Question
30..A fund with capital of $100m makes a 1.25 times leveraged investment of $125m in stocks with an average beta of 1.2, it partially hedges
30..A fund with capital of $100m makes a 1.25 times leveraged investment of $125m in stocks with an average beta of 1.2, it partially hedges this by selling $75m notional value of index futures (which have a beta of 1.0). What is the gross exposure and the beta adjusted net exposure of the fund?
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Handbook Of Anti Money Laundering
Authors: Dennis Cox
1st Edition
0470065745, 978-0470065747
