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. $\begin{array}{lc} \text { Portfolio Value} &\$ \quad \text { 1million } \\ \text { Portfolio's Beta} &0.60\\ \text { Current S\&P500 value } &1400\\ \text {Anticipated S\&P500 Value } &1200\\ \end{array}$ For a 200-point drop in the S&P 500, by how much does the value of the futures position change?

A) $200,000 B) $50,000 C) $250,000 D) $500,000 E) $100,000 A) $200,000 B) $50,000 C) $250,000 D) $500,000 E) $100,000 B

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. $\begin{array}{lc} \text { Portfolio Value} &\$ \quad \text { 1million } \\ \text { Portfolio's Beta} &0.86\\ \text { Current S\&P500 value } &990\\ \text {Anticipated S\&P500 Value } &915\\ \end{array}$ How many contracts should you buy or sell to hedge your position? Allow fractions of contracts in your answer.

A) Sell 3.475 B) Buy 3.475 C) Sell 4.236 D) Buy 4.236 E) Sell 11.235 A) Sell 3.475 B) Buy 3.475 C) Sell 4.236 D) Buy 4.236 E) Sell 11.235 A

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. $\begin{array}{lc} \text { Portfolio Value} &\$ \quad \text { 1million } \\ \text { Portfolio's Beta} &0.86\\ \text { Current S\&P500 value } &990\\ \text {Anticipated S\&P500 Value } &915\\ \end{array}$ What is the dollar value of your expected loss?

A) $142,900 B) $65,152 C) $85,700 D) $30,000 E) $64,200 A) $142,900 B) $65,152 C) $85,700 D) $30,000 E) $64,200

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. $\begin{array}{lc} \text { Portfolio Value} &\$ \quad \text { 1million } \\ \text { Portfolio's Beta} &0.86\\ \text { Current S\&P500 value } &990\\ \text {Anticipated S\&P500 Value } &915\\ \end{array}$ If the anticipated market value materializes, what will be your expected loss on the portfolio?

A) 7.58% B) 6.52% C) 15.43% D) 8.57% E) 6.42% A) 7.58% B) 6.52% C) 15.43% D) 8.57% E) 6.42%

Consider the following: $\begin{array}{lc} \text { Risk-free rate in the United States } & \text { 0.04 / year } \\ \text { Risk-free rate in Australia } & \text { 0.03 / year} \\ \text { Spot exchange rate } &1.67A\$/\$\\ \end{array}$ If the futures market price is 1.63 A$/$, how could you arbitrage?

A) Borrow Australian dollars in Australia, convert them to dollars, lend the proceeds in the United States, and enter futures positions to purchase Australian dollars at the current futures price. B) Borrow U.S. dollars in the United States, convert them to Australian dollars, lend the proceeds in Australia, and enter futures positions to sell Australian dollars at the current futures price. C) Borrow U.S. dollars in the United States, invest them in the U.S., and enter futures positions to purchase Australian dollars at the current futures price. D) Borrow Australian dollars in Australia and invest them there, then convert back to U.S. dollars at the spot price. E) There is no arbitrage opportunity. A) Borrow Australian dollars in Australia, convert them to dollars, lend the proceeds in the United States, and enter futures positions to purchase Australian dollars at the current futures price. B) Borrow U.S. dollars in the United States, convert them to Australian dollars, lend the proceeds in Australia, and enter futures positions to sell Australian dollars at the current futures price. C) Borrow U.S. dollars in the United States, invest them in the U.S., and enter futures positions to purchase Australian dollars at the current futures price. D) Borrow Australian dollars in Australia and invest them there, then convert back to U.S. dollars at the spot price. E) There is no arbitrage opportunity.

A) obligates two counterparties to exchange cash flows at one or more future dates. B) allows participants to restructure their balance sheets. C) allows a firm to convert outstanding fixed rate debt to floating rate debt. D) obligates two counterparties to exchange cash flows at one or more future dates and allows participants to restructure their balance sheets. E) All of the options are correct. A) obligates two counterparties to exchange cash flows at one or more future dates. B) allows participants to restructure their balance sheets. C) allows a firm to convert outstanding fixed rate debt to floating rate debt. D) obligates two counterparties to exchange cash flows at one or more future dates and allows participants to restructure their balance sheets. E) All of the options are correct.

