Including Futures in a Portfolio Yield-to-Maturity Estimate

Summary

The document addresses whether a futures position used to reduce a bond portfolio’s duration should be included when estimating portfolio yield to maturity. The response says to include it by using the future’s implied yield to maturity and assigning that yield the position’s relevant portfolio weight in the weighted calculation.

This is a concise prescription rather than a full derivation. It does not specify how to define the weight, handle futures exposure relative to cash holdings, or reconcile the result with a terminal-date portfolio cash flow, so the answer should be read as a Bloomberg-field-based method for the stated calculation rather than a universal portfolio-yield convention. The source identifies the relevant Bloomberg field but provides no worked example or validation.

Key ideas

• A futures position used in portfolio duration management may be included in the portfolio YTM calculation.
• Use the future’s implied yield to maturity and apply its relevant portfolio weight in the weighted average.
• The answer does not detail weight conventions or establish a general YTM methodology.

Tags

# YTM calculation of a portfolio


# YTM calculation of a portfolio












Should I take in count future which are used to lower the duration to calculate the portfolio's YTM ? (Bloomberg calculate portfolio's YTM without Future)

Im currently doing the weighted average. I also take in count future.

If the calculation change with future, what would be the correct formula ?

## Answer by Fidelio (score 1)

https://quant.stackexchange.com/a/70262

Yes. Take the implied yield to maturity of the future (field on BBG: FUT_CTD_EQV_YLD ) and put it in the formula, with the relevant weight.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.