NO.PZ2022123002000062
问题如下：
Client A has a $20 million technology equity portfolio. At thebeginning of the previous quarter, Allison forecasted a weak equity market andrecommended adjusting the risk of the portfolio by reducing the portfolio’sbeta from 1.20 to 1.05. To reduce the beta, Allison sold NASDAQ 100 futurescontracts at $124,450 on 25 December. During the quarter, the market decreasedby 3.5%, the value of the equity portfolio decreased by 5.1%, and the NASDAQfutures contract price fell from $124,450 to $119,347. Client A has questionedthe effectiveness of the futures transaction used to adjust the portfolio beta.
Withrespect to Client A, Allison's most appropriate conclusion is the futurestransaction 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.
ineffectivebecause the effective beta on the portfolio was 1.64
B.
effective
C.
ineffectivebecause the effective beta on the portfolio was 1.27
解释：
Correct Answer: C
The effective betais 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% plusthe return on the futures position. The return on the (short) futures positionrelative 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.
Stock 端的return和futures端的return分母不一样的，return可以直接相加吗？
