Exam 23: Futures, Swaps, and Risk Management

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You are given the following information about a portfolio you are to manage.For the long term, you are bullish, but you think the market may fall over the next month. $You are given the following information about a portfolio you are to manage.For the long term, you are bullish, but you think the market may fall over the next month. How many contracts should you buy or sell to hedge your position? Allow fractions of contracts in your answer.$ How many contracts should you buy or sell to hedge your position? Allow fractions of contracts in your answer.

(Multiple Choice)

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Question 41

You are given the following information about a portfolio you are to manage.For the long term, you are bullish, but you think the market may fall over the next month. $You are given the following information about a portfolio you are to manage.For the long term, you are bullish, but you think the market may fall over the next month. How many contracts should you buy or sell to hedge your position? Allow fractions of contracts in your answer.$ How many contracts should you buy or sell to hedge your position? Allow fractions of contracts in your answer.

(Multiple Choice)

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Question 42

Suppose that the risk-free rates in the United States and in Canada are 5% and 3%, respectively.The spot exchange rate between the dollar and the Canadian dollar (C$) is $0.80/C$.What should the futures price of the C$ for a one-year contract be to prevent arbitrage opportunities, ignoring transactions costs.

(Multiple Choice)

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Question 43

Commodity futures pricing

(Multiple Choice)

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Question 44

If covered interest arbitrage opportunities do not exist,

(Multiple Choice)

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Question 45

You are given the following information about a portfolio you are to manage.For the long term, you are bullish, but you think the market may fall over the next month. If the anticipated market value materializes, what will be your expected loss on the portfolio?

(Multiple Choice)

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Question 46

Which one of the following stock index futures has a multiplier of $50 times the index value?

(Multiple Choice)

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Question 47

If you took a short position in two S&P 500 futures contracts at a price of 1,510 and closed the position when the index futures was 1,492, you incurred

(Multiple Choice)

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Question 48

Which one of the following stock index futures has a multiplier of $10 times the index value?

(Multiple Choice)

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Question 49

Which one of the following stock index futures has a multiplier of 10 euros times the index?

(Multiple Choice)

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Question 50

Trading in stock index futures

(Multiple Choice)

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Question 51

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Commodity futures pricing

If covered interest arbitrage opportunities do not exist,

You are given the following information about a portfolio you are to manage.For the long term, you are bullish, but you think the market may fall over the next month. If the anticipated market value materializes, what will be your expected loss on the portfolio?

Which one of the following stock index futures has a multiplier of $50 times the index value?

If you took a short position in two S&P 500 futures contracts at a price of 1,510 and closed the position when the index futures was 1,492, you incurred

Which one of the following stock index futures has a multiplier of $10 times the index value?

Which one of the following stock index futures has a multiplier of 10 euros times the index?

Trading in stock index futures

The Investment Environment

Financial Markets, Asset Classes and Financial Instruments

How Securities Are Traded

Mutual Funds and Other Investment Companies

Risk, Return, and the Historical Record

Capital Allocation to Risky Assets

Optimal Risky Portfolios

Index Models

The Capital Asset Pricing Model

Arbitrage Pricing Theory and Multifactor Models of Risk and Return

The Efficient Market Hypothesis

Behavioural Finance and Technical Analysis

Empirical Evidence on Security Returns

Bond Prices and Yields

The Term Structure of Interest Rates

Managing Bond Portfolios

Macroeconomic and Industry Analysis

Equity Valuation Models

Financial Statement Analysis

Options Markets: Introduction

Option Valuation

Futures Markets

Portfolio Performance Evaluation

International Diversification

Hedge Funds

The Theory of Active Portfolio Management

Investment Policy and the Framework of the Cfa Institute

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