How many contracts should the fund buy or sell

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Question - You manage a diversified equity portfolio and believe that the stock market will perform very poorly over the coming twelve months as investors become more pessimistic about the recovery from the pandemic and delays to fully opening the economy. The fund currently has assets under management of $1,393,995 and the portfolio's beta is 1. The current price of the S&P ASX 200 futures contract is 6,932.14. How many contracts should the fund buy or sell to fully hedge this risk? If you want to short-sell futures contracts record your answer as a negative number.

Reference no: EM133019721

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