A portfolio manager is long several Canadian stocks with a value of $1.5 million for your portfolio. The holdings compromise a beta of 1.5 and mimic the performance of the Canadian main index S&P/TSX60. The manager wishes to protect his portfolio from a possible drop in prices. On September 21, the S&P/TSX60 is trading at 740.00 and the December S&P/TSX60 futures contract bid/ask spread is $736.25 $736.50. The multiplier for the S&P/TSX 60 futures contract is 200. Given the annual dividends on the S&P/TSX60 is 3% and current annual Canadian T-bill rate is 1.0% and the expiration of December E-mini, S&P500 futures contract is on December 16 (85 days left to expiration). i. (8) How can the manager hedge his portfolio from adverse market movements? How many contracts must he trade? If the contract multiplier is 200. Name the type of the hedge. ii. (2) What are the Objective and Strategy of the hedge? (20) Under the Results below evaluate the two Scenarios: Scenario 1: suppose on December expiration the S&P/TSX60 rises by 50 points. Scenario 2: suppose on December expiration the S&P/TSX60 falls by 50 points. 111. A portfolio manager is long several Canadian stocks with a value of $1.5 million for your portfolio. The holdings compromise a beta of 1.5 and mimic the performance of the Canadian main index S&P/TSX60. The manager wishes to protect his portfolio from a possible drop in prices. On September 21, the S&P/TSX60 is trading at 740.00 and the December S&P/TSX60 futures contract bid/ask spread is $736.25 $736.50. The multiplier for the S&P/TSX 60 futures contract is 200. Given the annual dividends on the S&P/TSX60 is 3% and current annual Canadian T-bill rate is 1.0% and the expiration of December E-mini, S&P500 futures contract is on December 16 (85 days left to expiration). i. (8) How can the manager hedge his portfolio from adverse market movements? How many contracts must he trade? If the contract multiplier is 200. Name the type of the hedge. ii. (2) What are the Objective and Strategy of the hedge? (20) Under the Results below evaluate the two Scenarios: Scenario 1: suppose on December expiration the S&P/TSX60 rises by 50 points. Scenario 2: suppose on December expiration the S&P/TSX60 falls by 50 points. 111