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If the portfolio manager manages $100 million of equity with a beta of 1.2 and wishes to create a net short position with a beta
If the portfolio manager manages $100 million of equity with a beta of 1.2 and wishes to create a net short position with a beta of -2.0, and the equity futures contract size is (250 (multiplier) X 3,048 (current S & P 500 index)) = 762,000, the futures beta is 1.03, how many contracts must be transacted? Long or short?
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