NO.PZ2022123002000062
问题如下：
Client A has a $20 million technology equity portfolio. At the
beginning of the previous quarter, Allison forecasted a weak equity market and
recommended adjusting the risk of the portfolio by reducing the portfolio’s
beta from 1.20 to 1.05. To reduce the beta, Allison sold NASDAQ 100 futures
contracts at $124,450 on 25 December. During the quarter, the market decreased
by 3.5%, the value of the equity portfolio decreased by 5.1%, and the NASDAQ
futures contract price fell from $124,450 to $119,347. Client A has questioned
the effectiveness of the futures transaction used to adjust the portfolio beta.
With
respect to Client A, Allison's most appropriate conclusion is the futures
transaction used to adjust the beta of the portfolio was:
注意：
本题是2018 AM MOCK题目，原题漏掉了合约份数这个条件。所以需要补充上：卖掉的合约份数是25份，然后再解题。
原文中的“Allison sold NASDAQ 100 futures contracts at $124,450 on 25 December”意思是：12月25日，艾利森以124,450美元的价格卖出纳斯达克100指数期货合约。并不是卖出了25份的合约。
选项：
A.
ineffective
because the effective beta on the portfolio was 1.64
B.
effective
C.
ineffective
because the effective beta on the portfolio was 1.27
解释：
Correct Answer: C
The effective beta
is the (hedged) return on the portfolio divided by the return on the market.
The return on the market is –3.5%. The return on the portfolio is –5.1% plus
the return on the futures position. The return on the (short) futures position
relative to the unhedged portfolio is –25 × (119,347 – 124,450)/20,000,000 = +0.0064.
Effective beta = (–0.051 + 0.0064)/–0.035 = 1.27.
Portfolio 的估值里不包括futures吗？？为啥要单独算futures的收益率呢
