Problem
Huggins has 100 million dollars under management. She is long 1M shares of stock A which is priced at 200 dollars per share. She is short 1M shares of Stock B, which is trading at 120 dollars per share.
I. What are her net and gross dollar exposures in dollar terms and percentage -wise of the AU M?
II. It the Betas of stock A and Stock B are the same and are equal to one, what should the Beta ot the portfolio?
III. Suppose Stock A rises to 220$ and stock B rises to 130$, and Huggins does not change the number of shares she is long and the number of shares she is short. How much has Huggins won or lost? What are her new net and gross dollar percentage exposures?