问题如下:
An equity portfolio manager is invested 100% in US large- cap stocks, but he wants to reduce the current allocation by 20%, to 80%, and allocate 20% to US small caps. He decides not to sell the stocks because of the high transaction costs. Rather, he will use S&P 500 Index futures and Russell 2000 Index futures for achieving the desired exposure in, respectively, US large caps and small caps. To achieve the new allocation, he will for an equivalent of 20% of the portfolio value:
选项:
A.purchase Russell 2000 futures only.
purchase Russell 2000 futures and sell S&P 500 futures.
sell Russell 2000 futures and purchase S&P 500 futures.
解释:
B is correct.
To reduce the current allocation by 20%, to 80%, in US large- cap stocks, the portfolio manager will sell S&P 500 futures. At the same time, to allocate this 20% to US small caps, he will purchase Russell 2000 futures for the same notional amount.
RUSSEL2000 和SP500 两者的指数是对应大盘小盘股不同吗,两者有什么区别