Alex Andrew, who manages a $$95$ million large$-$capitalization U$.$S$.$ equity portfolio, currently forecasts that

equity markets will decline soon. Andrew prefers to avoid the transaction costs of making sales but wants to hedge

$$15$ million of the portfolio$$s current value using S&P $500$ futures. Because Andrew realizes that his portfolio will not

track the S&P $500$ Index exactly, he performs a regression analysis on his actual portfolio returns versus the S&P

futures re$-$ turns over the past year. The regression analysis indicates a risk$-$minimizing beta of $0\mathrm{.}88$ with an R$2$ of

$0\mathrm{.}92.$