A fund manager has a portfolio worth $100 million with a beta of 0.8. The manager is concerned about the performance of the market over the next 1 month and plans to use 3-month futures contracts on the S&P 500 to hedge the risk. The current level of the index is 2,900, one contract is on 250 times the index, the risk-free rate is 3% per annum, and the dividend yield on the index is 2% per annum.

b) How many futures contracts should the manager buy or sell to hedge the exposure to the market over the next month?