[2008]Topic 12: Hedging Strategies Using Futures相关习题

Baran

1、Which of the following is a definition of basis risk? Basis risk is the uncertainty about the difference between the:

A) spot price and the futures price at the time the hedge is removed.
 
B) current spot price and the current futures price.
 
C) current spot price and the spot price over the hedging horizon.
 
D) current spot price and the spot price at the time the hedge is removed 
 

 

[此贴子已经被作者于2009-6-24 15:34:19编辑过]

Baran

The correct answer is B 

Imperfect correlations between the futures price and the underlying spot price decrease the effectiveness of a hedged position. When the hedging horizon is long relative to the maturity of the futures used in the hedging strategy, the hedge has to be rolled prior to expiration. As maturity of the hedging instrument approaches, the hedger must close out the existing position and replace it with another contract with a later maturity. Rolling the hedge forward exposes the hedger to the basis risk of the new position each time the hedge is rolled.

[此贴子已经被作者于2009-6-24 15:21:30编辑过]

Baran

The correct answer is A

 

Because Fullen is long the portfolio, he will want to short futures contracts. number of contracts = β_portfolio × (portfolio value/value of futures contract). The value of the futures contract = 1,050 × 250 = $262,500. number of contracts = 0.75 × ($25,000,000 / $262,500) = 71 contracts.

Baran

13、Which of the following factors is/are often considered to be a problem with hedged positions?

  I. Uncertainty with roll-over of the hedging instrument.
 II. Perfect correlation between the asset and the hedging instrument.
III. Certainty with the date of the underlying asset’s purchase or sale.
IV. Imperfect correlation between the hedged asset and the hedging instrument.
A) I only.
 
B) I and II only.
 
C) I and IV only.
 
D) II and III only. 
 

 

Baran

The correct answer is D

 

The portfolio manager’s target equity exposure sensitivity measure is 1.05, while its current measure is 0.92. The number of futures contracts can be determined as [(1.05-0.92) $15 million] / ($250 x 1205)] ≈ 6 contracts. The portfolio manager wants to buy six S& 500 contracts to increase his exposure.

Baran

12、Craig Fullen is a portfolio manager with a $25,000,000 value portfolio with a beta of 0.75 relative to the S& 500. Fullen is concerned the market will fall, and wants to hedge the risk to his portfolio using S& 500 futures contracts. If the current value of the S& 500 is 1,050, what action should Fullen take to hedge his portfolio?

A) Sell 71 futures contracts.
 
B) Sell 95 futures contracts.
 
C) Buy 95 futures contracts.
 
D) Sell 119 futures contracts. 
 

 

Baran

11、A portfolio manager would like to use S& 500 stock index futures to help increase his exposure to movements in the stock market over the next three months. The current S&500 futures contracts are trading at 1,205 with a multiplier of $250, and the portfolio manager would like to increase the portfolio beta from 0.92 to 1.05. If the value of the asset portfolio is $15 million, the position taken for stock index futures would be closest to which of the following?

A) Sell 6 contracts.
 
B) Sell 50 contracts.
 
C) Purchase 50 contracts.
 
D) Purchase 6 contracts. 
 

 

Baran

10、The minimum variance hedge ratio is equal to the product of the correlation coefficient between the spot and futures price changes and the ratio of the:

A) standard deviation of the futures to the standard deviation of the spot.
 
B) standard deviation of the spot to the standard deviation of the futures.
 
C) variance of the spot to the variance of the futures.
 
D) variance of the futures to the variance of the spot. 
 

 

Baran

The correct answer is B

 

The minimum variance hedge ratio is defined as the product of the correlation coefficient times the ratio of the standard deviation of the spot price change and the standard deviation of the future price change.

Baran

9、The purpose of computing a minimum variance hedge ratio is to minimize the variance of the:

A) hedging instrument.
 
B) combined hedged and hedging instrument portfolio.
 
C) instrument to be hedged.
 
D) correlation estimator.