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A portfolio manager used futures to hedge her entire portfolio against an expected fall. The market did fall and she still lost money. The most
A portfolio manager used futures to hedge her entire portfolio against an expected fall. The market did fall and she still lost money. The most likely explanation is:
a. The futures were mispriced
b. The market fell much more than she expected it would
c. She was short futures and she should have been long futures
d. She miscalculated the beta of the portfolio
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