题目
A portfolio manager has a $15 million mid-cap portfolio that has a beta of 1.3 relative to the S&P 400. S&P 500 futures are trading at 1,150 and have a multiplier of 250. The most significant risk this manager faces in attempting to hedge his position is:
选项
A.basis risk resulting from a cross-hedge.
B.improper profit forecasts of the underlying position.
C.volatility risk arising from unstable correlation predictions.
D.correlation risk resulting from a rollover of positions between the S&P 400 and S&P 500.
答案
A
解析
Because the manager is considering hedging his S&P 400 exposure with S&P 500 contracts, his primary concern should be basis risk between the two.由于该基金正考虑用标普500合约对冲其标普400的风险敞口，他的主要担忧应该是这两种合约之间的基差风险。