A portfolio manager has is considering futures overlay strategies for his equity portfolio. The portfolio...
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A portfolio manager has is considering futures overlay strategies for his equity portfolio. The portfolio value is $100M, with a beta of 1.0 and an R2 of 0.95. The portfolio managers is considering the equity index futures with a multiplier of 250. The index and futures price are both currently 2,000. How many contracts should the portfolio manager trade to decrease the beta to 0.6? Indicate whether this is long or short.
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