Derivative Quiz convert, only, holding, following, his

krause2

Q1.

Jon has $75m in a Fund made up of 100% US mid cap equities.
Portfolio Stock Beta = 1.2.

He feels US equities will suffer a downturn and wants to convert his holding to cash but only for three months.

US Mid-Cap Equity Future has the following characteristics;
Beta 1.29
Contract Price 2350
Multiplier 100
Expiration 2.5yrs

a) 296
b) 319
c) 322
d) 332