A fund manager has a portfolio worth $70 million with a beta of 1.20. 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 4.0% per annum and the dividend yield on the index is 2.0% per annum. The current three-month futures price is $1200. Calculate the effect of your strategy on the fund managers returns if the index in two months is 1000. Assume that the one-month futures price is 0.25% 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 0.0025*1000 = 1002.50).

A. $63,257,179

B. $67,195,879

C. $73,055,145

D. $76,257,179