The PWCC pension fund receives periodic cash flows from the plan sponsor. Wintermantle and his team discuss using futures to obtain exposure to specific asset classes in advance of the cash receipt. Deiss states, “Because the cash has yet to be received, it is not possible to use futures to gain exposure to an asset class.” Wintermantle disagrees and states, “In this case, it is possible to gain exposure to an asset class by taking long positions in risk-free bonds and futures on the asset class.” Wittke responds, “A long position in futures on the asset class is sufficient to gain exposure to the underlying asset. It is equivalent to borrowing against cash to be received in the future and investing in the underlying asset.’
Q. Who is most likely correct with respect to PWCC’s pension plan using futures to gain exposure to an asset class in advance of the cash receipt from the plan sponsor?
- Deiss
- Wintermantle
- Wittke
Solution
C is correct. Wittke is correct. Futures contracts can be used to gain exposure to an asset class in advance of a cash receipt, a strategy called pre-investing in an asset class. A long position in a futures contract is equivalent to being long the underlying plus a loan. That is, it is a fully leveraged position on the underlying asset.
c选项没看明白，什么是borrowing agaist cash to be received in the future？
