If the S&P500 index is 400.00, how many S&P500 futures contracts must you sell to hedge a $10 million stock portfolio with a beta of 1.10?

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Quizplus · Accepted Answer

To hedge a stock portfolio using futures, you need to calculate the number of contracts using the formula: (Portfolio Value * Portfolio Beta) / (Index Value * Multiplier). Assuming the standard multiplier for S&P500 futures is 250, the calculation is: ($10,000,000 * 1.10) / (400 * 250) = 110 contracts.

If the S&P500 Index Is 400