问一道题：NO.PZ201809170400000207

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问题如下：

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

选项：

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：

C is correct. 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.

5,750,000.00 × 0.15，为什么要这样算？

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1 个答案

maggie_品职助教 · 2020年02月04日

这道题说的是：W同学预期目前美股会大涨，但是1个月后他才会收到5.75M的奖金，但他又不想错过这一波涨势，因此就选择买一个月的股指期货。根据表格2，投入美国股票的资金占比为15%，说明他的奖金中15%*5.75M可以用来买股票，那么现在反求我们能买多少只期货。

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