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
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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Focus On Personal Finance
Authors: Jack Kapoor, Les Dlabay, Robert Hughes
3rd Edition
0073382426, 9780073382425
