开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

Anne · 2024年01月31日

这是哪个知识点,可以贴出来吗?

NO.PZ2022123002000062

问题如下:

Client A has a $20 million technology equity portfolio. At the beginning of the previous quarter, Allison forecasted a weak equity market and recommended adjusting the risk of the portfolio by reducing the portfolio’s beta from 1.20 to 1.05. To reduce the beta, Allison sold NASDAQ 100 futures contracts at $124,450 on 25 December. During the quarter, the market decreased by 3.5%, the value of the equity portfolio decreased by 5.1%, and the NASDAQ futures contract price fell from $124,450 to $119,347. Client A has questioned the effectiveness of the futures transaction used to adjust the portfolio beta.

With respect to Client A, Allison's most appropriate conclusion is the futures transaction used to adjust the beta of the portfolio was:

注意:

本题是2018 AM MOCK题目,原题漏掉了合约份数这个条件。所以需要补充上:卖掉的合约份数是25份,然后再解题。

原文中的“Allison sold NASDAQ 100 futures contracts at $124,450 on 25 December”意思是:12月25日,艾利森以124,450美元的价格卖出纳斯达克100指数期货合约。并不是卖出了25份的合约。

选项:

A.

ineffective because the effective beta on the portfolio was 1.64

B.

effective

C.

ineffective because the effective beta on the portfolio was 1.27

解释:

Correct Answer: C

The effective beta is the (hedged) return on the portfolio divided by the return on the market. The return on the market is –3.5%. The return on the portfolio is –5.1% plus the return on the futures position. The return on the (short) futures position relative to the unhedged portfolio is –25 × (119,347 – 124,450)/20,000,000 = +0.0064. Effective beta = (–0.051 + 0.0064)/–0.035 = 1.27.

这是哪个知识点,可以贴出来吗?

2 个答案
已采纳答案

pzqa31 · 2024年02月01日

嗨,努力学习的PZer你好:


讲义例题有讲过,同学可以再去听一下:

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

pzqa31 · 2024年02月01日

嗨,爱思考的PZer你好:


在R9 manage equity risk--Equity Forwards and Futures

----------------------------------------------
努力的时光都是限量版,加油!

  • 2

    回答
  • 1

    关注
  • 1423

    浏览
相关问题

NO.PZ2022123002000062 问题如下 Client A ha $20 million technology equity portfolio. thebeginning of the previous quarter, Allison forecastea weequity market anecommenausting the risk of the portfolio recing the portfolio’sbeta from 1.20 to 1.05. To rethe betAllison solNASQ 100 futurescontracts $124,450 on 25 cember. ring the quarter, the market creasey 3.5%, the value of the equity portfolio crease5.1%, anthe NASQfutures contraprifell from $124,450 to $119,347. Client A hquestionehe effectiveness of the futures transaction useto aust the portfolio beta.Withrespeto Client Allison's most appropriate conclusion is the futurestransaction useto aust the beta of the portfolio was: 注意本题是2018 MOCK题目,原题漏掉了合约份数这个条件。所以需要补充上卖掉的合约份数是25份,然后再解题。原文中的“Allison solNASQ 100 futures contracts $124,450 on 25 cember”意思是12月25日,艾利森以124,450美元的价格卖出纳斯达克100指数期货合约。并不是卖出了25份的合约。 A.ineffectivebecause the effective beta on the portfolio w1.64 B.effective C.ineffectivebecause the effective beta on the portfolio w1.27 CorreAnswer: CThe effective betais the (hee return on the portfolio vithe return on the market.The return on the market is –3.5%. The return on the portfolio is –5.1% plusthe return on the futures position. The return on the (short) futures positionrelative to the unheeportfolio is –25 × (119,347 – 124,450)/20,000,000 = +0.0064.Effective beta = (–0.051 + 0.0064)/–0.035 = 1.27. 只要beta不等于1就是ineffective吗?大于1小于1都是ineffective吗?

