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How many contracts should she buy or sell

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Question - Morgan is a value investor that picks stocks that are undervalued. Her Beta is .4. She wants her portfolio to be much more sensitive to the market, and would like to have a Beta of 1.0. The value of her portfolio is 800 million, and S&P500 futures are trading at 4000. S&P 500 futures are 250 x (the index) per contract.

a) How many contracts should she buy or sell?

What if she wanted the Beta to be -.20, since she is bearish on the market (her starting point is a Beta of .4)?

b) How many contracts would she buy or sell?

Reference no: EM133063968

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