Effective beta

[gonowpass]

Effective beta, not sure where i am going wrong:
Equity portfolio is 20m. Allison sold 100 NASDAQ futures at 124,450. During the quarter the market decreased by 3.5%, the value of the equity portfolio decreased by 5.1%, and the NASDAQ futures fell from 124,450 to 119,347. Calculate effective beta:
Equity value = 20m x (1 – 0.051) = 18,980,000
Value of futures = (124,450 – 119,347) x 100 = 510,300
Equity + futures = 18,980,000 + 510,300 = 19,490,300
Hedged portfolio return = 19,490,300 / 20,000,000 = -2.55%
So effective beta = -0.0255 / -0.035 = 0.73
The correct answer is for effective beta = 1.27
Can someone please tell me where I am going wrong?

 

[jpsi1]

She sold 25 NASDAQ 100 futures per latest version of Topic Test. Multiply futures PnL by 25 instead of 100 and everything works.

 

[olivia_x]

Issues here is the equity change instead of the rest equity amount.
Use 20m x (– 0.051) + 510,300 is the portfolio value change, change that to percentage like you did, and the divide market change (-3.5%) is the effective beta.

 

[CfaLad]

I can’t remember which mock but one of them has “25” missing