题目
On Nov 1, Jimmy Walton, a fund manager of an USD 60 million US medium-to-large cap equity portfolio, considers locking up the profit from the recent rally. The S&P 500 index and its futures with the multiplier of 250 are trading at USD 900 and USD 910, respectively. Instead of selling off his holdings, he would rather hedge two-thirds of his market exposure over the remaining 2 months. Given that the correlation between Jimmy’s portfolio and the S&P 500 index futures is 0.89 and the volatilities of the equity fund and the futures are 0.51 and 0.48 per year respectively, what position should he take to achieve his objective?
选项
A.Sell 250 futures contracts of S&P 500
B.Sell 169 futures contracts of S&P 500
C.Sell 167 futures contracts of S&P 500
D.Sell 148 futures contracts of S&P 500
答案
C
解析
Two-thirds of the equity fund is worth USD 40 million. h=0.89×0.51/0.48=0.9456 N=0.9456×40,000,000/(910×250)=166.26三分之二的价值是四千万。h=0.89×0.51/0.48=0.9456 ;N=0.9456×40,000,000/(910×250)=166.26