Company ABC has a $20 million portfolio. The beta of company ABCs portfolio with respect to the S&P 500 index is 1.2. The S&P 500 index is currently standing at 1000. Which of the following strategy best hedges company ABCs risk exposure to the S&P 500 index? (Note that each S&P 500 futures contract contains 250 S&P 500 index.)

This is the answer: A short position in 96 S&P 500 futures contract.

Please show all work of how to arrive at the above answer. Thank you!