You are the manager of a stock portfolio worth $10,500,000. It has a beta of 1.15. During

Question:

You are the manager of a stock worth $10,500,000. It has a beta of 1.15. During the next three months, you expect a correction in the market that will take the market down about 5 percent; thus, your is expected to fall about 5.75 percent (5 percent times a beta of 1.15). You want to lower the beta to 1. A particular stock index futures contract with the appropriate expiration is priced at 425.75 with a multiplier of $500.
a. Should you buy or sell futures? How many contracts should you use?
b. In three months, the has fallen in value to $9,870,000. The futures has fallen to 402.35. Determine the profit and return over the quarter. How close did you come to the desired result? Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...