Assignment 1: Futures Pricing You manage the following S&P 500 portfolio: Market Value: 20 Million, Beta: 1.0, Dividends: 0%, Risk Free Rate: 5%. Futures available on the S&P 500 Index are: Current Index Level: 1,000, Beta: 1.0, Dividends: 0%, Maturity: 1 Year, Multiplier 250 Assume that the performance of the portfolio follows the capital asset pricing model (CAPM) Assume that instead of a 1 year Futures contact the only contract you can sell is a 3 year contract. However you can buy a Futures contract for any maturity. You also want to target a portfolio Beta of 0.25 for the upcoming year. Show the performance of the hedged/adjusted portfolio if the Index finishes the year at 500 or 2,000. Assignment 1: Futures Pricing You manage the following S&P 500 portfolio: Market Value: 20 Million, Beta: 1.0, Dividends: 0%, Risk Free Rate: 5%. Futures available on the S&P 500 Index are: Current Index Level: 1,000, Beta: 1.0, Dividends: 0%, Maturity: 1 Year, Multiplier 250 Assume that the performance of the portfolio follows the capital asset pricing model (CAPM) Assume that instead of a 1 year Futures contact the only contract you can sell is a 3 year contract. However you can buy a Futures contract for any maturity. You also want to target a portfolio Beta of 0.25 for the upcoming year. Show the performance of the hedged/adjusted portfolio if the Index finishes the year at 500 or 2,000