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An equity portfolio manager desires to be 'market neutral'.

An equity portfolio manager desires to be 'market neutral'. His portfolio is valued at $10m and has a beta of 0.7 to the broad market index. The index is currently at 1000 and an index contract multiplier is specified as 250. What should he do to make the beta of his portfolio zero?

A.

Sell 40 contracts of the index futures contract

B.

Buy 28 contracts of the index futures contract

C.

Buy 40 contracts of the index futures contract

D.

Sell 28 contracts of the index futures contract

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