A Portfolio Manager Wants to Hedge a Stock Portfolio with a Value

question 26

Multiple Choice

A portfolio manager wants to hedge a stock portfolio with a value of $750 million and a beta of 1.25 with S&P Canada 60 index futures. The quoted price of a six-month futures contract is 1,437.25, and the contract multiplier is $200. How many futures contracts are needed for the hedge?

• A) 2,431
• B) 3,261
• C) 2,527
• D) 2,609
• E) 2,496

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Definitions:

Individual Differences

Individual differences entail the variations or deviations among individuals in regard to a particular characteristic or trait.

Systematic Variation

The deliberate manipulation or alteration of variables in an experiment to observe effects on outcomes, often used in scientific research.

Cognitive Processes

Mental activities involved in acquiring, storing, retrieving, and using information, including perception, memory, language, reasoning, and problem-solving.

Mental Arithmetic Test

A test designed to assess an individual's ability to perform calculations in their head, without the use of external aids.