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Your stock portfolio is currently worth $50 million and has a beta of 0.9. If you took a long position in 94 S&P200 futures contracts
Your stock portfolio is currently worth $50 million and has a beta of 0.9. If you took a long position in 94 S&P200 futures contracts quoted at F0,T = 4,300 (with nominal value of F0,T x $25), what would be the overall beta of your combined stock and futures portfolio? What might be your motivation for taking this long position and how would your returns differ relative to purchasing the shares in the S&P200 Index?
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