A $100 million portfolio has a beta of 1.20. The S&P500 index is currently at 3,825.00...
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A $100 million portfolio has a beta of 1.20. The S&P500 index is currently at 3,825.00 points. The index dividend yield is 1.50%, and the risk-free rate is 1.0%. The six months' future contract is 3,815.45. Use the mini SP500 contract with $50 multiple. a. Determine the number of contracts to buy or sell (?) to the portfolio using the above future contract against a market decline. b. One of the portfolio directors would like instead to raise the portfolio market exposure. He considers a beta of 1.80 as more appropriate. Can he do it with futures contracts? How many future contracts does he need to trade? Buy or sell? A $100 million portfolio has a beta of 1.20. The S&P500 index is currently at 3,825.00 points. The index dividend yield is 1.50%, and the risk-free rate is 1.0%. The six months' future contract is 3,815.45. Use the mini SP500 contract with $50 multiple. a. Determine the number of contracts to buy or sell (?) to the portfolio using the above future contract against a market decline. b. One of the portfolio directors would like instead to raise the portfolio market exposure. He considers a beta of 1.80 as more appropriate. Can he do it with futures contracts? How many future contracts does he need to trade? Buy or sell?
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Related Book For
Financial Reporting Financial Statement Analysis and Valuation a strategic perspective
ISBN: 978-1337614689
9th edition
Authors: James M. Wahlen, Stephen P. Baginski, Mark Bradshaw
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