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moon · 2022年01月10日

计算

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

NO.PZ201809170400000207

问题如下：

In preparation 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：

C is correct. The amount of the performance bonus that will be received in one month (USD5,750,000) needs to be invested passively based upon the strategic allocation recommended by Tong. Using the strategic allocation of the portfolio, 15% (USD862,500.00) should be allocated to US equity exposure using the S&P 500 E-mini contract, which trades in US dollars. Because the futures price is 2,464.29 and the S&P 500 E-mini multiplier is 50, the contract unit value is USD123,214.50 (2,464.29 × 50).

The correct number of futures contracts is (5,750,000.00 × 0.15)/123,214.50 = 7.00.

Therefore, Tong will buy seven S&P 500 E-mini futures contracts.

计算

（1）the contract unit value is USD123,214.50 (2,464.29 × 50)

①the S&P 500 futures contract with a current price of 2,464.29

②and the S&P 500 E-mini multiplier is 50.

（2）The correct number of futures contracts is (5,750,000.00 × 0.15)/123,214.50 = 7.00.

①a performance bonus of USD5,750,000



有两个问题，请问

  1. 为什么要用the S&P 500 E-mini multiplier is 50 去✖2,464.29 ，而不是250
  2. 为什么要用他的奖金5750000去买future contract


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1 个答案

笛子_品职助教 · 2022年01月11日

嗨，努力学习的PZer你好：


为什么要用the S&P 500 E-mini multiplier is 50 去✖2,464.29 ，而不是250


做对冲，完全可以用250，250就是用the S&P 500 future去做对冲。50就是用the S&P 500 E-mini future去做对冲。

只不过这个题目，ABC的3个选项，都只有the S&P 500 E-mini future，那就只能用50去乘。


为什么要用他的奖金5750000去买future contract


注意这个奖金不是今天发放的，是几个月后发放的。

他是想买股票的，但是担心股市在这几个月的时间上涨，他错过了这段涨幅。

于是他先买the S&P 500 E-mini future，这样一旦股市上涨，他的股指期货会带来盈利，他就不会错过这段股市上涨了。



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