You hold an $8 million stock portfolio with a beta of 1.0. You believe that the risk-adjusted abnormal
return on the portfolio (the alpha) over the next three months is 2 percent. The S&P/TSX 60 index currently is at 800 and the risk-free rate is 1 percent per quarter. What will be the futures price on the three-month maturity S&P/TSX60 futures contract? How many S&P/TSX 60 futures contracts are needed to hedge the stock portfolio?
I know the futures price is $800x1.01=$808. I don't know how to calculate for the number of futures contracts.