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An investor has a cash position currently invested in T-Bills but would like to "equitize" it by using S&P futures contracts. Which of the following trades will create the desired synthetic equity position?
 A) Selling the T-Bills and buying S&P 500 futures contracts.
 B) Buying S&P 500 futures contracts.
 C) Selling S&P 500 futures contracts short.

The trader can buy stock index futures and hold them in conjunction with T-Bills to mimic a stock portfolio. So we have:

Synthetic stock portfolio = T-Bills + stock index futures.

A manager has a position in Treasury bills worth \$175 million with a yield of 2%. For the next 6 months, the manager wishes to have a synthetic equity position approximately equal to this value. The manager chooses S&P 500 index futures, which has a dividend yield of 2%. The futures price is 1,050 and the multiplier is \$250. How many contracts will this take?
 A) 655 contracts.
 B) 421 contracts.
 C) 673 contracts.

Number of contracts = 673.3 = \$175,000,000 × (1.02)0.5/(1050 × 250)
When using stock index futures contracts and cash to create a synthetic stock index, the larger the index multiplier:
 A) the fewer the number of needed contracts.
 B) there is no such thing as an index multiplier.
 C) the greater the number of needed contracts.

The formula is:

Number of contractsUnrounded = (V × (1 + risk free rate)T) / (futures price × multiplier)

As the multiplier increases, the number of needed contracts declines.
To synthetically create the risk/return profile of an underlying common equity security:
 A) Buy the corresponding futures contract and invest in a T-bill.
 B) Sell short the corresponding futures contract and invest in a T-bill.
 C) Buy the corresponding futures contract and borrow at the risk-free rate.

Futures + Cash = Security, therefore, buy the corresponding futures contract and invest in a T-bill.
To create a synthetic cash position:
 A) sell short the common equity, buy the corresponding futures contract, invest in a T-bill.
 B) buy the common equity and sell short the corresponding futures contract.
 C) buy the common equity, sell short the corresponding futures contract, invest in a T-bill.

Security – Futures = Cash, therefore, buy the common equity and sell short the corresponding futures contract.
Which of the following statements about portfolio hedging is least accurate?
 A) For a fixed portfolio insurance horizon, using put options generally requires less rebalancing and monitoring than with the use of futures contracts.
 B) Futures contracts have a symmetrical payoff profile.
 C) To synthetically create the risk/return profile of an underlying common equity security, buy the corresponding futures contract, sell the common short, and invest in a T-bill.

To synthetically create the risk/return profile of an underlying common equity security, buy the corresponding futures contract and invest in a T-bill.
An investment of \$240,000,000 in T-bills earning 3 percent is combined with 886 stock index futures that have a price of 1,100 and a multiplier of 250. In three months, when the futures mature and the index value is 1,120, what will be the value of the position at that time?
 A) \$243,650,000.
 B) \$248,080,000.
 C) \$246,210,097.

Payoff of futures plus T-bill = 886 × \$250 × (1,120 − 1,100) + \$240,000,000 × 1.03 0.25
Payoff of futures plus T-bill = \$246,210,097
A portfolio holds \$20 million of its assets in an index fund that mimics the return of the Dow Jones Industrial Average (DJIA). The dividend yield on the DJIA index is 2.8%. The manager of the portfolio would like to synthetically convert half of the position to cash for a one month period. The futures contract on the DJIA that expires in a month is priced at 14520.01. It has a multiplier equal to \$10. The risk-free rate is 3.85%. The number of contracts the fund needs to use is closest to:
 A) 66
 B) 69
 C) 72

A manager wants to synthetically convert to cash \$45 million of a diversified stock portfolio for three months. The manager will use the CME E-mini S&P stock index futures contract, which has a multiplier equal to \$50, and the price of the three month contract is 1610.50. The dividend yield on the portfolio is 2.4%. The risk-free rate is 4.04%. The number of contracts the fund needs to use is closest to:
 A) 588
 B) 564
 C) 532