A manager has a $250 million portfolio that consists of 40% stock and 60% bonds. The beta of the stock position is 1.4.

The modified duration of the bond position is 5. The manager wishes to achieve an effective mix of 75% stock and 25% bonds.

The price and beta of the stock index futures contracts are $166,400 and 1.1 respectively.

(The futures price includes the effect of the index multiplier.)

The price, modified duration, and yield beta of the bond futures contracts are $99,852, 4.6, and 0.98 respectively.

What is the appropriate strategy?

A) Short 887 bond futures contracts and go long 669 stock index futures contracts.

B) Go long 887 bond futures contracts and short 669 stock index futures contracts.

C) Go long 953 bond futures contracts and short 550 stock index futures contracts.

D) Short 953 bond futures contracts and go long 550 stock index futures contracts.