The S&P 500 futures price is 4372 and you have a portfolio of stocks valued at $20,000,000. Each futures contract is worth $250. If the portfolio moves exactly like the index, how many contracts do you need to hedge this portfolio and what is the implied beta?
The S&P 500 futures price is 4372 and you have a portfolio of stocks valued at $20,000,000. Each futures contract is worth $250. If the portfolio moves exactly like the index, how many contracts do you need to hedge this portfolio and what is the implied beta?
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 25P
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The S&P 500 futures price is 4372 and you have a portfolio of stocks valued at $20,000,000. Each futures contract is worth $250.
If the portfolio moves exactly like the index, how many contracts do you need to hedge this portfolio and what is the implied beta?
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