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. $\begin{array}{lc} \text { Portfolio Value} &\$ \quad \text { 1million } \\ \text { Portfolio's Beta} &0.60\\ \text { Current S\&P500 value } &1400\\ \text {Anticipated S\&P500 Value } &1200\\ \end{array}$ What is the dollar value of your expected loss?

A) $142,900 B) $16,670 C) $85,714 D) $30,000 E) $64,200 A) $142,900 B) $16,670 C) $85,714 D) $30,000 E) $64,200

Exam 23: Futures, Swaps, and Risk Management

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. Portfolio Value \ 1million Portfolio's Beta 0.60 Current S\&P500 value 1400 Anticipated S\&P500 Value 1200 For a 200-point drop in the S&P 500, by how much does the value of the futures position change?

Free

(Multiple Choice)

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Question 1

Correct Answer:

Verified

Which one of the following stock index futures has a multiplier of 50 Hong Kong dollars times the index?

Free

(Multiple Choice)

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Question 2

Correct Answer:

Verified

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. Portfolio Value \ 1million Portfolio's Beta 0.86 Current S\&P500 value 990 Anticipated S\&P500 Value 915 How many contracts should you buy or sell to hedge your position? Allow fractions of contracts in your answer.

Free

(Multiple Choice)

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Question 3

Correct Answer:

Verified

Which two indices had the highest correlation between them during the 2014-2018 period?

(Multiple Choice)

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Question 4

If you took a short position in three S&P 500 futures contracts at a price of 2900 and closed the position when the index futures was 2885, you incurred

(Multiple Choice)

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Question 5

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. Portfolio Value \ 1million Portfolio's Beta 0.86 Current S\&P500 value 990 Anticipated S\&P500 Value 915 What is the dollar value of your expected loss?

(Multiple Choice)

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Question 6

What is the dollar value of a S&P E-mini futures contract with a listed price of 2970?

(Multiple Choice)

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Question 7

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. Portfolio Value \ 1million Portfolio's Beta 0.86 Current S\&P500 value 990 Anticipated S\&P500 Value 915 If the anticipated market value materializes, what will be your expected loss on the portfolio?

(Multiple Choice)

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Question 8

Consider the following: Risk-free rate in the United States 0.04 / year Risk-free rate in Australia 0.03 / year Spot exchange rate 1.67A \/ \ If the futures market price is 1.63 A$/$, how could you arbitrage?

(Multiple Choice)

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Question 9

Suppose that the risk-free rates in the United States and in the United Kingdom are 4% and 6%, respectively. The spot exchange rate between the dollar and the pound is $1.60/BP. What should the futures price of the pound for a one-year contract be to prevent arbitrage opportunities, ignoring transactions costs?

(Multiple Choice)

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Question 10

Suppose that the risk-free rates in the United States and in Japan are 5.25% and 4.5%, respectively. The spot exchange rate between the dollar and the yen is $0.008828/yen. What should the futures price of the yen for a one-year contract be to prevent arbitrage opportunities, ignoring transactions costs?

(Multiple Choice)

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Question 11

Suppose that the risk-free rates in the United States and in the United Kingdom are 5% and 4%, respectively. The spot exchange rate between the dollar and the pound is $1.80/BP. What should the futures price of the pound for a one-year contract be to prevent arbitrage opportunities, ignoring transactions costs?

(Multiple Choice)

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Question 12

A swap

(Multiple Choice)

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Question 13

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

(Multiple Choice)

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Question 14

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. Portfolio Value \ 1million Portfolio's Beta 0.60 Current S\&P500 value 1400 Anticipated S\&P500 Value 1200 What is the dollar value of your expected loss?

(Multiple Choice)

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Question 15

Let R_US be the annual risk-free rate in the United States, R_UK be the risk-free rate in the United Kingdom, F be the futures price of $/BP for a 1-year contract, and E the spot exchange rate of $/BP. Which one of the following is true?

