A portfolio is worth USD 200 million that has a beta relative to the S&P 500 index of 0.75. The S&P 500 index is currently trading at 5,000. The 3-month S&P 500 futures with a contract size of 250USD × futures price is trading at 4,500. Using the 3-month S&P 500 futures contract, which of the following transactions would increase the portfolio's beta to 0.9?
A portfolio is worth USD 200 million that has a beta relative to the S&P 500 index of 0.75. The S&P 500 index is currently trading at 5,000. The 3-month S&P 500 futures with a contract size of 250USD × futures price is trading at 4,500. Using the 3-month S&P 500 futures contract, which of the following transactions would increase the portfolio's beta to 0.9? A.Long 27 futures contracts.; B.Short 27 futures contracts.; C.Long 24 futures contracts.; D.Short 24 futures contracts.