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Esther🏵🎠🗝招财🐱 · 2022年11月22日

对冲期货

Tryon and Bennett discuss their views on emerging market equities. The fund has no exposure to EMs, but they believe that imminent resolution of current global trade tensions will benefit valuations in the near term. They want to use the futures market to express their positive view, because it would take time for Park to do the necessary research and for Bennett to trade the US$10 million they would allocate to this sector. Bennett suggests a cash equitization strategy using futures on the BOVESPA, the Brazilian equity index, which historically has had a 1.15 beta to the broader EM, compared with his 1.0 target EM beta. Bennett gathers data for the BOVESPA futures contract, whose underlying is the BOVESPA Index. The contract price is R$104,465, with a multiplier of 1 and a USD/BRL spot rate of 4.20.

beta T=1,beta p=1.15,betaf=1 列式子: 1-1.15/1*10m*4.2/0.104465,

老师,请问我的计算那里错了

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已采纳答案

Hertz_品职助教 · 2022年11月22日

嗨,从没放弃的小努力你好:


同学你好

βT是1没有问题,但是βP是0,因为它是cash equitization strategy。

另外,βf是1.15. 为什么不是1,而是1.15呢?

这是题干中给到的信息,请看原文:

Bennett suggests a cash equitization strategy using futures on the BOVESPA, the Brazilian equity index, which historically has had a 1.15 beta to the broader EM, compared with his 1.0 target EM beta.

注意后面这段:相对于整体新兴市场的贝塔系数历来为1.15,而新兴市场贝塔系数为1.0。所以期货的β是1.15.

所以正确的是Nf=(βTsf)(S/F)=(1.0-0/1.15)(42,000,000/104,456×1)

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