Dont really understand why Schweser uses the cash duration factor at all times when constructing futures overlay modifying/increasing bond exposures. If you are converting a percent of your equity portfolio to bonds why would not the current duration be “0” as you are not leaving a cash position?!? Your moving your equity position fully into increased bond exposure. Inclusion of the risk free rate factor when calculating synthetic equity (from T Bills) or synthetic Cash (from equity) also seems to be applied somewhat inconsistently - I have seen answers there the risf free rate is not factored into the contracts number determination - anyone else similarly confused or, even better, on top of these find points?
but you are leaving it in cash. that is the whole point. you create syntethic cash by shorting the equity futures. then going long on the bond futures you only need to add to your existing cash duration position
I wanted to confirm that we only account for the duration of cash when moving a bond position to a cash position. Can someone please confirm? Thanks