Question 5 2 pts The Susan Ross Foundation has invested its endowment money in a large diversified portfolio of US equities. The portfolio, currently worth $30,000,000, is fairly aggressive as it currently displays a beta of 1.35 with respect to the S&P500 spot index. As the newly hired assistant to the portfolio manager, you are told that the Foundation wants to lower the portfolio risk by reducing beta to 0.7 over the next 8 months. Armed with your knowledge in derivatives, you consider using S&P500 futures contacts offered by CME (whose contract size is $250 times the index). You also assess that the dividend yield on the S&P500 index is 2% per year and the current risk-free rate is 0.4% per year (both dividend yield and interest rates are expressed with continuous compounding). At the end of today the S&P500 spot closed at 1,350. Assume that today is July 16th and S&P500 Index futures are available for March, June, September and December of each year Which of the following is the most appropriate hedging strategy needed to achieve the Foundation's target beta? Long 58 December contracts and Short 58 March contracts Short 90 December contracts Long 58 March contracts Short 90 March contracts Short 58 March contracts