The target beta is the index beta为啥目标的beta是1？-有问必答-品职教育专注CFA ESG FRM CPA 考研等财经培训课程

The target beta is the index beta为啥目标的beta是1？

* 问题详情，请查看题干

NO.PZ201601050100002001

问题如下：

Determine the appropriate number of futures contracts that the CFO should buy to equitize the excess cash position.

选项：

解释：

The Lushland 100 Index futures contract value is calculated as the quoted futures price multiplied by the designated contract multiplier:

F=1247 × LLD 200 = LLD 249,400

The target beta is the index beta, which equals 1.00. The number of Lushland 100 Index futures contracts that the Sanctuary must buy to equitize its excess cash position is calculated as follows:

Therefore, the CFO should buy four Lushland 100 Index futures contracts to equitize the excess cash position.

中文解析：

本题考察的是cash equitization的计算。本质也是使用估值期货合约调节组合的β。只是现在需要调整的头寸直接是现金，其β=0，即βs=0。然后将β_s=0代入公式：

$N_f=\frac{\beta_T-\beta_S}{\beta_f}\times\frac SF$

得到：

$N_f=\frac{\beta_T}{\beta_f}\times\frac SF$ 后，代入数字计算即可。

答案中说了，The target beta is the index beta, which equals 1.00。问题题干中没有啊，题干表格只说了index future的beta等于1.

The target beta is the index beta为啥目标的beta是1？

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