exercise equity-futures
TRANSCRIPT
EXERCISE: Equity futures
Suppose you are an investor with a share portfolio valued at RM 1 million with a beta of 1.15. You wish to protect your investment against any unexpected fall in the share market. In March, you decide to hedge using June FTSE Bursa Malaysia KLCI futures, which are trading at 1184. Show the outcome of the hedge (Assuming you close out your position in early June at a price of 1153) by completing the following table.
Share Market Futures Market
MARCH
Hold RM 1 million portfolio.
FTSE Bursa Malaysia KLCI is 1172
MARCH
Number of contract?
= Value of portfolio/ RM50 x index
Futures postion:
Value:
JUNE
FTSE Bursa Malaysia KLCI is 1149
Profit/loss in value of portfolio:
Profit/loss on futures:
Net profit/loss on portfolio:
JUNE
Futures position:
Value:
Profit/loss on futures transaction: