You Manage $15 Million Hedge Fund Portfolio with Beta =

question 13

Multiple Choice

You manage $15 million hedge fund portfolio with beta = 1.2 and alpha = 2% per quarter. Assume that the risk-free rate is 2% per quarter and the current value of the S&P 500 index = 1200. You want to exploit positive alpha but you are afraid are afraid that the share market may fall and hedge your portfolio by selling the 3-month S&P 500 future contracts. The S&P contract multiplier is $250. When you hedge your share portfolio with futures contracts the value of your portfolio beta is ________.

• A)0
• B)1
• C)1.2
• D)Beta cannot be determined from information given

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Definitions:

Hyperthyroidism

A condition characterized by excessive production of thyroid hormones, leading to an overactive thyroid.

Hypothyroidism

A condition characterized by the underproduction of thyroid hormone by the thyroid gland, leading to symptoms like fatigue, weight gain, and cold intolerance.

Zona Glomerulosa

The outermost layer of the adrenal cortex that secretes mineralocorticoids, such as aldosterone, which regulate electrolyte and water balance.

Adrenal Gland

A pair of endocrine glands located above the kidneys that produce a variety of hormones including adrenaline and cortisol.