USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)

question 49

Multiple Choice

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
Consider a portfolio manager with a $10,000,000 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 1350 and has a multiplier of 250. The portfolio beta is 1.50.
-Refer to Exhibit 15.13. Assume that a month later the equity portfolio has a market value of $10,000,000 and the stock index future is priced at 1300 with a multiplier of 250. Calculate the profit (loss) on the stock index futures position.

• A) -$1,050,000
• B) -$550,000
• C) -$50,000
• D) $550,000
• E) $1,050,000

---

Definitions:

Variability

The extent to which data points in a statistical distribution or data set diverge from the average value.

Brain Wave

Electrical patterns produced by the activity of the brain, often measured by electroencephalography (EEG).

High Amplitude

Refers to waves or signals with a large magnitude or intensity, often used in the context of sound, light, or electrical waves.

Electroencephalogram (EEG)

A test that measures electrical activity in the brain using small, metal discs attached to the scalp.