A portfolio manager oversees a $1 billion U.S. equity portfolio and wants to use the standard S&P
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Question:
A portfolio manager oversees a $1 billion U.S. equity portfolio and wants to use the standard S&P 500 futures to hedge the entire portfolio. Assume the portfolio has a beta of 1.10 to the S&P 500 Index. Assume next months S&P 500 futures contract has a current level of $3610.00
- What is the current contract notional amount?
- How many futures contracts does the portfolio manager need to purchase?
Related Book For
Advanced Accounting
ISBN: 9781260247824
14th Edition
Authors: Joe Ben Hoyle, Thomas Schaefer, Timothy Doupnik
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