Use the following information for the remaining questions: Assume it is currently October, and the S&P 500 is currently at a level of 1898.20, and S&P 500 e-mini futures with December expiration are trading at a contract price of 1892.75 and have a contract size of 50.

An investor currently holds 10,000 shares of SLY (SPDR S&P 600 small cap ETF, Beta=1.23, current price = $98.11/share, current portfolio value = $981,100.00). The investor wishes to temporarily increase the portfolio beta to 1.9 a. Determine the position that the investor should take in the futures market to alter the portfolio beta.

b. Complete the table below S&P 500 1700 % Change in S&P 500 index -10.44% 1898.2 0.00% 2100 10.63% 0.00% % Change in SLY (implied from Beta) -12.84% (=-10.44%*1.23) SLY Price $85.51 $98.11 Portfolio value $855,097.24 $981,100.00 Portfolio return (w/o futures) -12.84% 0.00% Future P/L $67,462.50 $1,907.50 Net value (Portfolio + Futures P/L) $787,634.74 $983,007.50 Net return -19.72% 0.19% c. Explain why/if the futures position successfully altered the portfolio beta