You Manage $15 Million Hedge Fund Portfolio with Beta =

question 18

Multiple Choice

You manage $15 million hedge fund portfolio with beta = 1.2 and alpha = 2% per quarter. Assume the risk free rate 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 stock 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.
-When you hedge your stock 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:

Radical Democrats

A faction within the Democratic Party, or a reference to individuals advocating for profound political, economic, or social reforms.

Direct Action

A strategy of political activism that seeks immediate remedy to perceived injustices, often through methods that bypass traditional channels like negotiation or legislation, including strikes, sit-ins, or blockades.

Wade-ins

A form of protest used during the Civil Rights Movement where African Americans would enter segregated swimming areas in order to challenge and protest racial segregation.