helpEquity-linked Securities: 1 FIN 403 – Individual Course Hedging Project – Fall 2022 Hedging...

Question

helpEquity-linked Securities:  1  FIN 403 – Individual Course Hedging Project – Fall 2022    Hedging a Stock Portfolio with S&P 500 Futures Contracts    For this project, you will gain understanding of how a financial institution could use futures  contracts to hedge against general market-level equity risk for their stock portfolio holdings, over  a given period of time.  You will also gain familiarity with futures contracts.  Finally, you will  refresh your statistical and Excel skills, because the exercise will require you to perform an OLS  regression in Excel in order to estimate the hedge ratio.   For the purposes of this assignment, we  will ignore the discreteness in your hedge position, based on the size of futures contracts.  Rather,  we will assume that you can take a position in any dollar amount for your futures position.  This  project will evaluate the 2020-2021 timeframe as an interesting period historically with several  instances when VIX was very elevated, even exceeding 60% briefly in March 2020 and the VIX  exceeded 30 a couple times in 2021.    Due Date:  The due date is by 11:59 pm on Wednesday, November 30; files submitted to the  Blackboard Assignment.  See page 3 for details on the deliverables for this project.  After this due  date, we will discuss the project answers in our final day of class, to close the loop on this project.    Hedging a Stock Portfolio with S&P 500 Futures Contracts    This project will feature the posted “SP500_FuturesData” Excel spreadsheet.  This spreadsheet  contains daily returns that represent returns you would have approximately earned from holding a  position in S&P500 futures contracts over 1/2/2020 to 12/31/2021  (Filename:  SP500FutRet2020_21.xlsx).   January 2, 2020 is the first trading day of that year.1    1.  For our hypothetical stock holdings, we will use the ETF on the Russell MidCap Index to  represent a hypothetical mid-cap stock portfolio that an institution might hold.  See additional  information on the Russell MidCap index on the last page of these instructions).  To illustrate the  concept of hedge mismatching (in terms of your operational holdings not aligning exactly with the  underlying of the futures contract), we will use this mid-cap index ETF.  Go to Yahoo Finance and  select the price history time-period from 12/31/2019 to 01/01/2022 (in the dropdown menu Yahoo  choice) for the ticker IWR (which is the ETF for the Russell 2000) and then download the data to  an Excel spreadsheet.  Then, use the adjusted closing price (Adj Close) to calculate the daily returns  for this ETF stock fund for each trading day over 2020-2021 to match with the daily returns of the  S&P futures (that were given to you).2  It is recommended to compute and work with percentage                                                    1 Note that the “futures return” is really the percentage change in the price of the futures contract; rather than an  actual return because there is no initial outlay when you enter into a future contract.    2 With this download and calculation, you should end up with 505 daily returns, dating from 1/2/2020 to  12/30/2021.   2  return units (rather than decimal), for ease of review.3 Then, merge the stock-fund returns and the  S&P 500 Futures returns together, by date, in a single worksheet for statistical evaluation.4    2.   