Hi Raghav. Thanks for writing in. I roll the future every quarter. Technically I should be watching for slight changes in the hedging ratios mid-roll, but in the real-world, it doesn't matter enough. The TIPS issue I buy and just let cook.
If you bought the TIPS issue and shorted the nominal bond, you wouldn't need to roll anything.
Novice to bonds here, do you have to constantly roll this to avoid the coupons and potential issues they might pose?
Hi Raghav. Thanks for writing in. I roll the future every quarter. Technically I should be watching for slight changes in the hedging ratios mid-roll, but in the real-world, it doesn't matter enough. The TIPS issue I buy and just let cook.
If you bought the TIPS issue and shorted the nominal bond, you wouldn't need to roll anything.
Thanks - have a great night,
Kev