A fund manager wishes to adjust the cash allocation of an R460 million portfolio that he manages. The portfolio currently has a 10% weighting in cash and a 90% weighting in equities. He wishes to increase the cash allocation of the portfolio to 20%. The equity portion of the portfolio has a beta of 1.5 and the fund manager wishes to adjust the cash allocation using an JSE Top 40 futures contract. The JSE Top 40 futures contract is currently priced at 48 550 and the contract multiplier is 10. 

How many futures contracts must he trade (long or short) to increase the cash allocation of the portfolio to 20%?

Answer rating: 100% (QA)

To determine the number of futures contracts the fund manager needs to trade follow th... View the full answer