To evaluate whether the S&P 500 futures contract appears to useful as a good hedge against  equity-market risk for your stock fund, graph the S&P 500 futures return (as the x-variable) against  the IWR stock-fund return (as the y-variable) using a scatter graph from Excel, with an included  linear regression line over the 2020 evaluation period only (so do not graph all your data, but just  that over 2020. Include this graph as an appendix in your deliverables for this assignment.      3.  Next, assume that you are a hedge fund and you have a broad mid-cap oriented stock portfolio  (represented by the IWR fund) that you might periodically wish to hedge against general stock  market risk.  For the purposes of the hedge exercise, assume that the beginning value of your stock  portfolio is $225 million.  In this exercise, you will evaluate how a stock hedge would have  performed over 2021, based on a hedge ratio estimated with 2020 daily data.  Specifically:    a)  In terms of the timing for this hedge, pretend that it is the end of 2020 and you just received the  stock returns for your portfolio over 2020 (as calculated from the Yahoo IWR prices).  Then, to  determine the hedge ratio for your hedge going forward, regress the daily percentage returns of the  S&P 500 futures contracts (as your explanatory x variable) against the daily IWR returns of your  stock fund (as the dependent y variable) over 2020 only. Include a copy of this Excel regression as  an appendix in your deliverables for this assignment.      b) From your regression above over the 2020 period, what proportion of the variance of your stock- fund returns are you able to explain based on the S&P 500 futures returns?  Based on your  estimated Beta, what should be your dollar position (exposure) in the futures market to  appropriately hedge your stock portfolio, going forward?5    c) Next, assume that you are going to set up your hedge at the beginning of 2021, using the hedge  ratio determined in a) above and with a starting value of a $225 million stock portfolio at the  beginning of each trading day over 2021, where you assume that your portfolio returns are those  of the IWR ETF.6  Given these return outcomes over 2021, use Excel to determine: Without the  hedge, what would have been the standard deviation of your daily dollar gain/loss (or change in  the value of your portfolio in dollars) ?  With the hedge, what would have been the standard                                                    3 You can either format the cells in Excel to “%”, or multiply the decimal returns by 100, so that the number  displayed in Excel is a percentage return.  4 Recommend using Excel’s VLookUp function to merge the two return series.  5 For this application: _(in dollars) (in dollars)*f S futures spotN N β= −  where the beta is from a regression  of the futures return as the x-variable versus the spot return as the y-variable. This is an application of the  minimum variance hedge ratio discussed on pages 355-360 in the Chance textbook, as we derived in class.  6 Thus, these instructions assume that your daily holdings are consistently about $225 million, but if this hedge was  actually put into place there would be day-to-day fluctuations in the fund’s value.   3  deviation of your daily dollar gain/loss?  Without the hedge, what would have been your greatest  daily dollar loss over this period?  With the hedge, what would have been your greatest daily dollar  loss over this period?  Include a copy of this Excel spreadsheet where you did these calculations  as a separate file for your deliverables for this assignment (Hint: Do not forget to review the  example spreadsheet from the in-class demonstration.)     Deliverables:  Your report should include:  1)  Header Information: Project title, class, & date.    2)  Name.;   3)  A summary written report, in the spirt of an Executive Summary, that concisely summarizes  the problem assignment and your work and findings. The summary report should briefly address  the embedded questions in the above instructions.  (See http://en.wikipedia.org/wiki/Executive_summary   for a review of Executive Summaries).  4) The requested spreadsheet, regression output, and graph that are asked for in the instructions  should be included as appendices that are referred to in the written report.  See the demonstration  file as an example format for your spreadsheet.  5)  Report Due:  Due date is by 11:59 pm by Wednesday, November 30.     Your deliverables should be submitted through the Blackboard assignment.  For the graph and  regression output; you can paste the required parts into MS Word and submit as a Word file (or  .pdf file) that contains the Executive Summary and the answers for the project, with the graph and  regression output as appendices to the Executive Summary.  But, don’t forget to also submit your  supporting spreadsheet as a second file. Make sure to name the files so for clarity. (For example:  FIN403_Project2_Hedge_Jones.doc and FIN403_Project2_Hedge_Jones.xlsx)  ____________________________  About the Russell Midcap Index, from Investopedia:    The Russell Midcap Index is a market capitalization-weighted index comprised of 800  publicly traded U.S. companies with market caps of between $2 and $10 billion. The  800 companies in the Russell Midcap Index are the 800 smallest of the 1,000 companies  that comprise Russell 1000 Index.  http://en.wikipedia.org/wiki/Executive_summary 	FIN 403 – Individual Course Hedging Project – Fall 2022 	Hedging a Stock Portfolio with S&P 500 Futures Contracts   Data 	Notes:  These returns are "daily percentage returns" that approximate those from holding a position in a near-term S&P 500 futures contracts.  (So, these are "percentage returns", not prices.  For the project, you will have to calculate comparable percentage returns from the adjusting closing prices of the IWR ETF.) 	Date	SP500FutRet 	1/2/20	0.935% 	1/3/20	-0.757% 	1/6/20	0.381% 	1/7/20	-0.281% 	1/8/20	0.533% 	1/9/20	0.678% 	1/10/20	-0.288% 	1/13/20	0.688% 	1/14/20	-0.152% 	1/15/20	0.226% 	1/16/20	0.832% 	1/17/20	0.311% 	1/21/20	-0.196% 	1/22/20	0.012% 	1/23/20	0.115% 	1/24/20	-0.889% 	1/27/20	-1.603% 	1/28/20	1.048% 	1/29/20	-0.083% 	1/30/20	0.325% 	1/31/20	-1.816% 	2/3/20	0.743% 	2/4/20	1.524% 	2/5/20	1.155% 	2/6/20	0.336% 	2/7/20	-0.533% 	2/10/20	0.747% 	2/11/20	0.173% 	2/12/20	0.644% 	2/13/20	-0.107% 	2/14/20	0.160% 	2/18/20	-0.258% 	2/19/20	0.478% 	2/20/20	-0.411% 	2/21/20	-1.030% 	2/24/20	-3.317% 	2/25/20	-3.030% 	2/26/20	-0.368% 	2/27/20	-4.491% 	2/28/20	-0.420% 	3/2/20	4.331% 	3/3/20	-2.863% 	3/4/20	4.203% 	3/5/20	-3.324% 	3/6/20	-1.653% 	3/9/20	-7.809% 	3/10/20	5.174% 	3/11/20	-4.875% 	3/12/20	-9.568% 	3/13/20	8.549% 	3/16/20	-10.942% 	3/17/20	5.399% 	3/18/20	-5.063% 	3/19/20	0.212% 	3/20/20	-4.309% 	3/23/20	-2.557% 	3/24/20	9.060% 	3/25/20	1.497% 	3/26/20	5.839% 	3/27/20	-2.979% 	3/30/20	3.248% 	3/31/20	-1.491% 	4/1/20	-4.500% 	4/2/20	2.308% 	4/3/20	-1.445% 	4/6/20	6.717% 	4/7/20	0.102% 	4/8/20	3.357% 	4/9/20	1.522% 	4/13/20	-0.913% 	4/14/20	2.949% 	4/15/20	-2.125% 	4/16/20	0.482% 	4/17/20	2.702% 	4/20/20	-1.762% 	4/21/20	-3.036% 	4/22/20	2.219% 	4/23/20	-0.007% 	4/24/20	1.394% 	4/27/20	1.442% 	4/28/20	-0.460% 	4/29/20	2.618% 	4/30/20	-0.931% 	5/1/20	-2.647% 	5/4/20	0.276% 	5/5/20	0.924% 	5/6/20	-0.678% 	5/7/20	1.207% 	5/8/20	1.655% 	5/11/20	0.021% 	5/12/20	-1.993% 	5/13/20	-1.769% 	5/14/20	1.197% 	5/15/20	0.460% 	5/18/20	3.046% 	5/19/20	-1.027% 	5/20/20	1.699% 	5/21/20	-0.690% 	5/22/20	0.190% 	5/26/20	1.232% 	5/27/20	1.488% 	5/28/20	-0.184% 	5/29/20	0.446% 	6/1/20	0.404% 	