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The current price of the Exchange Traded Fund YHT, which does not pay dividends, is $58.25 per share. Your position, worth 46600 dollars, consists entirely
The current price of the Exchange Traded Fund YHT, which does not pay dividends, is $58.25 per share. Your position, worth 46600 dollars, consists entirely of YHT shares. The effective 3-month interest rate is 1% and futures contracts on YHT with 3-month maturity are trading at fair value. To protect your position against potential losses, you decide to partially hedge by selling 720 YHT futures that expire in 3 months. You have built a proprietary model according to which the 3-month net return on YHT will be between -17% and 20%. What is the lowest possible value of your combined position in 3 months based on your model? $ 42066.75 $ 49000.83 $ 49463.10 Correct Answer $ 46227.20 The current price of the Exchange Traded Fund YHT, which does not pay dividends, is $58.25 per share. Your position, worth 46600 dollars, consists entirely of YHT shares. The effective 3-month interest rate is 1% and futures contracts on YHT with 3-month maturity are trading at fair value. To protect your position against potential losses, you decide to partially hedge by selling 720 YHT futures that expire in 3 months. You have built a proprietary model according to which the 3-month net return on YHT will be between -17% and 20%. What is the lowest possible value of your combined position in 3 months based on your model? $ 42066.75 $ 49000.83 $ 49463.10 Correct Answer $ 46227.20
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