SISI You manage the following S&P 500 portfolio: Market Value: 20 Million, Beta: 1.0. Dividends: 0%, Risk Free Rate: 5%. Futures available on the S&P 500 Index are: Current Index Level: 1,000, Beta: 1.0, Dividends: 0%, Maturity: 1 Year, Multiplier 250 Assume that the performance of the portfolio follows the capital asset pricing model (CAPM) a) You want to fully hedge the portfolio for the coming year. Recommend the hedge and show the performance of the hedge if the Index finishes the year at 800 or 1,350. b) Show the difference in the performance of the hedge between using the Spot Price and the Forward Price in computing the number of contracts used in hedging. For the 800 or 1,350 index scenarios reconcile the performance difference between both hedging outcomes. SISI You manage the following S&P 500 portfolio: Market Value: 20 Million, Beta: 1.0. Dividends: 0%, Risk Free Rate: 5%. Futures available on the S&P 500 Index are: Current Index Level: 1,000, Beta: 1.0, Dividends: 0%, Maturity: 1 Year, Multiplier 250 Assume that the performance of the portfolio follows the capital asset pricing model (CAPM) a) You want to fully hedge the portfolio for the coming year. Recommend the hedge and show the performance of the hedge if the Index finishes the year at 800 or 1,350. b) Show the difference in the performance of the hedge between using the Spot Price and the Forward Price in computing the number of contracts used in hedging. For the 800 or 1,350 index scenarios reconcile the performance difference between both hedging outcomes