6/2/20	0.828% 	6/3/20	1.331% 	6/4/20	-0.263% 	6/5/20	2.563% 	6/8/20	1.209% 	6/9/20	-0.746% 	6/10/20	-0.558% 	6/11/20	-5.765% 	6/12/20	1.198% 	6/15/20	0.934% 	6/16/20	1.925% 	6/17/20	-0.415% 	6/18/20	0.038% 	6/19/20	-0.572% 	6/22/20	0.642% 	6/23/20	0.460% 	6/24/20	-2.551% 	6/25/20	1.072% 	6/26/20	-2.375% 	6/29/20	1.470% 	6/30/20	1.281% 	7/1/20	0.700% 	7/2/20	0.551% 	7/6/20	1.544% 	7/7/20	-1.031% 	7/8/20	0.765% 	7/9/20	-0.569% 	7/10/20	1.021% 	7/13/20	-0.866% 	7/14/20	1.296% 	7/15/20	0.919% 	7/16/20	-0.329% 	7/17/20	0.290% 	7/20/20	0.808% 	7/21/20	0.213% 	7/22/20	0.569% 	7/23/20	-1.193% 	7/24/20	-0.644% 	7/27/20	0.729% 	7/28/20	-0.634% 	7/29/20	1.230% 	7/30/20	-0.357% 	7/31/20	0.790% 	8/3/20	0.695% 	8/4/20	0.386% 	8/5/20	0.621% 	8/6/20	0.668% 	8/7/20	0.072% 	8/10/20	0.299% 	8/11/20	-0.825% 	8/12/20	1.394% 	8/13/20	-0.181% 	8/14/20	0.003% 	8/17/20	0.318% 	8/18/20	0.216% 	8/19/20	-0.416% 	8/20/20	0.311% 	8/21/20	0.355% 	8/24/20	1.013% 	8/25/20	0.350% 	8/26/20	1.003% 	8/27/20	0.219% 	8/28/20	0.646% 	8/31/20	-0.362% 	9/1/20	0.942% 	9/2/20	1.446% 	9/3/20	-3.441% 	9/4/20	-0.816% 	9/8/20	-2.732% 	9/9/20	1.975% 	9/10/20	-1.736% 	9/11/20	0.051% 	9/14/20	1.317% 	9/15/20	0.505% 	9/16/20	-0.397% 	9/17/20	-0.880% 	9/18/20	-1.151% 	9/21/20	-1.113% 	9/22/20	1.018% 	9/23/20	-2.319% 	9/24/20	0.267% 	9/25/20	1.617% 	9/28/20	1.661% 	9/29/20	-0.545% 	9/30/20	0.758% 	10/1/20	0.642% 	10/2/20	-0.949% 	10/5/20	1.773% 	10/6/20	-1.422% 	10/7/20	1.741% 	10/8/20	0.886% 	10/9/20	0.893% 	10/12/20	1.609% 	10/13/20	-0.653% 	10/14/20	-0.628% 	10/15/20	-0.124% 	10/16/20	-0.060% 	10/19/20	-1.520% 	10/20/20	0.401% 	10/21/20	-0.189% 	10/22/20	0.549% 	10/23/20	0.340% 	10/26/20	-1.848% 	10/27/20	-0.345% 	10/28/20	-3.418% 	10/29/20	1.016% 	10/30/20	-1.042% 	11/2/20	1.121% 	11/3/20	1.766% 	11/4/20	2.235% 	11/5/20	1.950% 	11/6/20	-0.023% 	11/9/20	1.257% 	11/10/20	-0.147% 	11/11/20	0.743% 	11/12/20	-0.970% 	11/13/20	1.384% 	11/16/20	1.248% 	11/17/20	-0.538% 	11/18/20	-1.203% 	11/19/20	0.421% 	11/20/20	-0.685% 	11/23/20	0.599% 	11/24/20	1.611% 	11/25/20	-0.154% 	11/27/20	0.278% 	11/30/20	-0.443% 	12/1/20	1.094% 	12/2/20	0.210% 	12/3/20	-0.027% 	12/4/20	0.862% 	12/7/20	-0.205% 	12/8/20	0.293% 	12/9/20	-0.897% 	12/10/20	-0.033% 	12/11/20	-0.117% 	12/14/20	-0.448% 	12/15/20	1.352% 	12/16/20	0.157% 	12/17/20	0.559% 	12/18/20	-0.399% 	12/21/20	-0.358% 	12/22/20	-0.169% 	12/23/20	0.090% 	12/24/20	0.389% 	12/28/20	0.859% 	12/29/20	-0.191% 	12/30/20	0.143% 	12/31/20	0.508% 	1/4/21	-1.361% 	1/5/21	0.689% 	1/6/21	0.598% 	1/7/21	1.486% 	1/8/21	0.570% 	1/11/21	-0.674% 	1/12/21	0.021% 	1/13/21	0.269% 	1/14/21	-0.350% 	1/15/21	-0.729% 	1/19/21	0.785% 	1/20/21	1.384% 	1/21/21	0.091% 	1/22/21	-0.354% 	1/25/21	0.394% 	1/26/21	-0.156% 	1/27/21	-2.444% 	1/28/21	0.860% 	1/29/21	-2.002% 	2/1/21	1.665% 	2/2/21	1.414% 	2/3/21	0.079% 	2/4/21	1.137% 	2/5/21	0.394% 	2/8/21	0.722% 	2/9/21	-0.067% 	2/10/21	-0.044% 	2/11/21	0.162% 	2/12/21	0.494% 	2/16/21	-0.087% 	2/17/21	0.023% 	2/18/21	-0.426% 	2/19/21	-0.177% 	2/22/21	-0.769% 	2/23/21	0.121% 	2/24/21	1.102% 	2/25/21	-2.410% 	2/26/21	-0.515% 	3/1/21	2.424% 	3/2/21	-0.780% 	3/3/21	-1.325% 	3/4/21	-1.237% 	3/5/21	1.840% 	3/8/21	-0.498% 	3/9/21	1.428% 	3/10/21	0.622% 	3/11/21	1.014% 	3/12/21	0.135% 	3/15/21	0.596% 	3/16/21	-0.126% 	3/17/21	0.341% 	3/18/21	-1.455% 	3/19/21	-0.185% 	3/22/21	0.798% 	3/23/21	-0.787% 	3/24/21	-0

Himanshu · Accepted Answer

1
	Date	SPY	LQD	GSG	SDS	SSO	SHV	SPY	LQD	GSG	SDS	SSO	SHV	Correlation	SPY(LQD)	SPY(GSG)	SPY(SDS)	SPY(SSO)	SPY(SHV)	LQD(GSG)
	6/1/18	258.61084	105.489876	17.91	37.120007	54.893349	106.069832	0.0012550318	-0.0051253411	0.0124363475	-0.0129132567	0.0085183275	0.0013879824		0.1660947117	0.4895524589	-0.1986615174	0.990963935	0.0077023672	-0.0301119096
