Hi all -here’s an ex CFAI mock question. I’m quite baffled by the answer provided, as CFAI use 25 contracts to calculate value of new portfolio rather than the 100 contracts sold. Can anyone kindly shed some light… (i’m hoping it could it be a CFAI error?)
Thanks in advance.
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What is Futures contracts beta? If 25 was the number of contracts sold which was supposed to be calculated, the effective beta calculation is OK.
Hi Flashback - no, it says 100 contracts sold- hence my confusion?
25 is because this is for a Quarter…
The market value would be the gain on the short position multiplied by number of contracts. Sorry CP, i don’t get why you would divide by 4…
Shouldn’t be then 0,25 x return rate to calculate rate for the quarter, not the number of contracts divided by 4?
sorry flashback, but it is not asking for quarterly return and also the un-hedged portfolio return is not calculated on a quarterly basis?
I haven’t started with Mocks yet. I will report back. 
@Mr. Stress - The question says “25 December Nasdaq 100 futures contracts”
That is 25 contracts for the month of December on the “Nasdaq 100” index.
Not December 25 as in Christmas.
funny funny, 