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You are the manager of the Jane Eyre Investment Fund. On 12 July, you receive notice that the fund will be sold on 30 August.

You are the manager of the Jane Eyre Investment Fund. On 12 July, you receive notice that the fund will be sold on 30 August. The fund comprises a diversified portfolio of listed Australian shares. It is currently valued at $10 million. On 12 July, the S&P/ASX Index was 6350 and you hedged this risk by selling 64 September SPI 200 futures at a contract price of 6325. On 28 August, the S&P/ASX Index was 5335 and the contract price of the September SPI 200 futures contract was 5325. The value of the portfolio had fallen to $8.6 million.

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