Question
A fund manages a $1.5 billion equity portfolio with a beta of .85. If the S&P contract multiplier is $250 and the index is currently
A fund manages a $1.5 billion equity portfolio with a beta of .85. If the S&P contract multiplier is $250 and the index is currently at 750, how many contracts should the fund sell to make its overall position market neutral?
What is the Number of Contracts?
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The Wealthtech Book The FinTech Handbook For Investors Entrepreneurs And Finance Visionaries
Authors: Susanne Chishti, Thomas Puschmann
1st Edition
1119362156, 978-1119362159
