NO.PZ2018113001000005
问题如下:
The equity portfolio has a market value of $6,000,000, The pension fund plans to use a futures contract priced at $250,000 in order to increase the beta from 0.9 to 1.2 for the period of one month. The futures contract has a beta of 0.95. One months later, the return of equity market is 5%, the market value of equity portfolio is $6,250,000, the price of futures contract is $262,000.
The effective beta of the equity portion of the fund is closest to:
选项:
A.1.15.
B.1.20
C.1.05
解释:
A is correct.
考点:计算effective beta
解析:
将beta从0.9调整为1.2需要的合约数量为:
因此,需要买入8份期货合约。
一个月之后:
期货合约所带来的利润=8×(262,000-250,000)=$96,000
股票组合的市场价值变为6,250,000,加上期货合约的收益可以得到整个头寸的价值=$6,250,000+$96,000=$6,346,000,
整个头寸的收益=$6,346,000/$6,000,000-1=0.0577
又因为市场的收益率为5%,而组合的收益率为5.77%,所以组合的有效贝塔为:
0.0577/0.05=1.154
既然是计算return,当然分子用期间变化量,分母用初始值。
请问,既然分子的future部分用了变化量,为啥equity部分不用(6'250'000-6'000'000)?