Fill the green box

Futures at Fair Value, Market Change =0

Futures Below Fair Value, Market rises

S&P 500 Synthetic Index Fund Market Data S&P 500 Index Level Interest Rate Dividend Yield Days to maturity Futures Fair Value Futures Price Quote Contract Size Funds available for investment Number of futures to use 1282.62 5. 10% 1.80% 365 0.00 $30, 141,570.00 Futures Quote: 1324.90 SPX final = Strategy 2 - Synthetic Index Fund 30,141,570.00 Starting Cash 30, 141,570.00 Invest Cash Receive Interest Settle Future Final Portfolio Value, Vf Source = ??? Scenario 1: Index Change = 0 Strategy 1 - Stock Index Fund Starting Cash Buy SPX portfolio Receive Dividends Capital Gains on Portfolio Final Portfolio Value Strategy 2 - Strategy 1 = 1282.62 Strategy 2 30,141,570.00 30,141,570.00 Scenario 3: Futures Below Fair Value @ t = 0 Strategy 1 - Stock Index Fund Funds available for investment Buy SPX portfolio Receive Dividends Capital Gains on Portfolio Final Portfolio Value Strategy 2 - Strategy 1 = Futures Quote: 1300.80 SPX final = Strategy 2 - Synthetic Index Fund 30,141,570.00 Funds available for investment 30,141,570.00 Invest Cash Receive Interest Settle Future Final Portfolio Value So Strategy 2 has Alpha 1300.55 Strategy 2 30,141,570.00 30,141,570.00