标题: Question regarding synthetic position with future constract [打印本页] 作者: cfa10yrplan 时间: 2011-7-11 15:19 标题: Question regarding synthetic position with future constract
In Scheweser on derivative session, there is a content like as below to explain effective beta,
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We can hypothesize the following scenario:
- the reference index (used to calculate the betas) increased in value by 2%
- the value of the equity position increased by 1.6%
- the value of the futures price increased by 2.1 %.
(These values correspond exactly to what we would expect with the provided betas of 0.8 - existing portfolio beta, and 1.05- future beta)
Had the leveraged position worked as desired (i.e. achieved an effective beta of 1.1) , the value of the portfolio would have increased 1.1*(0.02) = 2.2% to $ 5,110,000:
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(p. 148 in book4)
In here I have difficulty with understanding the phrase,
'' (These values correspond exactly to what we would expect with the provided betas of 0.8 - existing portfolio beta, and 1.05- future beta) ''
How could it be related with the equity position increase 1.6% & future position increase 2.1% ?
