Portfolio position can be hedged from overall stock market

Assignment Help Financial Management

Reference no: EM13805606

If the S&P contracts have a multiplier of $500 and your $2.0M hedge fund stock portfolio has a beta of 1.2, then your portfolio position can be hedged from overall stock market volatility for 3 months by selling how many S&P futures contracts beginning of the quarter? Assume the S&P index is at 1,200 and for simplicity; your portfolio pays no dividends.

Assume if your portfolio alpha is 4%. What would be your portfolio return if the stock market declines by 10% during the quarter? Explain your answer.

Reference no: EM13805606

Questions Cloud

Self employed certified public accountant : On December 31, 2009, Cathy Chen, a self employed certified public accountant (CPA), completed her first full year in business. During the year, she billed $360,000 for her accounting services. She had two employees: a bookkeeper and a clerical assis..

Short summary of the hendrick case study : Write a short summary of the Hendrick case study - It should cover the human factor errors made by the Hendrick flight crew which caused the accident.

Write a paper about how is sony still attracting people : Write a paper about How is Sony still attracting people?

What is the firms expected rate of return : Preston Inc.'s stock has a 25% chance of producing a 30% return, a 50% chance of producing a 12% return, and a 25% chance of producing a -18% return. What is the firm's expected rate of return?

Portfolio position can be hedged from overall stock market : If the S&P contracts have a multiplier of $500 and your $2.0M hedge fund stock portfolio has a beta of 1.2, then your portfolio position can be hedged from overall stock market volatility for 3 months by selling how many S&P futures contracts beginni..

Examples of cross functional decision making : In a paper, review and define the most important operations functions and provide examples of cross functional decision making, operations process, supply chain management, strategies, new product designs, QFD, and modular designs.

Is the bond selling at a premium or discount and why : Calculate the price of the bond you have selected. Is the bond selling at a Premium or Discount and why?

Calculate the standard deviation in the anticipated return : James is considering whether to invest in a newly formed investment fund. The fund's investment objective is to acquire home mortgage securities at what hopes will be bargian prices. Based on these potential outcomes, what is your estimate of the exp..

The independent samples t-test, in statistics for managers : How does variability in the distribution of sample means compare to variability in a population based on individual scores?

User Account

All Pages