MSR US 5yr Treasury – Exposure, Dollar Weighted Index
The MSR US 5yr Treasury Dollar Weighted Exposure Index shows the total return of being long one 5YR US TREASURY NOTE futures contract (the “current” contract, which is the most liquid) through time. This is “dollar weighted” because an investor can simply divide the number of dollars they want to invest by the current dollar value of the 5YR US TREASURY NOTE contract and own that number of contracts for perpetuity. The “cash equivalent” version of this index will simulate the total return an investor could receive from a long position in actual US Treasury Notes (including interest) with a rolling 5 year maturity.