Would you go short or long on the futures contract
Course:- Financial Management
Reference No.:- EM13942978

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Your stock portfolio is worth $10M with a beta of 1.1. The spot price of S&P 500 is 950. Each S&P 500 contract is for $250 per index points. To protect against the market decline

a. How many futures contract should you need?

b. Would you go short or long on the futures contract

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You can find spot and futures prices for a variety of equity indexes on www.wsj.com (or in the Datastream database available in the library). Pick one and check whether it is