You Own a Portfolio Which Is Valued at $14

question 60

Multiple Choice

You own a portfolio which is valued at $14.5 million and which has a beta of 1.54. You would like to create a riskless portfolio by hedging using S&P 500 futures contracts. The contract size is $250 times the index level. How many futures contracts do you need to acquire if the current S&P 500 index is 1418?

• A) short 68 contracts
• B) short 41 contracts
• C) long 41 contracts
• D) long 57 contracts
• E) short 63 contracts

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Definitions:

American Exports

Goods and services produced within the United States that are sold to buyers in other countries, contributing to the nation's economy.

Immigration Restriction League

An organization founded in 1894 in the United States that advocated for limiting immigration into the U.S., particularly from certain ethnicities deemed less desirable.