What gain or loss on the hedge is

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Problem 1: You are the manager of the Jane Eyre Investment Fund. On 12 July, you receive notice that the fund will be sold on 30 August. The fund comprises a diversified portfolio of listed Australian shares. It is currently valued at $10 million. On 12 July, the S&P/ASX Index was 6350 and you hedged this risk by selling 64 September SPI 200 futures at a contract price of 6325. On 28 August, the S&P/ASX Index was 5335 and the contract price of the September SPI 200 futures contract was 5325. The value of the portfolio had fallen to $8.6 million. Your gain (or loss) on the hedge is:

a) -$1,330,000.
b) $200,000.
c) -$250,000.
d) $350,000.
e) None of the above answers is correct.

Reference no: EM132941061

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