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Client Cs $100 million portfolio contains $60 million in U.S. large-cap stocks, $20 million in U.S. Treasury bills, and $20 million in U.S. Treasury bonds.

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Client Cs $100 million portfolio contains $60 million in U.S. large-cap stocks, $20 million in U.S. Treasury bills, and $20 million in U.S. Treasury bonds. The client wants to create a synthetic cash position because he believes that in three months, the level of the S&P 500 Index will be 925.00, and Treasury bond yields will have declined. 6.) With respect to Client C's market view, Allison will most likely:

A. buy S&P 500 Index Futures and buy U.S. Treasury bond futures

B. sell S&P 500 Index Futures

C. sell U.S. Treasury bond futures

Amy Allison is a fund manager at Gaels Securities. The third quarter ends today, and she is preparing for her quarterly review with her three largest U.S.-based clients. To complete her analysis, she has obtained the market data in Exhibit 1. tExhibit 1 Market Data As of 30 September Level of NASDAQ 100 Index 1223.14 Level of S&P 500 Index Price of December S&P 500 Index$245,750 futures contract Beta of Nasdaq 100 futures contract 1.00 Price of December U.S. Treasury$106,906 bond futures contract Implied modified duration of U.S. 6.87 Treasury-bond futures contract Macaulay duration of U.S. Treasury 7.05 bond futures contract 984.03

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