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Question 2 Table 1 below lists the loadings of UST zero returns on the Level and Slope factors, as explained in the lecture notes. a) Consider a portfolio with equal pv weights 'In each zero. Say $10 in each zero, for a total portfolio value of $100. What is the portfolio dollar loading on the Level factor? What is the portfolio dollar loading on the Slope factor? b) Suppose you tried to hedge the Level risk of a short position in this portfolio with a long position in the 5-year zero. What pv of the 5-year zero would you need to buy to hedge the Level risk of your net position? if you bought this amount of the 5-year zero, what would be the dollar loading of your net position on the Slope factor? Table 1: Factor loadings of UST zeroes 1 (Level) 2 (Slope) Factor var. (A): 567 14 As 96 of total: 96.8% 2.4% Factor vol.: 23.81 3.74 Factor SR: 0.40 0.30 1-year zero q: 0.05 0.19 2-year zero q: 0.11 0.33 3-year zero (1: 0.16 0.39 4-year zero q: 0.22 0.41 5-year zero q: 0.28 0.37 6-year zero q: 0.33 0.24 7-year zero (1: 0.37 0.07 8-year zero (1: 0.41 -0.09 9-year zero q: 0 44 -0.29 10-year zero q: 0.47 -0.50