Why would Corporate poses more tracking error when Treasurey have the most difference in Duration?
The answer wasn’t very clear.
Anyone?
spread duration = 0 for Treasury.
So only spread duration counts for tracking error?
Why would Corporate poses more tracking error when Treasurey have the most difference in Duration?
The answer wasn’t very clear.
Anyone?
spread duration = 0 for Treasury.
So only spread duration counts for tracking error?