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Robert Zorn, CFA, manages an equity portfolio with a current market value of $150 million. The beta of the portfolio is 1.23 and Zorn is forecasting a short-term market adjustment that will significantly lower equity values and will occur in the near future. Zorn has decided to use S&P 500 futures, currently trading at 1260, to reduce the portfolio’s systematic risk exposure by 30 percent. The multiplier is 250. What is the number of futures contracts, rounded up to the nearest whole number, that will be needed to achieve Zorn’s objective? A. Buy 182. B. Sell 169. C. Sell 176. |