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