You are a portfolio manager with a $50 million value portfolio that has a beta of 0.86, relative to the S&P 500. The September E-mini S&P 500 futures are trading at 4,237, and the multiplier is 50. You would like to hedge your exposure to market risk over the next few months. Identify whether a long or short hedge is appropriate, and determine the number of S&P 500 contracts you need to implement the hedge.

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Given that the portfolio has a beta of 086 relative to the SP 500 we can calculate the por... View the full answer