Stock market declines, portfolio return, business contracts, business law, portfolio, dividends
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 $20M hedge fund stock portfolio has a beta of 12, 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