Sign up  |  Log in

Kamiko Watanabe Case Scenario (Derivatives) CFAI Topic test

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?

Available Live or Online, our classes are taught by CFA® charterholders that have a history of helping candidates pass. Take your studies seriously with a live class from Schweser.

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. 

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