Question
Changing Portfolio's Beta: Now its Jan 1. A fund manager has a portfolio worth $8 million with a beta of 0.92. The manager wants to
Changing Portfolio's Beta: Now its Jan 1. A fund manager has a portfolio worth $8 million with a beta of 0.92. The manager wants to completely remove market risk (change beta to zero). How many April S&P futures does he need to SHORT? The current index level is 3800, contract multiplier is 250. The current April S&P futures price is 3,851.
Round your answer to the nearest integer and answer it as a positive number as you cannot short negative number of contracts.
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Take The Trade A Floor Trade
Authors: Tony Wilson
1st Edition
979-8218195458
