Your company also owns a $10,000,000 stock portfolio. Your boss wants to hedge half of the portfolio using e-mini Samp;P 500 futures and puts you…

6.              Your company also owns a $10,000,000 stock portfolio. Your boss wants to hedge half of the portfolio using e-mini S&P 500 futures and puts you in charge of doing it. 

The returns for the last 6 months for the portfolio and the S&P 500 have been:

Month                                   Portfolio                     S&P 500

1                                                   8%                             4%

2                                                   4%                             1%

3                                                   -12%                             -3%

4                                                   8%                             2%

5                                                   0%                             0%

6                                                   -4%                             -2.5%

What do you do?

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