A fund has a $ 58 million portfolio with a beta of 1.2. The futures...
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A fund has a $ 58 million portfolio with a beta of 1.2. The futures price for a contract on the S&P index is 1230. Futures contracts on $250 times the index can be traded. 6) How many futures contracts would be required to hedge the portfolio?(round to the nearest whole number) (i) What should be done to reduce the portfolio beta to 0.6 from its current beta of 1.2? Also indicate if we need to go short or long (and why) on the futures contracts on the S&P index to hedge for the above cases
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