Business, 11.12.2019 17:31 Jojoahmed99

You manage a $13.5 million portfolio, currently all invested in equities, and has a beta of 1.2. you believe that the market is on the verge of a big but short-lived downturn; you would move your portfolio temporarily into t-bills, but you do not want to incur the transaction costs of liquidating and reestablishing your equity position. instead, you decide to temporarily hedge your equity holding with s& p 500 index futures contracts. 1) should you be long or short the contracts? why? 2) how many contracts should you enter into? the s& p 500 index futures price is now at 1286 and the contract multiplier is $250. 3) suppose instead of reducing your portfolio beta all the way down to zero, you decide to reduce it to 0.5, how many index futures contracts should you enter into?

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You manage a $13.5 million portfolio, currently all invested in equities, and has a beta of 1.2. you...

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