Problem 3_28 - -0.099-0.029 0.040 0.110 Portfolio...

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Beta 0.87 Number of Contracts 138.20492 Rounded 138 Index now 1250 1250 1250 1250 1250 Index Level in Two Months 1000 1100 1200 1300 1400 Return on Index in Two Months -0.20 -0.12 -0.04 0.04 0.12 Return on Index incl divs -0.195 -0.115 -0.035 0.045 0.125 Excess Return on Index -0.205 -0.125 -0.045 0.035 0.115 Excess Return on Portfolio -0.178 -0.109 -0.039 0.030 0.100 Return on Portfolio -0.168
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Unformatted text preview: -0.099-0.029 0.040 0.110 Portfolio Gain-8,417,500 -4,937,500 -1,457,500 2,022,500 5,502,500 Futures Now 1259 1259 1259 1259 1259 Futures in Two Months 1002.50 1102.75 1203.00 1303.25 1403.50 Gain on Futures 8,849,250 5,390,625 1,932,000-1,526,625-4,985,250 Net Gain on Portfolio 431,750 453,125 474,500 495,875 517,250...
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