A fund manages a $4.5 billion equity portfolio with a beta of 0.6. If the S&P contract

Question:

A fund manages a $4.5 billion equity portfolio with a beta of 0.6. If the S&P contract multiplier is $50 and the index is currently at 3,000, how many contracts should the fund sell to make its overall position market neutral?

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For book-img-for-question

ISE Essentials Of Investments

ISBN: 9781265450090

12th International Edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus

See More Books

Question Posted: Nov 22, 2023 03:12 AM

See More Questions

The New Horizon Pension Fund decides to hedge its $40 million stock portfolio on June 1. The portfolio has a beta of 1.10. It will use Nasdaq futures contracts selling at 1,571 to hedge. These...
KYC's stock price can go up by 15 percent every year, or down by 10 percent. Both outcomes are equally likely. The risk free rate is 5 percent, and the current stock price of KYC is 100. (a) Price a...
A. Stock Hedges You manage a well-diversified stock portfolio of $35 million with a beta of 1.6. You want to reduce the portfolio beta to 0.8 using stock index futures. The multiplier of the futures...
On August 31, 2014, Nina Herrera borrowed $5,000 from Second State Bank. Herrera signed a note payable, promising to pay the bank principal plus interest on August 31, 2015. The interest rate on the...
On January 1, 2007 Tabor Company sold land with a book value of $50,000 to Wilson Company, accepting a $60,000 note, payable in three $20,000 annual installments beginning December 31, 2007. The note...
CPF Corporation reported the following results for its first 3 years of operation: Description _____ Amount 2018 income (before income taxes) ...............................$80,000 2019 loss (before...
I:13-41 Sec. 1245. The Pear Corporation owns equipment with a $300,000 adjusted basis. The equipment was purchased six years ago for $650,000. If Pear sells the equipment for the selling prices given...
James and Waymire have a professional service firm that has the following budgeted costs for the current year: Associates salaries . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ....
Question 34 2.5 pts Which of the following is correct regarding available-for-sale securities? Available-for-sale securities are reported at fair value on the balance sheet, and unrealized gains and...
Calculate the net advantage of the stock versus bond investment, but now assume that the horizon is 30 years instead of 5 years.
Analyze the betas of the convertible arbitrage fund index in Table 20.2. Based on these results, are these funds typically market neutral? If not, do their factor exposures make sense in terms of the...
Jill Lee starts her business on 1 January with 15,000 in the bank. Her plans for the first six months are as follows. (a) Payments for goods will be made one month after purchase: (b) All revenue...
How do different generational cohorts within the workforce perceive and contribute to organizational culture, and what steps can organizations take to create a cohesive culture that bridges...
How do various tools and techniques such as adding slack (padding estimates) or project buffers help project managers perform duration estimates? What are some ethical considerations when using slack...
How do you assess the managerial challenge posing the decision of having an organization-wide uniform package of compensation and benefits in the present context of organizations having diversity of...
what you have to do is make order decisions based on the sales, stock, and delivery cycle of each item. You are making decisions of marking orders from suppliers, and they will deliver the item next...
How do advanced relaxation techniques, such as progressive muscle relaxation or guided imagery, contribute to a comprehensive stress management plan ?
Consider the following program segment, where i, j, k, n, and counter are integer variables and the value of n (a positive integer) is set prior to this segment. counter : = 0 for i : = 1 to n do for...
What are the main distinctions between the different schools of legal interpretation?
What is the Treynor performance measure for portfolio P?
Which of the following statements about Primos global fund is most correct? Primo appears to have a positive currency allocation effect as well as a. A negative market allocation effect and a...
If Primo decides to use return-based style analysis, will the R2 of the regression equation of a passively managed fund be higher or lower than that of an actively managed fund?
The major justification for adding Step 0 to the U.S. GAAP impairment test for goodwill and indefinite lived intangibles is that it: A. Saves money spent estimating fair values B. Results in more...
Regarding research and experimental expenditures, which of the following are not qualified expenditures? 3 a. costs of ordinary testing of materials b. costs to develop a plant process c. costs of...
Port Ormond Carpet Company manufactures carpets. Fiber is placed in process in the Spinning Department, where it is spun into yarn. The output of the Spinning Department is transferred to the Tufting...

A fund manages a $4.5 billion equity portfolio with a beta of 0.6. If the S&P contract

Question:

Step by Step Answer:

Steps to solve 1 Calculate the portfolios current exposure to the market po...View the full answer

ISE Essentials Of Investments

Students also viewed these Business questions