You Own a Portfolio Which Is Valued at $6

question 86

Multiple Choice

You own a portfolio which is valued at $6.4 million and which has a beta of 1.27.You would like to create a riskless portfolio by hedging with S&P 500 futures contracts.The contract size is $250 times the index level.How many futures contracts are needed if the current S&P 500 index is 1406?

• A) short 16 contracts
• B) short 18 contracts
• C) short 23 contracts
• D) long 18 contracts
• E) long 23 contracts

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Definitions:

Future Search Conferences

Collaborative planning meetings that bring people from various backgrounds together to discuss and plan for future actions and strategies.

Build Commitment

The process of fostering dedication and loyalty toward a group, project, or organization, ensuring stakeholders are aligned and motivated towards common goals.

Organizational Change

The process by which organizations transform their structure, strategies, policies, processes, or culture to adapt and grow.

Organizational Systems

A framework of social arrangements to meet business or organizational goals, which includes rules, roles, and responsibilities.