David holds a US equity portfolio of 100M and wants to hedge its position using S&P500...

   

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David holds a US equity portfolio of 100M and wants to hedge its position using S&P500 futures. Given Futures price of S&P 500 is 1,000 Beta of portfolio is 1.3 One contract is on $250 times the index What position in futures contracts on the S&P 500 is necessary to reduce the beta of the portfolio to 0? David holds a US equity portfolio of 100M and wants to hedge its position using S&P500 futures. Given Futures price of S&P 500 is 1,000 Beta of portfolio is 1.3 One contract is on $250 times the index What position in futures contracts on the S&P 500 is necessary to reduce the beta of the portfolio to 0?

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