问题如下：
After determiningWinthrop’s objectives and constraints, the CAD147 million portfolio’s newstrategic policy is to target long-term market returns while being fullyinvested 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 toremain stable during the next month. Exhibit 2 presents the strategic assetallocation and benchmark weights.
In one month,Winthrop will receive a performance bonus of USD5,750,000. He believes that theUS equity market is likely to increase during this timeframe. To take advantageof Winthrop’s market outlook, he instructs Tong to immediately initiate an equitytransaction using the S&P 500 futures contract with a current price of2,464.29 while respecting the policy weights in Exhibit 2. The S&P 500futures contract multiplier is 250, and the S&P 500 E-mini multiplier is50.
Inpreparation 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 theperformance bonus that will be received in one month (USD5,750,000) needs to beinvested passively based upon the strategic allocation recommended by Tong.Using the strategic allocation of the portfolio, 15% (USD862,500.00) should beallocated to US equity exposure using the S&P 500 E-mini contract, whichtrades in US dollars. Because the futures price is 2,464.29 and the S&P 500E-mini multiplier is 50, the contract unit value is USD123,214.50 (2,464.29 ×50).
The correct numberof futures contracts is (5,750,000.00 × 0.15)/123,214.50 = 7.00.
Therefore, Tongwill buy seven S&P 500 E-mini futures contracts.
预计美股市场回涨，且一个月后会收到美元，应该担心美元贬值啊，sell 美元
