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8. A company has a $100 million stock portfolio with a beta of 1.2. The portfolio is very highly correlated with the S&P 500 index.
8. A company has a $100 million stock portfolio with a beta of 1.2. The portfolio is very highly correlated with the S&P 500 index. The futures price for a contract written on the S&P 500 index is 2500. One futures contract is for delivery of 250 times the index value. What futures trade is necessary to reduce the beta of the combined stock portfolio and futures position to 0.6?
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