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The portfolio manager of an equity fund would like to eliminate all market exposure (a zero-beta portfolio). Consider the following information: Portfolio value 125 million

The portfolio manager of an equity fund would like to eliminate all market exposure (a zero-beta portfolio). Consider the following information:

Portfolio value 125 million Beta of portfolio 1.20 Beta of futures contracts 1.40 Futures contract size 250 CAC40 (Index) 3380

Indicate whether the portfolio manager should sell (short) or buy (long) the futures contracts.

the above number of futures contacts.

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