Which of the following measures is used in the price sensitivity hedge ratio for bond futures?
A)beta
B)duration
C)correlation
D)variance
E)none of the above

Question

Quizplus · Accepted Answer

The price sensitivity hedge ratio for bond futures is based on duration, which measures the sensitivity of a bond's price to changes in interest rates. Beta measures the volatility of a security relative to the overall market, correlation measures the relationship between two securities, and variance measures the dispersion of returns from their mean. None of these measures are directly used in the price sensitivity hedge ratio for bond futures.

Which of the Following Measures Is Used in the Price