The writer is very fast, professional and responded to the review request fast also. Thank you.
Please answer the following questions, feel free to use excel, and/or word for your answers. I will need the solutions within 24 hours. I’ve attached an example solution for adjusting the beta as well as an attachment of some notes for derivative swaps if needed.
Please note: Many of these problems have multiple parts (i.e. a. b. c. d., …)
1) You have a $60 million equity portfolio with a Beta of 1.5, and appropriate equity futures are trading at 2300 (Full Price) and have a Beta of .99. (10 Points)
What futures trade would be required to reduce the overall beta of your portfolio to .8?
2) Tyler is a portfolio manager for an unconstrained bond fund and has a portfolio that totals $475 million. Tyler’s overall bond allocation is 60% and the Fixed Income portfolio has an overall duration of 8. Tyler is worried about interest rates increasing over the next few months and wants to lower the duration of his fixed income holdings. Since Tyler’s Fund is unconstrained, it is hard to find an appropriate derivative contract that matches his portfolio, therefore, his hedged portfolio is subject to increased basis risk.
Tyler found a derivative Fixed Income futures contract that trades for $215,000 (full price, including multiplier) that has an overall effective duration of 2. Also, Tyler has adjusted for the mismatch of his portfolio with the duration and has a calculated a yield beta of 1.5 for the derivative contract with the holdings in his portfolio.
What futures trade would be required to reduce the portfolio’s fixed-income holdings to have an effective duration of 3? (10 Points)
Show more
Delivering a high-quality product at a reasonable price is not enough anymore.
That’s why we have developed 5 beneficial guarantees that will make your experience with our service enjoyable, easy, and safe.
You have to be 100% sure of the quality of your product to give a money-back guarantee. This describes us perfectly. Make sure that this guarantee is totally transparent.
Read moreEach paper is composed from scratch, according to your instructions. It is then checked by our plagiarism-detection software. There is no gap where plagiarism could squeeze in.
Read moreThanks to our free revisions, there is no way for you to be unsatisfied. We will work on your paper until you are completely happy with the result.
Read moreYour email is safe, as we store it according to international data protection rules. Your bank details are secure, as we use only reliable payment systems.
Read moreBy sending us your money, you buy the service we provide. Check out our terms and conditions if you prefer business talks to be laid out in official language.
Read more