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A fund manager has a portfolio worth 5 0 million with a beta of 0 . 8 7 . The manager is concerned about the
A fund manager has a portfolio worth million with a beta of The manager is concerned about the performance of the market over the next two months and plans to use threemonth future contract on NSE to hedge the risk. The current level of the index is one contract is on times the index, the risk free rate is per annum, and the dividend yield on the index is per annum. The current month future price is
a What position should the fund manager take to eliminate all exposure to the market over the next years?
b Calculate the effect of your strategy on the fund manager's returns if the level of market in months is and respectively. Assume that the month future is higher than the index level at this time
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