Register To Attempt Complete Test
A fund manager has a USD 100 million portfolio with a beta of 0.75. The manager has bullish expectations for the next couple of months and plans to use futures contracts on the S&P500 to increase the portfolio´s beta to 1.8. Given the following information, which strategy should the fund manager follow.
I. The current level of the S&P index is 1250
II. Each S&P futures contract delivers USD 250 times the index
III. The risk-free interest rate is 6% per annum
Choose one answer.