Sizing an index-futures hedge in contracts

MediumStatistics Finance & Derivatives~4m

A $5{,}000{,}000 equity portfolio has beta $1.15$ to the index. You hedge with an index future: the index is at $4{,}000$ points and the contract multiplier is $50 per point. How many contracts must you short (rounded to the nearest whole contract) to make the portfolio market-neutral?

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Hedge the beta-weighted exposure $V\beta_p$ , converted into the future's own notional.
One contract $=4{,}000\times50$ ; then $5{,}750{,}000/200{,}000$ , rounded.

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Sizing an index-futures hedge in contracts

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