Stock Market Futures Market January KLSE composite index stands at 1162. Investor expects to purchase a RM10million stock portfolio in two months’ time Buys March KLSE CI contracts at 1158 March KLSE composite index has risen to 1171, making the acquisition costs of the shares more expensive. Sells March KLSE CI contracts at 1173 b. Assume that the investor wants to cover the full value of their expected investment. How many March KLSE CI futures contracts must they purchase?c. Calculate the profit/loss on the spot transaction.d. Calculate the profit/loss on the futures transaction.e. Is the hedging strategy efficient?

Stock Market Futures Market January KLSE composite index stands at 1162. Investor expects to purchase a RM10million stock portfolio in two months’ time Buys March KLSE CI contracts at 1158 March KLSE...

	Stock Market	Futures Market
January	KLSE composite index stands at 1162. Investor expects to purchase a RM10million stock portfolio in two months’ time	Buys March KLSE CI contracts at 1158
March	KLSE composite index has risen to 1171, making the acquisition costs of the shares more expensive.	Sells March KLSE CI contracts at 1173

b. Assume that the investor wants to cover the full value of their expected investment. How many March KLSE CI futures contracts must they purchase?

c. Calculate the profit/loss on the spot transaction.

d. Calculate the profit/loss on the futures transaction.

e. Is the hedging strategy efficient?

Jun 10, 2022