A fund manager has a portfolio worth $$70$ million with a beta of $1\mathrm{.}20.$ The manager is concerned about the performance of the market over the next two months and plans to use three$-$month futures contracts on the S&P $500$ to hedge the risk. The current index level is $1150$ and one futures contract is on $250$ times the index $($i$.$e$.,$ the index multiplier is $250).$ The risk$-$free rate is $4\mathrm{.}0\%$ per annum and the dividend yield on the index is $2\mathrm{.}0\%$ per annum. The current three$-$month futures price is $$1200.$ Calculate the effect of your strategy on the fund manager$$s returns if the index in two months is $1000.$ Assume that the one$-$month futures price is $0\mathrm{.}25\%$ higher than the index level at this time $($i$.$e$.,$ if the index is $1000$ two months from now, the one$-$month futures price will be $0\mathrm{.}0025*1000=1002\mathrm{.}50).$

$$63,257,179$

$$67,195,879$

$$73,055,145$

$$76,257,179$