Question
Suppose we have a $5M portfolio that has a beta of .77. You decide to hedge this portfolio using S&P 500 equity index futuress. The
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Suppose we have a $5M portfolio that has a beta of .77. You decide to hedge this portfolio using S&P 500 equity index futuress. The S&P 500 index is currently at 3,557.54. You short S &P 500 equity index futures at 3551.50.
Suppose the S&P 500 index drops 3%. How much did we gain on our short futures position?
A. $100.65
B. $5,123.50
C. $100,686.20
D. $553,774.10
Suppose we have a $5M portfolio that has a beta of .77. You decide to hedge this portfolio using S&P 500 equity index futuress. The S&P 500 index is currently at 3,557.54. You short S &P 500 equity index futures at 3551.50.
Suppose the S&P 500 index drops 3%. How much did we gain on our short futures position?
| A. | $100.65 | |
| B. | $5,123.50 | |
| C. | $100,686.20 | |
| D. | $553,774.10 |
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Personal Finance
Authors: Jack Kapoor
12th Edition
125996776X, 9781259967764
