hedge

  1. David Harper CFA FRM

    P1.T3.21.14. Tailing the hedge

    Learning objectives: Calculate the profit and loss on a short or long hedge. Compute the optimal number of futures contracts needed to hedge an exposure and explain and calculate the “tailing the hedge” adjustment. Explain how to use stock index futures contracts to change a stock portfolio’s...
  2. N

    How to pre-invest future cash inflow using stock index futures?

    This is part of the prompt of an FRM problem, A portfolio manager for a large-cap growth fund knows he will be receiving a significant cash investment from a client Within the next month and wants to pre-invest the cash using stock index futures. I don't really understand the prompt, basically...
  3. M

    Optimal Hedge Ratio Correlation Understanding

    Hi, I have a doubt about the meaning of the hedge ratio. Hedge ratio = ρ * σ_spot / σ_fut Number of contracts = HedgeRatio * PortfolioValue / ValueFuturesContract Therefore, the lower the correlation, the lower the number of contracts. So, let's say that I have a portfolio of $ 1.000.000 of...
  4. Nicole Seaman

    P2.T8.411. Hedge funds strategies

    AIMs: Evaluate the role of investors in shaping the hedge fund industry. Explain the relationship between risk and alpha in hedge funds. Compare and contrast the different hedge fund strategies, describe their return characteristics, and describe the inherent risks of each strategy. Questions...
Top