	5/1/18	258.286682	106.033333	17.690001	37.605618	54.429699	105.922813	0.0243091241	0.0052293224	0.0154994834	-0.0448937514	0.0440913006	0.0014783894
	4/1/18	252.156967	105.481735	17.42	39.37323	52.131168	105.766449	0.009193937	-0.0157108092	0.0462462462	-0.0082717007	0.0034230144	0.0008529916
	3/1/18	249.859772	107.16539	16.65	39.70163	51.953331	105.676308	-0.0312901327	0.0054212994	0.0233558697	0.043301324	-0.056782655	0.0016327051
	2/1/18	257.93045	106.587547	16.27	38.053848	55.080975	105.504051	-0.0363605275	-0.0249853996	-0.0367080543	0.0659787574	-0.0807233604	-0.0008150384
	1/1/18	267.662811	109.318924	16.889999	35.698505	59.917736	105.590111	0.0617586922	-0.007522278	0.0374691623	-0.1020111742	0.1132979961	0.0029329513
	12/1/17	252.093826	110.147484	16.280001	39.753841	53.820034	105.281326	0.0069808088	0.01307431	0.0382653699	-0.0242451289	0.022137156	-0.000000152
	11/1/17	250.346207	108.725967	15.68	40.741627	52.654415	105.281342	0.0305659331	-0.0041985218	0.0129198966	-0.0567263813	0.0587421099	0.0004892528
	10/1/17	242.921097	109.18438	15.48	43.191738	49.732994	105.229858	0.0286437107	0.0018939422	0.0389261745	-0.0439443617	0.0462649307	0.0003081539
	9/1/17	236.156693	108.977982	14.9	45.177013	47.533844	105.197441	0.0151116024	-0.0005000252	0.030428769	-0.0381444584	0.0372036893	0.0006982418
	8/1/17	232.641113	109.032501	14.46	46.968605	45.828842	105.124039	0.0029177723	0.0068017627	-0.0102669405	-0.0053322088	0.0031190502	0.0006440161
	7/1/17	231.964294	108.295898	14.61	47.220394	45.686344	105.056381	0.0255310595	0.0076266081	0.0420827389	-0.0386433249	0.040405937	0.0009611979
	6/1/17	226.189438	107.476219	14.02	49.118496	43.912037	104.955498	0.0014909984	0.0048814103	-0.0168302945	-0.0116914923	0.009479541	0.00073466
	5/1/17	225.852692	106.954132	14.26	49.699558	43.49968	104.878448	0.0141129842	0.0133223865	-0.0117810118	-0.0272933349	0.0254601226	0.0005166837
	4/1/17	222.709595	105.547981	14.43	51.094086	42.41967	104.824287	0.0143198069	0.0118985051	-0.0263157895	-0.0193309743	0.0195916468	-0.0000543738
	3/1/17	219.56546	104.306885	14.82	52.101254	41.604568	104.829987	-0.0030871565	-0.0029653467	-0.040776699	-0.0029651028	-0.0012948135	0.0000907647
	2/1/17	220.245392	104.617111	15.45	52.256199	41.658508	104.820473	0.0392916131	0.0104813142	0.0012961763	-0.0747600128	0.0783195266	0.0000906298
	1/1/17	211.918762	103.53196	15.43	56.478535	38.632805	104.810974	0.0238942918	0.0069246374	-0.0153158902	2.9062291862	0.0359184195	0.001605526
	12/1/16	206.973282	102.819969	15.67	14.458582	37.293289	104.642967	0.0142932912	0.0055533318	0.0502680965	-0.7630158564	0.0387448868	0.0000541012
	11/1/16	204.056641	102.252129	14.92	61.010757	35.90226	104.637306	0.0368384301	-0.0316894594	0.0247252747	-0.0729842832	0.0722644306	-0.0006975815
	10/1/16	196.806595	105.598488	14.56	65.814156	33.482655	104.71035	-0.0123732091	-0.0153166885	-0.0175438596	0.0366079855	-0.0359263725	0.0003897408
	9/1/16	199.272232	107.241066	14.82	63.489918	34.730392	104.669556	-0.0049682621	-0.0031341471	0.0407303371	-0.0066667004	-0.0036501623	0.000634187
	8/1/16	200.267212	107.578232	14.24	63.916027	34.857628	104.603218	0.0011976494	0.0018952971	0.0200573066	-0.0036232518	0.0009837071	0.0000180112
	7/1/16	200.027649	107.374725	13.96	64.148453	34.823372	104.601334	0.0418612618	0.0130181014	-0.1005154639	-0.0701850929	0.0753696928	0.0000092638
	6/1/16	191.990677	105.994873	15.52	68.990562	32.382698	104.600365	-0.0017155779	0.0308437033	0.0064850843	-0.0143886372	0.0003020117	0.0009243303
	5/1/16	192.320618	102.823418	15.42	69.997734	32.372921	104.503769	0.0170116492	-0.0050319499	0.0131406045	-0.0347222475	0.0317756966	-0.0000905914
