hedgingstrategiesusingfutures(更新版)
【正文】 ng an Equity Portfolio ? Desire to be out of the market for a short period of time. (Hedging may be cheaper than selling the portfolio and buying it back.) ? Desire to hedge systematic risk (Appropriate when you feel that you have picked stocks that will outperform the market.) 24 Example Value of Samp。 Short Hedges ? A long futures hedge is appropriate when you know you will purchase an asset in the future and want to lock in the price ? A short futures hedge is appropriate when you know you will sell an asset in the future amp。P 500 is 1,000 Value of Portfolio is $5 million Beta of portfolio is What position in futures contracts on the Samp。1 Hedging Strategies Using Futures Chapter 3 2 Long amp。P 500 is necessary to hedge the portfolio? A = 1000x250 = $.25 M N = (0 – )(5)/.25 = 30 contracts (sell) 25 Changing Beta ? What position is necessary to reduce the beta of the portfolio to ? N = (.75 – )(5)/.25 = 15 contracts (sell) ? What position is necessary to increase the beta of the portfolio to ? N = (2 – )(5)/.25 = 10 contracts (buy) 26 Rolling The Hedge Forward ? We can use a series of futures contracts to increase the life of a hedge ? Each time we switch from 1 futures contract to another we incur a type of basis risk
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