A Swedish portfolio manager holds a SEK100 million all-equity portfolio with an estimated beta of 1.2. She believes the market will perform strongly over the coming months and decides to use four- month futures contracts written on the Swedish OMXS30 share index to increase the portfolio's exposure to systematic risk. The futures contracts are currently trading at 2,560 and each futures contract uses a multiplier of SEK100 per index point. The current level of the OMXS30 index is 2,400 and it has an estimated dividend yield of 3% per annum. The current risk-free interest rate is 1% per annum. Answer the following questions in the boxes provided below each question. (a): What is the number of futures contracts required to increase the beta of the overall position to 1.50 over the next four months? Answer (1 mark): (b): Is a long or a short position in the futures required? Answer (0.5 marks): After three months the OMXS30 index has fallen to 2,256, the new futures price is 2,325, and the portfolio manager decides to close out the futures position. (c): Has the portfolio manager made a profit or a loss on their futures trade? Answer (0.5 marks): (d): What is the SEK amount gained/lost on the futures trade? Answer (1 mark): (e): Given the change in the index value, what is the expected return on the manager's all-equity portfolio over the three-month period? (Your answer should be a percentage and you should assume that the dividend yield on the index and the risk-free rate are expressed as annual rates of interest in your calculations; similar to what we did in the lecture and tutorial examples). Answer (1 mark):