Suppose you are managing an equity portfolio with a beta of 0.8 and $15M in assets....

Suppose you are managing an equity portfolio with a beta of 0.8 and $15M in assets. S&P 500 index futures with a multiplier of 250 (not the e-mini futures) are currently priced at 1,057, and the index is also 1,057. What position in index futures is necessary to increase the portfolio beta to 1.4?

Expert Solution

To increase the beta, the long has to be taken.

Position in index = Long position.

Value of Position = (Desired beta - existing beta) * portfolio value

= (1.4 - 0.8) * 15,000,000

= 9,000,000

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jeff jeffy answered 2 years ago

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