H1 Solutions, May 15, 2015

1. The portfolio beta is about 1.18
2. The number of contracts to go short is ($100 Million x 1.18) / (250 x 1050) = about 449 contracts.
3. The entire portfolio comprises about 3 Million shares. The round-trip effective cost per share is the bid-ask spread = $0.01/share. The total cost is about 3,000,000 x $0.01 = $30,000.
4. The bid-ask spread on the futures contract is 0.1 index points per contract. Each contract has a value of $250 x the index, so the bid/ask spread per contract is $25. The total cost is $25 x 449 = (about) $11,000. So putting on a hedge with the futures contract saves about 30,000 - 11,000 = 19,000.
5. I examined your spreadsheet when there appeared to be a problem with your final calculations.