The total market value of your portfolio is $20,000,000 and the beta of the portfolio is 1.6. It is 3/23 and you want to hedge till 5/15. You have the following contracts on the S&P500 index available to you. The correlation between your portfolio and the S&P500 index is +.90.

Which of the following provides the optimal hedge?

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Maturity March June September December futures value 2720 2740 2850 2780 Maturity March June September December futures value 2720 2740 2850 2780

Answer rating: 100% (QA)

Answer To determine the optimal hedge we need to calculate the hedge ratio and the number of contrac... View the full answer