You Own a Portfolio That Is Valued at $6

question 37

Multiple Choice

You own a portfolio that is valued at $6.4 million and has a beta of 1.27. You would like to create a riskless portfolio by hedging with S&P 500 futures contracts. The contract size is $250 times the index level. How many futures contracts are needed if the current S&P 500 index is 1414?

• A)short 16 contracts
• B)short 18 contracts
• C)short 23 contracts
• D)long 18 contracts
• E)long 23 contracts

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