题目
A fund manager owns a 50 million USD growth portfolio that has a beta of 1.6 relative to the S&P 500. The S&P 500 Index is trading at 1190. Calculate the number of futures contracts the fund manager needs to sell to hedge the portfolio. (The multiplier of the S&P 500 is 250.)
选项
A.105
B.168
C.269
D.283
答案
C
解析
对冲数量=1.6×$50,000,000/(1195×250)=269