Kamiko Watanabe Case Scenario (Derivatives) CFAI Topic test

CFA Level III Derivatives
#1

Hi all,

did someone this topic test?

[question removed by moderator]

In the solutions, when the number of bond futures is calculated it takes the target beta (cash) as 0.25 (which is in line with the assumption that cash as a duration of 0.25). But then, when calculatiing the number of equity futures to buy, the current beta (cash) is taken as 0.

Why this? shouldn’t be consistent with the first question and take as current beta for cash 0.25 as well?

#2

I haven’t started with the topic tests yet, but, because you are reducing your equity position, you should sell stock index futures contracts to reduce the beta on the X amount you are selling to 0.

#3

Yes, that is obvious, such a stupid question :slight_smile: just confused duration duration with beta… oh man!

#4

Yeah I think it was an error, a massive one. The mock from this year seemed to have quite a few.