Exhibit 21.9 Use the Information Below for the Following Problem(S)

question 27

Multiple Choice

Exhibit 21.9
Use the Information Below for the Following Problem(S)
As a portfolio manager, you are responsible for a $150 million portfolio, 90 percent of which is invested in equities, with a portfolio beta of 1.25. You are utilizing the S&P 500 as your passive benchmark. Currently the S&P 500 is valued at 1202. The value of the S&P 500 futures contract is equal to $250 times the value of the index. The beta of the futures contract is 1.0.
-Refer to Exhibit 21.9.How many contracts should you buy or sell in order to reduce the portfolio beta to 0.80 (rounded to the nearest integer) ?

• A) Sell 162 contracts
• B) Buy 162 contracts
• C) Sell 324 contracts
• D) Buy 324 contracts
• E) None of the above