Assume you have a $500 million equity portfolio with a beta of 1.2 to the S&P 500.
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Question:
Assume you have a $500 million equity portfolio with a beta of 1.2 to the S&P 500. You want to raise the beta of the portfolio to 1.8 by using futures. You choose to use S&P 500 index futures when the index is at 3000. (That means each contract represents $750,000 of index exposure or 3000 * 250 multiplier). How many future contracts would you use and will you be long or short:
Group of answer choices
Long 800 contracts
Long 400 contracts
Short 400 contracts
Short 333 contract
Related Book For
Financial Accounting Information For Decisions
ISBN: 978-0324672701
6th Edition
Authors: Robert w Ingram, Thomas L Albright
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