Assume it is March 1 2020. A fund manager owns 1,000,000 shares of ABC Ltd. The manager is concerned that the market as a whole will be bearish over the coming 3 months (March 1 to June 1 2020). ABC's stock is currently selling at $2.50 a share and its beta is 1.05. The stock is expected to pay no dividends over the next 3 months. Required: a. Construct a hedge using a stock index futures contracts that will protect, as best as possible, the value of shares owned by the fund manager in ABC's against movements in the stock market as a whole. The current price (as at March 1) of the June 2020 stock index futures contract (with mandatory close out date of June 1) is 980. Each stock index futures contract has a multiplier' of $25 an index point. Note: Clearly indicate whether to buy or sell the index futures contracts and the number of contracts (rounded to a whole number) you would enter into. b. Evaluate the outcome of the hedge in part a. above if on June 1 the stock index futures price at the time of mandatory close out is 1,020.00 and ABC's stock price is $2.60