A portfolio manager decides to adjust the beta of his $101148 equity portfolio from 0.5 to 1.3 for the next five months. The manager selects a future on the market index, which is currently traded at $487, to adjust the beta of his equity portfolio. The expectation about the market underpinning the adjustment of beta and the number of futures contracts the manager should take are: a. The market will be moving up, and a long position in 166 futures contracts should be held b. The market will be moving down and a short position in 104 futures contracts should be held c. The market will be moving down, and a long position in 270 futures contracts should be held d. The market will be moving up, and a short position in 166 futures contracts should be held

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
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A portfolio manager decides to adjust the beta of his $101148 equity portfolio from 0.5 to 1.3 for the next five months. The manager selects a future on the market index, which is currently traded at $487, to adjust the beta of his equity portfolio. The expectation about the market underpinning the adjustment of beta and the number of futures contracts the manager should take are:

a.

The market will be moving up, and a long position in 166 futures contracts should be held

b.

The market will be moving down and a short position in 104 futures contracts should be held

c.

The market will be moving down, and a long position in 270 futures contracts should be held

d.

The market will be moving up, and a short position in 166 futures contracts should be held

 

 

Which of the following best describes the role of central clearing parties

a.

CCPs are used to manage price risk of futures transactions

b.

CCPs services are used in all OTC derivative transactions

c.

CCPs help market participants to value derivative transactions

d.

CCPs perform a similar function to exchange clearing houses

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