::
@vincentt‌
No. of nasdaq futures required to short = 1.05 – 1.2 ($20,000,000/ $124,450) = -24
Value of portfolio = $20,000,000 x (1 – 0.051) = $18,980,000
Value of short position = 24 x ($124,450 – $119,347) = +$122,472
Portfolio Value = $19,102,472
Portfolio Beta = ($19,102,472/ $20,000,000) – 1 = -0.04488
Effective Beta = -0.04488/ -0.035 = 1.28 (A)
I got confused at first as I thought she sold 100 futures. Not sure if this happened to you too.