Equity portfolio under management

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Consider a portfolio manager with a $20,500,000 equity portfolio under management. The manager wishes to hedge against a decline in share values using stock index futures. Currently a stock index future is priced at 2,550 and has a multiplier of 250. The portfolio beta is 1.25. How many contracts do you need to sell? Suppose the portfolio drops to $20,000,000. The futures drop to 2,450. What is the overall profit and loss?

Reference no: EM131939389

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