USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)

question 66

Multiple Choice

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
Consider a portfolio manager with a $20,500,000 equity portfolio under management. The manager wishes to hedge against a decline in share values using stock index futures. Currently a stock index future is priced at 1250 and has a multiplier of 250. The portfolio beta is 1.25.
-Refer to Exhibit 15.10. Assume that a month later the equity portfolio has a market value of $20,000,000 and the stock index future is priced at 1150 with a multiplier of 250. Calculate the profit on the stock index futures position.

• A) $1,550,000
• B) -$2,000,000
• C) $2,050,000
• D) -$5,000,000
• E) $2,400,000

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Definitions:

Reproductive Base

Of a population, members of the reproductive and pre-reproductive age categories.

Plot Sampling

Using demographics observed in sample plots to estimate demographics of a population as a whole.

Per Capita Growth Rate

Refers to the rate of population growth per individual within a given time frame, often used to assess changes in population size relative to the current population.