Question use 5 month futures contracts on the Mini S&P 500 to hedge the risk. The current level of the index is 2824, one contract is on 50 times the index, the risk-free rate is 5% per annum, and the dividend yield on the index is 3% per annum. The current 5-month futures price is 2829 1- Calculate the number of contracts that the fund manager should use to eliminate the exposure of the portfolio to the market over the next month 2- Describe the position that the manager takes? Assuming that the S&P 500 drops to 2789 after 4 months and that the 1-month futures price is now 2794. 3- Calculate the gain loss on the futures position. 4- Calculate the return of the portfolio 5- The total gain/loss of the hedged portfolio. TTT Art . 3(120 . T .E.B.225