NO.PZ2022123002000061
问题如下：
Jacob wants to eliminate systematic risk in the equity portion of
the fund by using futures on the FTSE 100 Index, which is the benchmark for the
fund’s equity portfolio. She collects the information shown in Exhibit 2.
Exhibit 2 Bold Beverages Pension Fund and Market Data
Three months after
Jacob implements the hedge, the FTSE 100 Index is up 3.75%. The equity portion
of the Bold Beverages Pension Fund is up 3.50% and the level of the expiring
three month FTSE 100 futures contract that Jacob sold is 4,824. The trustees
ask Jacob to assess the effectiveness of the hedge that has been in place.
D. Determine
the effective beta of the Bold Beverages Pension Fund equity portfolio, including
the futures, assuming that Jacob sold 5,200 futures contracts. Show your
calculations.
选项：
解释：
Correct Answer:
The new value of
the equity portfolio is GBP 235,400,000 × 1.035 = GBP 243,639,000 or a gain of
GBP 8,239,000.
The profit on the
futures is (4,824 – 4,667) x GBP 10 × (-5,200) = - GBP 8,164,000 or a profit of
-3.468%.
So, the overall
profit is GBP 8,239,000 – GBP 8,164,000 = GBP 75,000 and the ending value of the
overall portfolio is GBP 235,475,000.
This is an overall
return of GBP 75,000/GBP 235,400,000 = 0.0003 or 0.03%
Since the market
was up 3.75%, the effective beta was 0.0003/0.0375 = 0.0085.
这个题是不是可以直接用3.5%-future收益率-3.468%=0.00032
有效β就等于0.00032/0.0375=0.0085