2024-06-17 08:59 1 · 回答

NO.PZ2022123002000062问题如下 Client A ha $20 million technology equity portfolio. thebeginning of the previous quarter, Allison forecastea weequity market anecommenausting the risk of the portfolio recing the portfolio’sbeta from 1.20 to 1.05. To rethe betAllison solNASQ 100 futurescontracts $124,450 on 25 cember. ring the quarter, the market creasey 3.5%, the value of the equity portfolio crease5.1%, anthe NASQfutures contraprifell from $124,450 to $119,347. Client A hquestionehe effectiveness of the futures transaction useto aust the portfolio beta.Withrespeto Client Allison's most appropriate conclusion is the futurestransaction useto aust the beta of the portfolio was: 注意本题是2018 MOCK题目,原题漏掉了合约份数这个条件。所以需要补充上卖掉的合约份数是25份,然后再解题。原文中的“Allison solNASQ 100 futures contracts $124,450 on 25 cember”意思是12月25日,艾利森以124,450美元的价格卖出纳斯达克100指数期货合约。并不是卖出了25份的合约。 A.ineffectivebecause the effective beta on the portfolio w1.64B.effectiveC.ineffectivebecause the effective beta on the portfolio w1.27 CorreAnswer: CThe effective betais the (hee return on the portfolio vithe return on the market.The return on the market is –3.5%. The return on the portfolio is –5.1% plusthe return on the futures position. The return on the (short) futures positionrelative to the unheeportfolio is –25 × (119,347 – 124,450)/20,000,000 = +0.0064.Effective beta = (–0.051 + 0.0064)/–0.035 = 1.27. Sto端的return和futures端的return分母不一样的,return可以直接相加吗?

2024-05-21 12:49 1 · 回答

NO.PZ2022123002000062问题如下 Client A ha $20 million technology equity portfolio. thebeginning of the previous quarter, Allison forecastea weequity market anecommenausting the risk of the portfolio recing the portfolio’sbeta from 1.20 to 1.05. To rethe betAllison solNASQ 100 futurescontracts $124,450 on 25 cember. ring the quarter, the market creasey 3.5%, the value of the equity portfolio crease5.1%, anthe NASQfutures contraprifell from $124,450 to $119,347. Client A hquestionehe effectiveness of the futures transaction useto aust the portfolio beta.Withrespeto Client Allison's most appropriate conclusion is the futurestransaction useto aust the beta of the portfolio was: 注意本题是2018 MOCK题目,原题漏掉了合约份数这个条件。所以需要补充上卖掉的合约份数是25份,然后再解题。原文中的“Allison solNASQ 100 futures contracts $124,450 on 25 cember”意思是12月25日,艾利森以124,450美元的价格卖出纳斯达克100指数期货合约。并不是卖出了25份的合约。 A.ineffectivebecause the effective beta on the portfolio w1.64B.effectiveC.ineffectivebecause the effective beta on the portfolio w1.27 CorreAnswer: CThe effective betais the (hee return on the portfolio vithe return on the market.The return on the market is –3.5%. The return on the portfolio is –5.1% plusthe return on the futures position. The return on the (short) futures positionrelative to the unheeportfolio is –25 × (119,347 – 124,450)/20,000,000 = +0.0064.Effective beta = (–0.051 + 0.0064)/–0.035 = 1.27. Portfolio 的估值里不包括futures吗??为啥要单独算futures的收益率呢

2024-01-24 22:45 1 · 回答

NO.PZ2022123002000062 问题如下 Client A ha $20 million technology equity portfolio. thebeginning of the previous quarter, Allison forecastea weequity market anecommenausting the risk of the portfolio recing the portfolio’sbeta from 1.20 to 1.05. To rethe betAllison solNASQ 100 futurescontracts $124,450 on 25 cember. ring the quarter, the market creasey 3.5%, the value of the equity portfolio crease5.1%, anthe NASQfutures contraprifell from $124,450 to $119,347. Client A hquestionehe effectiveness of the futures transaction useto aust the portfolio beta.Withrespeto Client Allison's most appropriate conclusion is the futurestransaction useto aust the beta of the portfolio was: 注意本题是2018 MOCK题目,原题漏掉了合约份数这个条件。所以需要补充上卖掉的合约份数是25份,然后再解题。原文中的“Allison solNASQ 100 futures contracts $124,450 on 25 cember”意思是12月25日,艾利森以124,450美元的价格卖出纳斯达克100指数期货合约。并不是卖出了25份的合约。 A.ineffectivebecause the effective beta on the portfolio w1.64 B.effective C.ineffectivebecause the effective beta on the portfolio w1.27 CorreAnswer: CThe effective betais the (hee return on the portfolio vithe return on the market.The return on the market is –3.5%. The return on the portfolio is –5.1% plusthe return on the futures position. The return on the (short) futures positionrelative to the unheeportfolio is –25 × (119,347 – 124,450)/20,000,000 = +0.0064.Effective beta = (–0.051 + 0.0064)/–0.035 = 1.27. 现在effective beta还会考吗?课后题也没有,书上也没有,我只在品职的经典题里看到过,去年的考试也没有考

2024-01-13 21:15 1 · 回答