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How much of the portfolio should fisher have hedged

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Reference no: EM132683337

The following were the prevailing S&P500 futures prices:

Fisher Black manages the $60 million equity portion of Gamma Corporation's pension assets. In late August 2019 Gamma announced that it was downsizing its workforce and would be offering early retirement to many of the older employees. The impact on the portfolio Fisher manages would be an anticipated $10 million withdrawal over the next 4 months. The stock has been good for the past 5 years, but recently there have been signs of bearishness. Fisher is concerned about the drop is asset prices before the $10 million is withdrawn from the portfolio. Fisher runs a fairly aggressive portfolio with a beta, β , of 1.2, relative to the S&P500

Expiration                                SEP19                DEC19               MAR20

Contract Value $250  Index 2088.50               2100.00               2110.50

Problem a) How much of the portfolio should Fisher have hedged?

Reference no: EM132683337

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