Question
Based on your analyses of the term structure, determine a target beta to hedge again with ASX SPI 200 Index futures over the same three
Based on your analyses of the term structure, determine a target beta to hedge again with ASX SPI 200 Index futures over the same three months period. At the end of the period, close all positions and evaluate the effectiveness of your hedge. Compare the results of this hedge with that using the
portfolio beta. Briefly discuss the merits/demerits of both hedging methods.
Assessment criteria: o Rationale for using the target beta o Correct implementation of hedge, showing full details of transactions o Evaluation of the strategy in comparison to the portfolio hedge earlier. o Is one strategy necessarily superior than the other?
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