Calculate the gainslosses for the mutual fund alone and the


The sp500 today is at 2677.55 and the sp500 futures settlement price for December 2018 is at 2649.2. An investor decides to put $662,300 in a mutual fund which trakcs the sp500 and, at the same time, enter in an unspecified number of sp500 futures. The standard deviation of the sp500 returns is 10.2% and the average returns 10.9%. Decide if the investor should enter the short or long, and how many futures contracts he should take. Calculate the gains/losses for the mutual fund alone and the fund plus however many futures you decide the investor should take. Calculate all for December, supposing a year, and suppose the sp500 can vary by one std.

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Financial Management: Calculate the gainslosses for the mutual fund alone and the
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