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On Monday morning you sell one June T-bond futures contract at 97:27 or for $97 843.75. The contract's face value is $100 000. The initial margin requirement is $2 700 and the maintenance margin requirement is $2 000 per contract. Use the following price data to answer the question. On Monday morning you sell one June T-bond futures contract at 97:27 or for $97 843.75. The contract's face value is $100 000. The initial margin requirement is $2 700 and the maintenance margin requirement is $2 000 per contract. Use the following price data to answer the question. At the close of day Tuesday your cumulative rate of return on your investment is A) 16.2% B) -5.8% C) -0.16% D) -2.2% At the close of day Tuesday your cumulative rate of return on your investment is


A) 16.2%
B) -5.8%
C) -0.16%
D) -2.2%

E) A) and D)
F) None of the above

Correct Answer

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On Monday morning you sell one June T-bond futures contract at 97:27 or for $97 843.75. The contract's face value is $100 000. The initial margin requirement is $2 700 and the maintenance margin requirement is $2 000 per contract. Use the following price data to answer the question. On Monday morning you sell one June T-bond futures contract at 97:27 or for $97 843.75. The contract's face value is $100 000. The initial margin requirement is $2 700 and the maintenance margin requirement is $2 000 per contract. Use the following price data to answer the question. Your cumulative rate of return on your investment after Wednesday is a/an ________. A) 79.9% loss B) 2.6% loss C) 33.0% gain D) 53.9% loss Your cumulative rate of return on your investment after Wednesday is a/an ________.


A) 79.9% loss
B) 2.6% loss
C) 33.0% gain
D) 53.9% loss

E) A) and C)
F) A) and B)

Correct Answer

verifed

verified

Suppose that the pre-tax holding period returns on two shares are the same. Share A has a high dividend payout policy and share B has a low dividend payout policy. If you are a high tax rate individual and do not intend to sell the shares during the holding period, ________.


A) Share A will have a higher after-tax holding period return than Share B
B) the after-tax holding period returns on Shares A and B will be the same
C) Share B will have a higher after-tax holding period return than Share A
D) it is impossible to determine which share will have a higher after-tax holding period return given the information available

E) A) and C)
F) C) and D)

Correct Answer

verifed

verified

On Monday morning you sell one June T-bond futures contract at 97:27 or for $97 843.75. The contract's face value is $100 000. The initial margin requirement is $2 700 and the maintenance margin requirement is $2 000 per contract. Use the following price data to answer the question. On Monday morning you sell one June T-bond futures contract at 97:27 or for $97 843.75. The contract's face value is $100 000. The initial margin requirement is $2 700 and the maintenance margin requirement is $2 000 per contract. Use the following price data to answer the question. On which of the given days do you get a margin call? A) Monday B) Tuesday C) Wednesday D) None On which of the given days do you get a margin call?


A) Monday
B) Tuesday
C) Wednesday
D) None

E) A) and B)
F) All of the above

Correct Answer

verifed

verified

C

On Monday morning you sell one June T-bond futures contract at 97:27 or for $97 843.75. The contract's face value is $100 000. The initial margin requirement is $2 700 and the maintenance margin requirement is $2 000 per contract. Use the following price data to answer the question. On Monday morning you sell one June T-bond futures contract at 97:27 or for $97 843.75. The contract's face value is $100 000. The initial margin requirement is $2 700 and the maintenance margin requirement is $2 000 per contract. Use the following price data to answer the question. After Monday's close the balance on your margin account will be ________. A) $2 700.00 B) $2 000.00 C) $3 137.50 D) $2 262.50 After Monday's close the balance on your margin account will be ________.


A) $2 700.00
B) $2 000.00
C) $3 137.50
D) $2 262.50

E) A) and B)
F) None of the above

Correct Answer

verifed

verified

You manage $15 million hedge fund portfolio with beta = 1.2 and alpha = 2% per quarter. Assume that the risk-free rate is 2% per quarter and the current value of the S&P 500 index = 1200. You want to exploit positive alpha but you are afraid are afraid that the share market may fall and hedge your portfolio by selling the 3-month S&P 500 future contracts. The S&P contract multiplier is $250. When you hedge your share portfolio with futures contracts the value of your portfolio beta is ________.


A) 0
B) 1
C) 1.2
D) Beta cannot be determined from information given

E) A) and B)
F) A) and C)

Correct Answer

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A

How much is the portfolio expected to be worth 3 months from now?


A) $15 000 000
B) $15 450 000
C) $15 600 000
D) $16 000 000

E) None of the above
F) A) and D)

Correct Answer

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C

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