Question
You own a $20M equity portfolio with a beta 0.8. S&P 500 is expected to drop by 63 points. You short S&P 500 futures to
You own a $20M equity portfolio with a beta 0.8. S&P 500 is expected to drop by 63 points. You short S&P 500 futures to hedge. Futures contract multiplier 250. If S&P500 drops by 63 points, calculate what is the dollar change in your futures position, per contract?
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Survey of Accounting
Authors: Edmonds, old, Mcnair, Tsay
2nd edition
9780077392659, 978-0-07-73417, 77392655, 0-07-734177-5, 73379557, 978-0073379555
