Index futures is necessary to increase portfolio beta

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Reference no: EM132028795

1. Suppose you are managing an equity portfolio with a beta of 0.6 and $12M in assets. S&P 500 index futures (not the e-mini futures) are currently priced at 1352, and the index is also 1352. What position in index futures is necessary to increase the portfolio beta to 1.5?

2. A company enters into long futures contract to buy 7,000 barrels of oil for a futures price of $101.17 per barrel. The initial margin is $6,000 and the maintenance margin is $4,000 per contract. Each contract is for 1,000 barrels. What oil futures price (per barrel) will allow $2,000 to be withdrawn from the margin account?

Reference no: EM132028795

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