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

Darien

If you use Equity Future to Hedge a Sock Index held they you are left with Rfee.
Since the future only provides RPremium.

bkballa

Sorry Typo - it was meant to be .25year.

This is a question from a PM Mock. I got 297 but that wasnt actually even an option!

lcw77

your question is totally wrong
it is synthetic cash you should provide the interest rate