	4/1/16	189.103653	103.343437	15.22	72.51564	31.375929	104.513237	0.0091190475	0.0156664834	0.1036983321	-0.0121373417	0.0105174115	0.0004531622
	3/1/16	187.394791	101.749382	13.79	73.406601	31.04937	104.465897	0.0617898347	0.0361869539	0.0446969697	-0.1279337224	0.1372060533	0.0003534555
	2/1/16	176.489532	98.195969	13.2	84.175484	27.303205	104.428986	-0.0008261082	0.0075338409	-0.0207715134	-0.0059468071	-0.0061981568	0.0002721441
	1/1/16	176.635452	97.461708	13.48	84.679054	27.47349	104.400574	-0.0441314559	0.0069095243	-0.0527055517	0.0968387725	-0.1008289749	0.0008801945
	12/1/15	184.790527	96.792915	14.23	77.202827	30.554243	104.308762	-0.02309653	-0.0135875019	-0.0825274017	0.0257335294	-0.0409499561	-0.0002087021
	11/1/15	189.159454	98.126205	15.51	75.265968	31.858862	104.330536	-0.0009572374	-0.001507809	-0.0913884007	2.9917824383	0.0059722659	-0.0001001045
	10/1/15	189.340698	98.274384	17.07	18.855228	31.669722	104.340981	0.0957362227	0.005770781	-0.0005854801	-0.790914963	0.1744604128	-0.0003533316
	9/1/15	172.797699	97.710518	17.08	90.17971	26.965338	104.377861	-0.0378086274	0.0118221016	-0.0599889928	3.2231288746	-0.0553854893	0.0002719132
	8/1/15	179.587662	96.568871	18.17	21.353767	28.546394	104.349487	-0.0538717448	-0.0082594153	0.0027593266	-0.7257462281	-0.124758274	0.0000906651
	7/1/15	189.813232	97.373116	18.120001	77.861343	32.61544	104.340027	0.0275634589	0.008249426	-0.1416390269	-0.0455840373	0.0433383767	-0.0001808662
	6/1/15	184.721664	96.576416	21.110001	81.580093	31.260654	104.358902	-0.0250546403	-0.0188616174	-0.0023629017	0.0379496505	-0.0420129223	0.0000902256
	5/1/15	189.468735	98.433022	21.16	78.597351	32.631603	104.349487	0.012856245	-0.0112508425	-0.0217290348	-0.0287218723	0.0230859302	0
	4/1/15	187.063797	99.553078	21.629999	80.92157	31.895271	104.349487	0.0143414538	-0.0118902993	0.1092307179	-0.020628063	0.0203000722	0.0000906651
	3/1/15	184.418961	100.751038	19.5	82.625984	31.260677	104.340027	-0.0200797169	0.0019706147	-0.0656445105	0.0259737322	-0.0361535417	-0.0000906569
	2/1/15	188.197922	100.552887	20.870001	80.53421	32.433254	104.349487	0.0562046544	-0.0168699106	0.0593908599	-0.1069586496	0.1140174711	0.0001813562
	1/1/15	178.183197	102.278313	19.700001	90.17971	29.113775	104.330566	-0.0242736461	0.0432465892	-0.0871176552	0.0557821939	-0.0597246743	0.0000910458
	12/1/14	182.615952	98.038483	21.58	85.41507	30.963032	104.321068	-0.0080117996	-0.0028635772	-0.137490008	-0.0004531806	-0.0102591173	-0.0000910376
	11/1/14	184.090851	98.32003	25.02	85.453796	31.283978	104.330566	0.0274722392	0.0091449422	-0.1009701761	-0.0548414165	0.0553566031	-0.0000906747
	10/1/14	179.168686	97.429047	27.83	90.412125	29.64304	104.340027	0.0283352725	0.0123112192	-0.0594795539	-0.0539117512	0.0442148276	0.000181737
	9/1/14	174.231781	96.244164	29.59	95.564156	28.387875	104.321068	-0.0183848226	-0.0167607758	-0.0606349206	0.0257798193	-0.029761019	-0.000181704
	8/1/14	177.494995	97.884789	31.5	93.162445	29.258642	104.340027	0.0394637113	0.0199459384	-0.015625	-0.0767755172	0.0787017668	0.0000906829
	7/1/14	170.756317	95.970566	32	100.909851	27.12394	104.330566	-0.0087105892	-0.003135995	-0.056603718	0.0239779541	-0.0279902446	-0.0000906747
	6/1/14	172.256775	96.272476	33.919998	98.546898	27.905008	104.340027	0.0157779582	0.0001523305	0.023845366	-0.0418079032	0.0401582606	0
	5/1/14	169.581131	96.257813	33.130001	102.846703	26.827656	104.340027	0.0232062264	0.0151395912	-0.0051050452	-0.0459936078	0.0440861576	0
	4/1/14	165.735046	94.822243	33.299999	107.805046	25.694868	104.340027	0.0113957884	0.0133356931	0.0100090382	-0.0183421201	0.0126348073	0
