5) A fund manager has a portfolio worth $65 million with a beta of 1.14. The manager is concerned about the performance of the market over the four months and plans to use six-month futures contracts on the S&P 500 to hedge the risk. The current level of the index is 3,000, one contract is on 250 times the index, the risk-free rate is 4% per annum, and the dividend yield on the index is 2% per annum. The current 3-month futures price is 3,030. The fund manager takes a position in S&P 500 index futures to eliminate half of the exposure to the market over the next four months. Calculate the effect of your strategy on the fund managers returns if the level of the market in four months is 2,900 and two-month futures price is 0.5% higher than the index level in four months.