If the 1-month and 3-month US rate is lower than these rates in aggregate for the currencies being hedged, then the 1-month and 3-month forex contracts have negative carry instead of positive carry. It seems to me that this would lead to effective duration being higher than the duration of the int'l portfolio, while reducing the yield available to offset the effect of rising interest rates.thanks- can you elaborate a bit please?
If the US short rate falls below a weighted average of the short rates for the currencies involved in BNDX (weighted by the weighting of currencies in the portfolio) things may look very different for BNDX.
Statistics: Posted by Northern Flicker — Wed Nov 19, 2025 12:03 am — Replies 52 — Views 3629