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
B.
sell nine US E-mini equity futures contracts
C.
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.
如题 另外就是为什么 sp500 E mini这个指数也是遵循15%
