Client Cs $100 million portfolio contains $60 million in U.S. large-cap stocks, $20 million in...
90.2K
Verified Solution
Link Copied!
Question
Accounting
Client Cs $100 million portfolio contains $60 million in U.S. large-cap stocks, $20 million in U.S. Treasury bills, and $20 million in U.S. Treasury bonds. The client wants to create a synthetic cash position because he believes that in three months, the level of the S&P 500 Index will be 925.00, and Treasury bond yields will have declined. 6.) With respect to Client C's market view, Allison will most likely:
A. buy S&P 500 Index Futures and buy U.S. Treasury bond futures
B. sell S&P 500 Index Futures
C. sell U.S. Treasury bond futures
Amy Allison is a fund manager at Gaels Securities. The third quarter ends today, and she is preparing for her quarterly review with her three largest U.S.-based clients. To complete her analysis, she has obtained the market data in Exhibit 1. tExhibit 1 Market Data As of 30 September Level of NASDAQ 100 Index 1223.14 Level of S&P 500 Index Price of December S&P 500 Index$245,750 futures contract Beta of Nasdaq 100 futures contract 1.00 Price of December U.S. Treasury$106,906 bond futures contract Implied modified duration of U.S. 6.87 Treasury-bond futures contract Macaulay duration of U.S. Treasury 7.05 bond futures contract 984.03
Answer & Explanation
Solved by verified expert
Get Answers to Unlimited Questions
Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!
Membership Benefits:
Unlimited Question Access with detailed Answers
Zin AI - 3 Million Words
10 Dall-E 3 Images
20 Plot Generations
Conversation with Dialogue Memory
No Ads, Ever!
Access to Our Best AI Platform: Flex AI - Your personal assistant for all your inquiries!
