Question
S&P 500 is now at 2,100. Ignore interest rate (assume everything is given in PV terms). Suppose you own a $20M portfolio with a beta
S&P 500 is now at 2,100. Ignore interest rate (assume everything is given in PV terms). Suppose you own a $20M portfolio with a beta of 0.9. S&P 500 is expected to drop by 3% (or by 63 points, 3% 2,100 = 63). Futures on S&P500 have a multiplier 250.
If S&P500 drops by 63 points, what is the dollar change in the portfolio value?
| $600,000 increase | ||
| $540,000 increase | ||
| $600,000 drop | ||
| $540,000 drop |
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Small Business Finance And Valuation
Authors: Rick Nason, Dan Nordqvist
1st Edition
1952538122, 9781952538124
