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Assume You have $2 B of SPX (beta 1.0 ), the following futures contracts are available (ES). The ndex is 4045 . You wish to
Assume You have $2 B of SPX (beta 1.0 ), the following futures contracts are available (ES). The ndex is 4045 . You wish to synthetically RAISE the beta to 1.8. Indices Futures Contract Specifications Sun, Mar 5th, 2023 Help ? Indices a. How many contracts are needed? b. What is the impact to the stock portfolio if the market rises by 0.75% ? c. What is the impact to the futures portfolio if the market rises by 0.75% ? d. Add b and c together. e. What is the impact of the desired portfolio? ( 2BX1.8X0.75% ) f. Subtract de, it should equal zero
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