(Multiple Choice)

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Question 16

Foreign exchange futures markets are , and the foreign exchange forward markets are .

(Multiple Choice)

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Question 17

In which currency does the FTSE 100 futures trade?

(Multiple Choice)

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Question 18

In the equation Profits = a + b × ($/₤ exchange rate), b is a measure of

(Multiple Choice)

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Question 19

Let R_US be the annual risk-free rate in the United States, R_J be the risk-free rate in Japan, F be the futures price of $/yen for a 1-year contract, and E the spot exchange rate of $/yen. Which one of the following is true?

(Multiple Choice)

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Question 20

Showing 1 - 20 of 57

Which one of the following stock index futures has a multiplier of 50 Hong Kong dollars times the index?

Which two indices had the highest correlation between them during the 2014-2018 period?

If you took a short position in three S&P 500 futures contracts at a price of 2900 and closed the position when the index futures was 2885, you incurred

What is the dollar value of a S&P E-mini futures contract with a listed price of 2970?

Consider the following: Risk-free rate in the United States 0.04 / year Risk-free rate in Australia 0.03 / year Spot exchange rate 1.67A \/ \ If the futures market price is 1.63 A$/$, how could you arbitrage?

A swap

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

Let R_US be the annual risk-free rate in the United States, R_UK be the risk-free rate in the United Kingdom, F be the futures price of $/BP for a 1-year contract, and E the spot exchange rate of $/BP. Which one of the following is true?

Foreign exchange futures markets are , and the foreign exchange forward markets are .

In which currency does the FTSE 100 futures trade?

In the equation Profits = a + b × ($/₤ exchange rate), b is a measure of

Let R_US be the annual risk-free rate in the United States, R_J be the risk-free rate in Japan, F be the futures price of $/yen for a 1-year contract, and E the spot exchange rate of $/yen. Which one of the following is true?

The Investment Environment

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

Efficient Diversification

Index Models

The Capital Asset Pricing Model

Arbitrage Pricing Theory and Multifactor Models of Risk and Return

The Efficient Market Hypothesis

Behavioral 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

Filters

Exam 23: Futures, Swaps, and Risk Management

Which one of the following stock index futures has a multiplier of 50 Hong Kong dollars times the index?

Which two indices had the highest correlation between them during the 2014-2018 period?

If you took a short position in three S&P 500 futures contracts at a price of 2900 and closed the position when the index futures was 2885, you incurred

What is the dollar value of a S&P E-mini futures contract with a listed price of 2970?

Consider the following: Risk-free rate in the United States 0.04 / year Risk-free rate in Australia 0.03 / year Spot exchange rate 1.67A \/ \ If the futures market price is 1.63 A$/$, how could you arbitrage?

A swap

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

Let RUS be the annual risk-free rate in the United States, RUK be the risk-free rate in the United Kingdom, F be the futures price of $/BP for a 1-year contract, and E the spot exchange rate of $/BP. Which one of the following is true?

Foreign exchange futures markets are __________, and the foreign exchange forward markets are __________.

In which currency does the FTSE 100 futures trade?

In the equation Profits = a + b × ($/₤ exchange rate), b is a measure of

Let RUS be the annual risk-free rate in the United States, RJ be the risk-free rate in Japan, F be the futures price of $/yen for a 1-year contract, and E the spot exchange rate of $/yen. Which one of the following is true?

The Investment Environment

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

Efficient Diversification

Index Models

The Capital Asset Pricing Model

Arbitrage Pricing Theory and Multifactor Models of Risk and Return

The Efficient Market Hypothesis

Behavioral 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

Filters

Let R_US be the annual risk-free rate in the United States, R_UK be the risk-free rate in the United Kingdom, F be the futures price of $/BP for a 1-year contract, and E the spot exchange rate of $/BP. Which one of the following is true?

Foreign exchange futures markets are , and the foreign exchange forward markets are .

Let R_US be the annual risk-free rate in the United States, R_J be the risk-free rate in Japan, F be the futures price of $/yen for a 1-year contract, and E the spot exchange rate of $/yen. Which one of the following is true?