	3/1/14	163.867645	93.574364	32.970001	109.819366	25.374269	104.340027	0.0038649694	-0.0002484465	-0.0006062746	-0.0203870304	0.0149382414	0.0000906829
	2/1/14	163.23674	93.597618	32.990002	112.104851	25.000801	104.330566	0.04551571	0.0084237851	0.0479670267	-0.0879293791	0.0906033312	0.000181533
	1/1/14	156.130356	92.815758	31.48	122.912468	22.923826	104.31163	-0.030010619	0.0252199508	-0.0220565089	0.0697909471	-0.0714778338	-0.0000723357
	12/1/13	160.960892	90.532532	32.189999	114.893913	24.688507	104.319176	0.0203868757	-0.0008030546	0.0135390113	-0.0530013054	0.0502815363	0.000090701
	11/1/13	157.744965	90.605293	31.76	121.324257	23.506561	104.309715	0.0296374628	-0.0014679767	-0.0047007208	-0.0591769278	0.0577338065	0
	10/1/13	153.204376	90.738495	31.91	128.955444	22.223513	104.309715	0.0514069221	0.0180951861	-0.0145151632	-0.0899399983	0.0918270016	-0.0001817238
	9/1/13	145.713684	89.125748	32.380001	141.699936	20.354427	104.328674	0.0266423042	0.0072352278	-0.0348732648	-0.0639711534	0.0637175611	0.0000910475
	8/1/13	141.932281	88.485535	33.549999	151.384155	19.13518	104.319176	-0.0299927597	-0.0098462327	0.0310386592	0.0610914819	-0.0607887072	0
	7/1/13	146.320847	89.365448	32.540001	142.668335	20.373669	104.319176	0.0572420877	0.0109278873	0.0564935733	-0.098408875	0.1049107993	0.0002719894
	6/1/13	138.398621	88.399429	30.799999	158.240616	18.439198	104.29081	-0.0185378628	-0.0327716162	-0.00032457	0.0202297609	-0.031797947	-0.0001812391
	5/1/13	141.012695	91.394577	30.809999	155.102921	19.044783	104.309715	0.0236098827	-0.0320738398	-0.0153404278	-0.0493825494	0.0455147483	-0.0000906928
	4/1/13	137.760193	94.423088	31.290001	163.160187	18.2157	104.319176	0.0237453979	0.0217747337	-0.0489361976	-0.041420166	0.0391064952	0.0001903368
	3/1/13	134.564896	92.410866	32.900002	170.210327	17.530157	104.299324	0.0333753662	-0.0004686321	0.0110633371	-0.0739727391	0.0733935612	0.0001177807
	2/1/13	130.218796	92.454193	32.540001	183.807037	16.331528	104.287041	0.0127585503	0.0076203267	-0.0510352858	-0.0288577965	0.0216376113	-0.0000905591
	1/1/13	128.578323	91.75499	34.290001	189.268921	15.985637	104.296486	0.058645624	-0.0069692465	0.0457456528	-0.0970246896	0.1047847818	-0.0002541338
	12/1/12	121.45549	92.398941	32.790001	209.605865	14.469458	104.322998	0.0018292848	-0.0093343007	-0.0051577065	-0.023461419	0.0189094711	0.0003628704
	11/1/12	121.233719	93.269547	32.959999	214.641663	14.200926	104.285156	0.0056597338	-0.0040941571	0.0160295936	-0.0201591427	0.0093726937	0.0001090207
	10/1/12	120.55143	93.652977	32.439999	219.057678	14.069061	104.273788	-0.0129574268	0.0134947323	-0.0402366876	0.0372340035	-0.0396837748	-0.0000816534
	9/1/12	122.133972	92.405983	33.799999	211.194077	14.650446	104.282303	0.0199069372	0.0109886365	-0.0214244927	-0.0541289952	0.0466746231	-0.00009064
	8/1/12	119.750114	91.401604	34.540001	223.279999	13.997135	104.291756	0.0250523761	-0.0003777281	0.071672386	-0.049472221	0.0461457409	0.0001813895
	7/1/12	116.82341	91.436142	32.23	234.901077	13.379718	104.272842	0.0170720423	0.0348833444	0.0588041702	-0.0275819868	0.0264013954	0
	6/1/12	114.862473	88.354057	30.440001	241.563889	13.035561	104.272842	0.035217287	0.0086696398	0.0069467747	-0.0883039771	0.0715269123	-0.0000907249
	5/1/12	110.954941	87.594643	30.23	264.960999	12.165407	104.282303	-0.0600557635	0.0076655366	-0.127813041	0.1249999952	-0.1137234369	0.000272527
	4/1/12	118.044174	86.928291	34.66	235.520889	13.726423	104.253891	-0.0023225016	0.0108130048	-0.0034502301	0.0072895032	-0.0137886434	0
	3/1/12	118.31897	85.99839	34.779999	233.816483	13.918338	104.253891	0.0276601408	-0.0142705464	-0.0303875113	-0.066212832	0.0645750267	-0.0000907318
