so I'm happy to learn how exactly I've misunderstood the two different forward curves.
Statistics: Posted by marbie — Mon Apr 22, 2024 4:29 pm