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尚好的青春 · 2023年07月07日

如何选择哟给你哪个乘数

NO.PZ2019012201000048

问题如下:

After determining Winthrop’s objectives and constraints, the CAD147 million portfolio’s new strategic policy is to target long-term market returns while being fully invested at all times. Tong recommends quarterly rebalancing, currency hedging, and a composite benchmark composed of equity and fixed-income indexes. Currently the USD is worth CAD1.2930, and this exchange rate is expected to remain stable during the next month. Exhibit 2 presents the strategic asset allocation and benchmark weights.

In one month, Winthrop will receive a performance bonus of USD5,750,000. He believes that the US equity market is likely to increase during this timeframe. To take advantage of Winthrop’s market outlook, he instructs Tong to immediately initiate an equity transaction using the S&P 500 futures contract with a current price of 2,464.29 while respecting the policy weights in Exhibit 2. The S&P 500 futures contract multiplier is 250, and the S&P 500 E-mini multiplier is 50.

In preparation for receipt of the performance bonus, Tong should immediately:

选项:

A.

buy two US E-mini equity futures contracts

B.

sell nine US E-mini equity futures contracts

C.

buy seven US E-mini equity futures contracts

解释:

The amount of the performance bonus that will be received in one month (USD5,750,000) needs to be invested passively based upon the strategic allocation recommended by Tong. Using the strategic allocation of the portfolio, 15% (USD862,500.00) should be allocated to US equity exposure using the S&P 500 E-mini contract, which trades in US dollars. Because the futures price is 2,464.29 and the S&P 500 E-mini multiplier is 50, the contract unit value is USD123,214.50 (2,464.29 × 50).

The correct number of futures contracts is (5,750,000.00 × 0.15)/123,214.50 = 7.00.

Therefore, Tong will buy seven S&P 500 E-mini futures contracts.

这里面给了两个乘数50和250。怎么确定用那个乘数?

1 个答案

笛子_品职助教 · 2023年07月07日

嗨,爱思考的PZer你好:


这里面给了两个乘数50和250。怎么确定用那个乘数?


Hello,亲爱的同学~

我们看这题的选项:

A.buy two US E-mini equity futures contracts

B.sell nine US E-mini equity futures contracts

C.buy seven US E-mini equity futures contracts


三个选项都涉及到E-mini equity futures。

因此只能使用E-mini 对应的乘数。


根据已知条件,the S&P 500 E-mini multiplier is 50。

所以就确定为50了。


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