	2/1/12	115.134338	87.243401	35.869999	250.395905	13.074079	104.263351	0.0434053881	0.0129084366	0.062185342	-0.0833805769	0.084470843	-0.0000910208
	1/1/12	110.34478	86.131577	33.77	273.173248	12.055722	104.272842	0.0530108244	0.0285522697	0.0239539115	-0.0860548992	0.0898866206	-0.0000997955
	12/1/11	104.789787	83.740593	32.98	298.894592	11.061446	104.283249	0.0040804325	0.0313500483	-0.0239716181	-0.0316265978	0.018888422	0.0002179156
	11/1/11	104.363937	81.195122	33.790001	308.656342	10.856386	104.260529	-0.0040638502	-0.0313558568	0.0150195249	-0.0162962907	-0.0155675528	-0.0001270885
	10/1/11	104.789787	83.823479	33.290001	313.769623	11.028066	104.273781	0.1148855924	0.0250489205	0.1026830042	-0.2055708461	0.2204177726	-0.0001362189
	9/1/11	93.991516	81.775101	30.190001	394.962372	9.036304	104.287987	-0.0742104171	0.0035821611	-0.1272043654	0.1313804637	-0.1403669109	0.0001363814
	8/1/11	101.525787	81.483215	34.59	349.097748	10.511815	104.273766	-0.054975817	0.0035259095	-0.0170502704	0.0552691774	-0.1281086559	0.0004356108
	7/1/11	107.431946	81.196922	35.189999	330.813934	12.056336	104.228363	-0.0151458167	0.0242455814	0.0316622096	0.034399537	-0.0413728024	-0.0005535158
	6/1/11	109.084114	79.274857	34.110001	319.812531	12.576668	104.286087	-0.0217197556	-0.0079207177	-0.0595533223	0.0278882772	-0.0381885255	0.0001721715
	5/1/11	111.505997	79.907784	36.27	311.135498	13.076022	104.268135	-0.0112147402	0.0127970988	-0.0685670023	0.0192893689	-0.023788508	-0.0000904317
	4/1/11	112.770691	78.898117	38.939999	305.247467	13.394661	104.277565	0.0334314444	0.0250341663	0.0425703102	-0.0583174163	0.0600518968	0.0005349744
	3/1/11	109.122566	76.971207	37.349998	324.151123	12.635854	104.221809	-0.0042057175	-0.0054245956	0.0349126628	-0.0080606278	-0.0063419175	0.0001817896
	2/1/11	109.583443	77.391022	36.09	326.785217	12.716501	104.202866	0.0347374567	0.0068213948	0.0264505119	-0.0692852073	0.0694192784	0
	1/1/11	105.904587	76.866684	35.16	351.112091	11.891034	104.202866	0.0286815864	0.0082271712	0.0310851045	-0.0462962309	0.0435056635	-0.0000091455
	12/1/10	102.951767	76.239449	34.099998	368.156342	11.395275	104.203819	0.061271114	-0.011455324	0.0908508637	-0.125506065	0.1391652455	0.0002633514
	11/1/10	97.00798	77.122917	31.26	420.993591	10.00318	104.176384	0	-0.0161598059	0.0123057323	-0.0058544188	-0.0040137434	-0.0000090807
	10/1/10	97.00798	78.389679	30.879999	423.472778	10.043492	104.17733	0.0437603346	-0.0027132824	0.0289903032	-0.0763771137	0.0789092754	-0.0000091574
	9/1/10	92.940857	78.602951	30.01	458.490997	9.308931	104.178284	0.0837524167	0.0047774094	0.0802735392	-0.1627051335	0.1808639259	0.0002538985
	8/1/10	85.758385	78.229218	27.780001	547.58606	7.883153	104.15184
2
	Date	SPY	LQD	SPY	LQD		Average Monthly Return			Standard Deviation		Correlation			Annualized Annual Return				Annualized Standard Deviation
	6/1/18	258.61084	105.489876	0.0012550318	-0.0051253411		SPY	LQD		SPY	LQD	SPY(LQD)
	5/1/18	258.286682	106.033333	0.0243091241	0.0052293224		0.0123369412	0.0032979942		0.0327998985	0.0150899793	0.1660947117			0.1585132891	0.040301747			0.1136221814	0.0522732217
	4/1/18	252.156967	105.481735	0.009193937	-0.0157108092
	3/1/18	249.859772	107.16539	-0.

Equity-linked Securities:1 FIN 403 – Individual Course Hedging Project – Fall 2022 Hedging a Stock Portfolio with S&P 500 Futures Contracts For this project, you will gain understanding...

Answer To: Equity-linked Securities:1 FIN 403 – Individual Course Hedging Project – Fall 2022 Hedging...

Answer To This Question Is Available To Download

Related Questions & Answers

Submit New Assignment

Sun	Mon	Tue	Wed	Thu	Fri	Sat
30	31	1	2	3	4	5
6	7	8	9	10	11	12
13	14	15	16	17	18	19
20	21	22	23	24	25	26
27	28	29	30	1	2	3