fund manager expects to receive a cash inflow of R50,000,000 in three months.

The manager wishes to use futures contracts to take a R30,000,000 synthetic

position in shares and a R20,000,000 in bonds today. The share would have a beta

of 1.05 and the bond a modified duration of 8.25. A share index futures contract

with a beta of 0.80 is priced at R300,000 and a bond futures contract with a

modified duration of 7.50 is priced at R200,000. Calculate the number of share

index futures contracts and bond futures contracts that the manager would have to

trade in order to synthetically take the desired position in the shares and bonds

today. Indicate whether the futures positions are long or short