NO.PZ2023010903000022
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
sell nine US E-mini equity futures contracts
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.
这里题目中给出了CAD和USD的汇率，在什么条件下会用到呢？
