Portfolio Manager expects a cash flow of $12,000,000 in two months. The composition of the PMI portfolio is 30% large-cap equities, 40% small-cap equities, and 30% bonds. Using the following information, determine the appropriate strategy for manager to pre-invest the $12,000,000, so that it earns returns equivalent to those of their current positions.

Large-cap beta = 0.9; small-cap beta= 1.35; bond duration = 6.3; yield beta = 1.0.

Large-cap futures beta = 1.0; small-cap futures beta= 1.30.

Treasury futures duration = 5.8.

Large-cap futures price= $1,400, multiplier= $250; (= $350,000).

Small-cap futures price= $1,100, multiplier= $250; (= $275,000).

Treasury futures price = $100,000