美联储：达到国债市场的持续时间和杠杆率（英文版）

We show substantial variation in mutual funds’ use of Treasury futures, both over time and across funds. This variation from mutual funds drives much of the time series variation in aggregate Treasury futures open interest, including over 60% of the recent rise in Treasury futures positions. We provide evidence these Treasury futures positions are largely attributable to mutual funds “reaching for duration” in order to track the duration of a benchmark index with high cash Treasury exposure.