NO.PZ2018113001000003
问题如下:
A $100 million pension fund with 80% stock and 20% bond. The beta of equity portion is 1.2 and the duration of bond portion is 5.0. In order to adjust the allocation to 60% stock and 40% bond.
Calculate the number of stock index futures needed to buy.
Based on the following information:
- The stock index value is at 1,200, multiplier is $250, the beta is 0.95
- The price of bond futures contract is $105,300 with an implied modified duration of 6.5.
选项:
A.-88
B.-84
C.-95
解释:
B is correct.
考点:用futures contract 调整组合的头寸
解析:
现需要将股票头寸从80%降至60%,即需要将20%*100,000,000=$20,000,000的股票的beta调整为0(转成cash)
需要的stock index futures contract数量为:
负号代表卖出,即需要卖出84份股票期货合约, 对应的也就是买入(-84)份合约,选B。
(注意,本题中问的是需要的股指期货合约的份数,因此关于债券的信息是用不到的)
- The price of bond futures contract is $105,300 with an implied modified duration of 6.5.
这个条件用不上对吗?
为什么这里用beta算不用duration算呢/?