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It is january 12, 2022. A company has a portfolio of stocks worth $20 million. The beta of the portfolio is 0.8. The company would
It is january 12, 2022. A company has a portfolio of stocks worth $20 million. The beta of the portfolio is 0.8. The company would like to use the June futures contract on a stock index to change the beta of the portfolio to 0.3. The index futures price is 1,000, and each contract is on $130 times the index. The expected return on the S&P 500 is 14%. How many futures contracts the company needs to buy or sell?
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