Managing Risk for Bond Futures

June 29th, 2017, 05:14 PM

Hi, I run a small portfolio where I'm trading bond futures mainly TU, FV, TY, DU OE and RX.

So I've got my risk limit where I only risk 2% of capital on each trade.

One area that worries me is when I've got too many trades on. Does anyone have any suggested ratio for your overall DV01 to capital. I was thinking of a ratio of max 10% at any given time? Or any other suggested risk metrics involving DV01?

Thanks,
Niall

June 29th, 2017, 09:22 PM

You have probably already thought of this, but offsetting long/short positions will skew the number. If I were trading a lot of different instruments like this, I would build a synthetic spread contract of all of your trades and model it's volatility as one big trade. You can get a better feel for your overall exposure that way.

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Managing Risk for Bond Futures

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Managing Risk for Bond Futures