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Combined stock and stock index futures contract

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Q1. What information do we discover when we look at the June 16 S&P 500 futures price and the Sept 16 S&P 500 futures price? Explain in detail.

Q2. You have a stock index portfolio with a beta of 1.0 and a market value of $10,000,000. If you sell $10,000,000 nominal value of S&P 500 futures contracts, what is the return of the combined stock and stock index futures contract? What have you done to the original $10,000,000 stock market position?

Q3. Why does a full carry model apply so well to the US treasury bond and S&P 500 contracts? Explain in detail.

Q4. Are commodities a separate asset class? Explain.

Reference no: EM131066493

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