Please help with the following problems. Provide step by step calculations for each.
If the S&P contracts have a multiplier of $500 and your $2.0M hedge fund stock portfolio has a beta of 1.2, then your portfolio position can be hedged from overall stock market volatility for 3 months by selling how many S&P futures contracts beginning of the quarter? Assume the S&P index is at 1,200 and for simplicity, your portfolio pays no dividends.
Assume if your portfolio alpha is 4%. What would be your portfolio return if the stock market declines by 10% during the quarter? Explain your answer.© BrainMass Inc. brainmass.com October 10, 2019, 3:42 am ad1c9bdddf
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Problem: Assume if your portfolio alpha is 4%. What would be your portfolio return if the stock market declines by 10% during the quarter?
[$2,000,000/(1,200 x $500)] x 1.20 = 4 ...
The following posting helps problems regarding stock market declines and portfolio returns. Step by step calculations are given for each problem.