Negative Convexity

Jsnholmes wrote:Can treasury futures have negative convexity?
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No they do not because they lack any prepayment option. That is why shorting treasury futures is an ineffective hedge for hedging mbs. The workaround is a 2-bond hedge, or delta hedging / options.
 
I got it wrong! Thought the exhibit showed negative convexity for the treasury futures.
 
C’mon man, specific questions, really? Respect the nice folk who run this board (not to mention your pledge to CFAI), and DO NOT post information about specific questions.
 
Jsnholmes wrote:I got it wrong! Thought the exhibit showed negative convexity for the treasury futures.
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l thought you were genuinely asking about general concepts in the curriculum.
I think the exhibit you’re referring to is when they show the negative convexity of the mbs hedged with short futures during a low rate environment.
 
You do know that you are violating rules and regulations of both the forum and CFA Institute? I really dont get what people achieve out of doing this. Stop this non-sense and I believe admins should ban people with such attitude.
 
I remember after level I, I hadn’t seen that part of ethics (but still did well and passed).
I learned you aren’t supposed to talk about exam questions thanks to AF (then of course went back and checked the ethics to confirm).
 
we should still be allowed to discuss concepts right, albeit not specific questions? so whats the problem asking if futures can have negative convexity?
 
oneday wrote:
we should still be allowed to discuss concepts right, albeit not specific questions? so whats the problem asking if futures can have negative convexity?
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This is what I don’t understand either.
Suppose for instance I had a question about the time value of money or something and so I start a thread asking about it. Now maybe it was on the exam and maybe it wasn’t but where does it cross the line? I think it’s one thing to say “Oh so I’m a *reference to specific exam question* and I’m trying to *referenece another part of the same exam question* so I think I need to *reference the answer choice* but quite another to discuss a concept in the curriculum where you make no claim about it being or not being on the exam.
 
In theory, sure.
When people say “I got it wrong! Thought the exhibit showed negative convexity for the treasury futures.” it’s quite clear they are NOT asking out of intellectual curiosity.
 
Captain Save A Hoe does ineed…
OP was OK until he referenced an exhibit and clearly a result of the exam.
 
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