Assure Investments has a $15 million portfolio with a beta of 0.6. The firm employs the E-mini Dow futures contract which has a price of 31,177 and one contract is on $5 times the Dow Jones Industrial Average index. How many contracts are necessary to increase the beta to 1.4 (round your answer to the nearest whole number)?
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- Quality Investments has a $25 million portfolio with a beta of 1.4. The firm employs the E-mini Nasdaq-100 futures contract which has price of 11,866 and one contract is on $20 times the Nasdaq-100 index. How many contracts are necessary to reduce the beta to 0.8 (round your answer to the nearest whole number)?A company has a $36 million portfolio with a beta of 1.2. The futures price for a contract on an index is 900. Futures contracts on $250 times the index can be traded. What trade is necessary to reduce beta to 0.9? A. Short 48 contracts B. Long 48 contracts C. Short 192 contracts D. Long 192 contractsA portfolio manager is wanting to add futures to an equity portfolio to change the beta of the overall portfolio. The following data is available: • Current Portfolio Beta: 0.25 • Current Portfolio Value: $10,000,000 • Current Futures Price: $2,500 • One contract is on $250x the index • Target Beta: 3.5 How many futures contracts should be added to the portolio to meet the target beta? Round to 0 decimal places.
- You are currently long on a portfolio of stocks that has a beta of 1.60. Given recent uncertainties, you intend to reduce the portfolio beta to 1.20. Your portfolio currently worth RM2.8 million and FBM KLCI is at 800 points. Show how the objective can be achieved using SIF contracts.A company has $20 million portfolio with market beta 1.2. Current index futures price is F0 = 1080 and each contract is for delivery of 250 times the index. To reduce the beta of portfolio to 0.6, the company should (a) short 44 index futures contracts (b) short 74 index futures contracts (c) short 88 index futures contracts (d) buy 44 index futures contracts (e) buy 89 index futures contractsYou manage a $58 million stock portfolio with a beta of 1.05. Given a contract size of $110,000 for a stock index futures contract with a beta of 1.0, calculate the number of contracts will you need to hedge your position.
- Assume you manage a bond portfolio. The dollar duration of the portfolio is -60000. An instrument is traded with dollar duration equal to 1,280. To make the portfolio duration neutral byou need to trade this many units of the hedging instrument. Answer approximate to the closest interger. Use negative sign if its a short sell.A company has a £10 million portfolio with a beta of 0.8 to the stock market. The futures price for a contract on the stock market is 500. Futures contracts can be traded with value equal to £10 multiplied by the futures price. What position should one take in order to completely hedge the market risk? a. Short 2000 contracts b. Long 2000 contracts c. Short 1600 contracts d. Long 1600 contractsA company has $20 million portfolio with beta of 0.8. It would like to use futures contracts on the S&P 500 to hedge its risk. The index is currently standing at 1050, and each contract is for delivery of $250 per index points. What is the hedge that minimises its risk? What should the company do if it wants to reduce the beta of the portfolio to 0.2? a. Buying 76 futures contracts minimises the risk. To reduce the beta to 0.2, the company should instead buy 61 contracts. b. Buying 61 futures contracts minimises the risk. To reduce the beta to 0.2, the company should instead buy 46 contracts. c. Selling 76 futures contracts minimises the risk. To reduce the beta to 0.2, the company should instead sell 61 contracts. d. Selling 61 futures contracts minimises the risk. To reduce the beta to 0.2, the company should instead sell 46 contracts.
- Suppose that JPMorgan Chase sells call options on $2.40 million worth of a stock portfolio with beta = 1.50. The option delta is 0.55. It wishes to hedge its resultant exposure to a market advance by buying a market-index portfolio. Suppose it use market index puts to hedge its exposure. The index at current prices represents $2,000 worth of stock and the contract multiplier is 400. Required: How many dollars’ worth of the market-index portfolio should it purchase? What is the delta of a put option? Complete the following: Do number 1 and 3Suppose that JPMorgan Chase sells call options on $2.40 million worth of a stock portfolio with beta = 1.50. The option delta is 0.55. It wishes to hedge its resultant exposure to a market advance by buying a market-index portfolio. Suppose it use market index puts to hedge its exposure. The index at current prices represents $2,000 worth of stock and the contract multiplier is 400. Required: How many dollars’ worth of the market-index portfolio should it purchase? What is the delta of a put option? Complete the following:The margin requirement on the S&P 500 futures contract is 16%, and the stock index is currently 2,100. Each contract has a multiplier of $50 a. How much margin must be put up for each contract sold? Margin b. If the futures price falls by 1% to 2,079, what will happen to the margin account of an investor who holds one contract? (Input the amount as a positive value.) Margin account by c-1. What will be the investor's percentage return based on the amount put up as margin? (Negative value should be indicated by a minus sign. Round your answer to 2 decimal places.) Percentage return ed ok at rices c-2. What would be the current cash balance in the margin account? Cash balance