13.13 Calculating relation Between Index Level and portfolio value in 3 months If index rises to 1040, it provides a 40/1000 or 4 return in 3 months Total return(incl dividends)=5% Excess return over risk -free rate=2% Excess return for portfolio=4% Increase in portfolio value=4+3-1=6% Portfolio value=$530,000 Options, Futures, and other Derivatives, 5th edition 2002 by John C. HullOptions, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 13.13 • If index rises to 1040, it provides a 40/1000 or 4% return in 3 months • Total return (incl dividends)=5% • Excess return over risk-free rate=2% • Excess return for portfolio=4% • Increase in Portfolio Value=4+3-1=6% • Portfolio value=$530,000 Calculating Relation Between Index Level and Portfolio Value in 3 months