Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

QUESTION 2 (20 marks) As a fund manager of PNN Asset Management Berhad, you are managing a RM15,000,000 stock portfolio, consisting blue chips of Malaysian

image text in transcribed

QUESTION 2 (20 marks) As a fund manager of PNN Asset Management Berhad, you are managing a RM15,000,000 stock portfolio, consisting blue chips of Malaysian stocks and the beta for the portfolio is 1.20. The fundamental and technical analysis suggest some indications of temporarily market overheated and the market is expected to slump in the short run. The following information is given: As on September 2021: Current FBMKLCI = 1550 September FBM CI futures = 1530 October FBMKLCI futures = 1520 November FBMKLCI futures = 1515 December FBMKLCI futures = 1510 Annualized dividend yield = 3% (a) Explain how beta would influence your strategy. (4 marks) (b) In September 2021, what is the appropriate strategy for you to do 80% hedging if you plan to hedge until December this year? (Note: state number of contracts, which contract and at what price). (6 marks) (c) In December, the market falls and FBMKLCI reached at 1460 points. Calculate the net profit/loss that you face in both spot and futures market. (Assume dividends are earned over the period). (10 marks)

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image_2

Step: 3

blur-text-image_3

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Accounting Information Systems Connecting Careers Systems And Analytics

Authors: Arline A. Savage, Danielle Brannock, Alicja Foksinska

1st Edition

1119744474, 9781119744474

More Books

Students also viewed these Accounting questions

Question

List the components of the strategic management process. page 77

Answered: 1 week ago