Question
A equity fund manager has a portfolio worth $100 million with a beta of 1.27. The current level of S&P 500 index is 2,650. The
A equity fund manager has a portfolio worth $100 million with a beta of 1.27. The current level of S&P 500 index is 2,650. The price of one- month S&P 500 futures contract is 2,680. One contract is on $250 times the index points. What position should the fund manager take if she/he wants to change the portfolio to be a double- leveraged index ETF over the next month?
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Financial Management Theory And Practice
Authors: Eugene F. Brigham, Michael C. Ehrhardt
17th Edition
0357714482, 9780357714485
