$20$ Assignment $($i$)$

$11$

The following is part of the computer output from a regression of monthly returns on Waterworks stock against the SAP $500$ index. A hedge fund manager believes that Waterworks is underpriced, with an alpha of $1\%$ over the coming month.

Help

fere $8$ Cx

Submit

$\backslash$table$[[$lieta$.,$Il$.$square.,Stantwry" Devation of Besiduals$],[0\mathrm{.}75,0,65,6.$es $($i$.$e$.,58$ monthly$)]]$

Required:

look

a$.$ If the fund holds a $$12\mathrm{.}0$ million position in Waterworks stock and wishes to hedge market exposure for the next month using it$-$

int month maturity S$20$ Assignment $($i$)$

$11$

The following is part of the computer output from a regression of monthly returns on Waterworks stock against the SAP $500$ index. A hedge fund manager believes that Waterworks is underpriced, with an alpha of $1\%$ over the coming month.

Help

fere $8$ Cx

Submit

$\backslash$table$[[$lieta$.,$Il$.$square.,Stantwry" Devation of Besiduals$],[0\mathrm{.}75,0,65,6.$es $($i$.$e$.,58$ monthly$)]]$

Required:

look

a$.$ If the fund holds a $$12\mathrm{.}0$ million position in Waterworks stock and wishes to hedge market exposure for the next month using it$-$

int month maturity S