A bank decides to use $100 million of its capital to launch an investment strategy (seed money). The portfolio which is launched is made of global equities (say ~ 500 equities of different markets).
The bank does not want to be exposed to PnL variations in the portfolio, the intent is only to build a track record for the portfolio. How would you hedge this portfolio?
Do you have to take Beta into account when calculating the hedge ratio?
Or do you simply short futures for the same amount of the long equity positions in each market and roll the futures?