题目
A portfolio manager manages a $10 million portfolio that has a beta of 1.0 relative to the S&P 500. The S&P 500 futures are trading at 1,100 and the multiplier is 250. He would like to hedge exposure to market risk over the next few months. Suppose that at the maturity of the futures contract, the market index is trading at 1,090 and the portfolio has experienced a 1% decline in value. Evaluate the following statements: I. The appropriate hedge for the portfolio is a long position in 36 contracts. II. The net impact of the market decline on the appropriately hedged portfolio is a gain of $10,000.
选项
A.I only
B.II only
C.Both
D.Neither
答案
D
解析
「huixue_img/importSubject/1564169524733939712.png」However, since the manager is long the portfolio, he will want to take a short position in the 36 contracts.At the maturity:Change in value of portfolio=-0.01×10,000,000=-100,000Change in value of futures position =36×(1,100-1,090)×(250)=90,000Net payoff =-100,000+90,000=-10,000. The net impact is a loss of $10,000.