I can’t post the question Re: Chad… But in Book 4 p. 116 in the example in the blue box. How come they use the value “In six months” as oppose to the current value. I guess I dont see anything in the language that would make me take that leap.
um…i’m not sure what book 4 page 116 you’re looking at but they say the manager has $120mln value currently and FOR the next 6 months wants to converst it so a synthetic equity position. or you might mean when deciding on how much value the portfolio has is six months you future value it to get the right number of unrounded contracts…then you pv that number with the number of rounded contracts to get the value you invest in synthetic equity today. Does this answer your question?
“A manager has $120m in treasury bills with a yeild of 3%. For the next six month,…” is that what you are referring???
Yeah, and I saw the “for the next 6 months” I guess I thought you would use the value now to create the synthetic position.
The manager would like to put his current 120m into synthetic equities 6 months later. How much will she have when she is about to invest, 6 months later? The answer is 120m(1.03)^0.5 That's why you are using this amount to come up to the appropriate number of futures contract. Hope this helps … if I am explaining correctly 
- sticky
If you use the value now to creat the synthetic position, then the synthetic is worth less than what you really wanted in 6 month.
Thanks guys, its more clear now : )