Beta of the fund manager risk position

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A portfolio manager is concerned with the stock market heading towards a correction. The manager has a $100 million S&P 500 risk position and decides to hedge his portfolio with the S&P 500 index futures. Currently, the one month ahead S&P 500 index future is priced at 5000, and one S&P index futures contract is valued at $250 multiplied by the index value.

-What position (number and forms of contract) should the fund manager take in order to hedge 60% of his risk position?

-After a month, the S&P 500 drops by 8%; what's the dollar gain/loss from the fund manager's risk and hedging position? What is the net gain/loss for the manager?

-What position should the fund manager take if the beta of the fund manager's risk position is 1.5?

Reference no: EM133072675

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