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Table 23-1 The Underlying Instruments with Financial Futures Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth.

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Presentation on theme: "Table 23-1 The Underlying Instruments with Financial Futures Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth."— Presentation transcript:

1 Table 23-1 The Underlying Instruments with Financial Futures Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

2 Table 23-2 Cash Flows on a Forward and Futures Contract Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

3 Table 23-3 Cash Flows on T-bill and Homemade T-bill Contract Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

4 Figure 23-1 The premium of the S&P futures contract over time. Source: Goggin, Daniel B. Jr., and Kiou, Michael Co., “Daily Deviation of Basis from Co. Fair Value,” Kidder Peabody and Company, Inc., May 2, 1990. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

5 Table 23-4 Returns and Risk of Different Investments, 1980–1988 Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

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