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A manager of $40 million of mid-cap equities would like to move $5 million of the position to large-cap equities. The beta of the mid-cap position is 1.1, and the average beta of large-cap stocks is 0.9. The betas of the corresponding mid and large-cap futures contracts are 1.1 and 0.95 respectively. The mid and large-cap futures prices are $252,000 and $98,222 respectively. What is the appropriate strategy? Short: A. 20 mid-cap futures and go long 48 large-cap futures. B. 29 mid-cap futures and go long 29 large-cap futures. C. 23 mid-cap futures and go long 42 large-cap futures. |