After the manager created the synthetic cash positions with futures and before adjusting equity beta and bond duration, the textbook solution says that “the manager effectively has $170 million (85%) in stocks and $30 million (15%) in bonds/”
However, the actual stock position has now become
$200m *65% + 307 * $157,500 = $178,352,500
And thus the desired number of futures to purchase should be
N(sf) = [(1.20-1.15)/0.95]*($178,352,500/$157,500) = 59.60 ~ 60
Which one is correct, and why?
Thank you.