NO.PZ2019012201000048
问题如下：
After determining
Winthrop’s objectives and constraints, the CAD147 million portfolio’s new
strategic policy is to target long-term market returns while being fully
invested at all times. Tong recommends quarterly rebalancing, currency hedging,
and a composite benchmark composed of equity and fixed-income indexes.
Currently the USD is worth CAD1.2930, and this exchange rate is expected to
remain stable during the next month. Exhibit 2 presents the strategic asset
allocation and benchmark weights.
In one month,
Winthrop will receive a performance bonus of USD5,750,000. He believes that the
US equity market is likely to increase during this timeframe. To take advantage
of Winthrop’s market outlook, he instructs Tong to immediately initiate an equity
transaction using the S&P 500 futures contract with a current price of
2,464.29 while respecting the policy weights in Exhibit 2. The S&P 500
futures contract multiplier is 250, and the S&P 500 E-mini multiplier is
50.
In
preparation for receipt of the performance bonus, Tong should immediately：
选项：
A.buy two US E-mini equity futures contracts
sell nine US E-mini equity futures contracts
buy seven US E-mini equity futures contracts
解释：
The amount of the
performance bonus that will be received in one month (USD5,750,000) needs to be
invested passively based upon the strategic allocation recommended by Tong.
Using the strategic allocation of the portfolio, 15% (USD862,500.00) should be
allocated to US equity exposure using the S&P 500 E-mini contract, which
trades in US dollars. Because the futures price is 2,464.29 and the S&P 500
E-mini multiplier is 50, the contract unit value is USD123,214.50 (2,464.29 ×
50).
The correct number
of futures contracts is (5,750,000.00 × 0.15)/123,214.50 = 7.00.
Therefore, Tong
will buy seven S&P 500 E-mini futures contracts.
原来就有the CAD147 million portfolio，这部分资金已经分了15%给US equity。
现在新进来一笔钱，只能投15%给US equity，这个我明白。
不明白的是，在考虑exposure to US equity的时候，为什么不把原资金CAD147 million portfolio的15% exposure也考虑进去？
老资金和新资金一起在US equity上涨预期中享受红利嘛，应该long更多份数的futures才是。
