You Manage $15 Million Hedge Fund Portfolio with Beta =

You manage $15 million hedge fund portfolio with beta = 1.2 and alpha = 2% per quarter. Assume that the risk-free rate is 2% per quarter and the current value of the S&P 500 index = 1200. You want to exploit positive alpha but you are afraid are afraid that the share market may fall and hedge your portfolio by selling the 3-month S&P 500 future contracts. The S&P contract multiplier is $250. When you hedge your share portfolio with futures contracts the value of your portfolio beta is ________.

A) 0
B) 1
C) 1.2
D) Beta cannot be determined from information given