"10Y breakeven shorts with 0.8 beta"

"10Y breakeven shorts with long 80% nominal to eliminate long duration bias"

Are the above two the same, what do they mean?

  • 2
    $\begingroup$ "breakeven long": you are long TIPS and short nominal Treasuries, you profit if the breakeven inflation rate increases (hence the name). "breakeven short": you are short TIPS and long nominal treasuries. 0.8 or 80% refers to how much of the nominal bonds you have for each TIPS. $\endgroup$
    – Alex C
    Dec 19, 2019 at 2:25
  • $\begingroup$ Awesome! Thank you Alex for the explanation. $\endgroup$ Dec 20, 2019 at 3:31


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.

Browse other questions tagged or ask your own question.