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Question 6. You are a fund manager, managing a portfolio with a current value of RM10 million. The index is now at 800 points. You fear that the market might be headed for short term volatility and wish to hedge for 3 months. You have the following information. 3-month KLIBOR = 8.5% annualized 3-month FBM KLCI Futures = 812.69 Your portfolio beta = 1.20 i. How many contracts do you need to be fully hedged? A. B. C. D. Short 246 contracts Short 295 contracts Short 12304 contracts Short 300 contracts (3 marks) ii. If the FBM KLCI index falls by 20% over the 3-month period, determine the portfolio gain/loss A. B. C. D. RM2,000,000 RM2,400,000 RM(2,000,000) RM(2,400,000)