Multiple Choice
Assume that you manage a $3 million portfolio that pays no dividends and has a beta of 1.45 and an alpha of 1.5% per month.Also, assume that the risk-free rate is 0.025% (per month) and the S&P 500 is at 1,220.If you expect the market to fall within the next 30 days, you can hedge your portfolio by ______ S&P 500 futures contracts (the futures contract has a multiplier of $250) .
A) selling 1
B) selling 14
C) buying 1
D) buying 14
Correct Answer:
Verified
Correct Answer:
Verified
Q4: Performance evaluation of hedge funds is complicated
Q20: Hedge funds differ from mutual funds in
Q31: Assume newly-issued 30-year on-the-run bonds sell at
Q33: Alpha-seeking hedge funds typically _ relative mispricing
Q34: Like mutual funds, hedge funds<br>A)allow private investors
Q35: Hedge funds often have _ provisions as
Q37: Hedge fund strategies can be classified as<br>A)directional
Q39: _ uses quantitative techniques, and often automated
Q42: The typical hedge fund fee structure is<br>A)a
Q46: Hedge funds are _ transparent than mutual