8006 試験問題を無料オンラインアクセス

An asset manager holds an equity portfolio valued at $25m with a beta of 0.8. She would like to reduce the beta of the portfolio to 0.6 for the next 3 months using index futures. Index futures are curently trading at
1450, and the contract multiple is 250. How should the asset manager trade the index futures to get his desired result? Assume her portfolio is well diversified.

• A.Buy 25 index futures contracts
• B.Sell 14 index futures contracts
• C.Sell 35 index futures contracts
• D.Sell 55 index futures contracts

The securities market line (SML) based upon the CAPM expresses the relationship between

• A.asset beta and expected returns
• B.asset standard deviation and expected returns
• C.market returns and asset returns
• D.excess returns from the asset and its standard deviation

A bank holds a portfolio of residential mortgages. An increase in the volatility of mortgage interest rates leads to:

• A.An increase in the value of the mortgage portfolio
• B.An increase in the duration of the mortgage portfolio
• C.A decrease in the value of the mortgage portfolio
• D.Both duration and value of the mortgage portfolio stay unchanged

Basis risk between spot and futures prices tends to be the highest for:

• A.interest rate futures
• B.stock index futures
• C.commodity futures
• D.foreign exchange futures

The theta of a delta neutral options position is large and positive. What can we say about the gamma of the position?

• A.The gamma must be large and negative
• B.The gamma must be small and positive
• C.The gamma must be small and negative
• D.The gamma must be large and positive