Examlex
You manage a $15 million hedge fund portfolio with beta = 1.2 and alpha = 2% per quarter. Assume the risk-free rate is 2% per quarter and the current value of the S&P 500 Index is 1,200. You want to exploit the positive alpha, but you are afraid that the stock market may fall and you want to hedge your portfolio by selling 3-month S&P 500 future contracts. The S&P contract multiplier is $250.
How many S&P 500 contracts do you need to sell to hedge your portfolio?
Q4: What strategy could be considered insurance for
Q10: What factor improves the effectiveness of union
Q13: Which of the following is an example
Q18: You are cautiously bullish on the common
Q19: You want to evaluate three mutual funds
Q27: An investor would want to _ to
Q38: In 2015, the U.S. equity market represented
Q39: Use the following cash flow data of
Q123: Sara is considering the purchase of a
Q146: "There should be less discrimination against the