private equity fund manager is at the helm of a moderately active equity portfolio with a value of $1.886 Billion. The beta of the portfolio is determined to be 1.087 and the manager has a degree of concern that there will be a relatively significant decline in the overall financial markets over the next two months. He decides to use three-month futures contracts on the S&P 500 to appropriately hedge the perceived risk. The S&P 500 index currently is 1200, contracts on the S&P 500 index cover a payment of $250 times the index value, the risk-free rate is 12% annually, and the dividend yield on the index is 6% annually. Currently, the 3-month futures price is 1207. a) What position should the fund manager take to eliminate all exposure to the market over the next two months? b) Calculate the dollar amount of the return on the strategy mentioned in part a above if the level of the market in two months is 1,330. Assume that the one-month futures price is 0.25% higher than the index level at the end of this two month period of time