What is the gain in your long portfolio

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Reference no: EM131845119

Assume that you manage a $2 million portfolio that pays no dividends and has a beta of 1.3. Also, assume the mini S&P500 future is at 1500. If you expect the market to fall within the next 30 days you can hedge your portfolio by selling short ______ mini S&P500 futures contracts (the futures contract has a multiplier of $50). (Describe your work and show you calculations) You sell short the contracts and 30 days later the portfolio drops 5% (mini S&P500 future valued at 1442). What is the gain(loss) in your long portfolio and what is the gain(loss) in your futures position? What is the net gain(loss) in your hedged position. (For purposes of these calculations assume no transaction costs.)

Reference no: EM131845119

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