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All main topics / Finance & Investment / Derivatives / Derivatives
A company has a $36 million portfolio with a beta of 1.2. The futures price for a contract on an index is 900. Futures contracts on $250 times the index can be traded. What trade is necessary to reduce beta to 0.9?
A.Long 192 contracts
B.Short 192 contracts
C.Long 48 contracts
D.Short 48 contracts
               Answer: D

To reduce the beta by 0.3 we need to short 0.3×36,000,000/(900×250) or 48 contracts.
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Flashcard info:
Author: CoboCards-User
Main topic: Finance & Investment
Topic: Derivatives
Published: 27.10.2015




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