Create an intermarket hedge betting that technology stocks will outperform finance stocks. September Technology stock futures are
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Question:
Create an intermarket hedge betting that technology stocks will outperform finance stocks. September Technology stock futures are trading at 650.13, have a standard deviation of 52% and a 0.8 correlation with the market. September Finance stock futures are trading at 126.4, have a standard deviation of 108.08% and a 0.4 correlation with the market. The market's standard deviation is 18%.
What is your profit on August 15th if you close out your positions with Technology futures at 637 and finance futures at 108.08? Both futures have a $100 multiplier.
Provide your answer rounded to two decimals.
Related Book For
Essentials of Statistics for the Behavioral Sciences
ISBN: 978-1285056340
8th Edition
Authors: Frederick J Gravetter, Larry B. Wallnau
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