You Manage $15 Million Hedge Fund Portfolio with Beta =

question 14

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 want to hedge your portfolio by selling the 3-month S&P 500 future contracts. The S&P contract multiplier is $250. How many S&P 500 contracts do you need to sell to hedge your portfolio?

• A)25
• B)30
• C)40
• D)50

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Creative

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Either/or Fallacy

A logical fallacy that presents only two options or outcomes when in reality more possibilities exist.

Creative Solutions

Innovative and effective answers or approaches devised to solve problems or challenges.

Open Mode

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