Possible error, confirm?

CFA Level III
#1

Q: A manager wants to synthetically convert to cash $12 million of a diversified stock portfolio for three months. The manager will use the CME E-mini S&P stock index futures contract, which has a multiplier equal to $50, and the price of the three month contract is 1598.80. The dividend yield on the portfolio is 2.8%. The risk-free rate is 3.96%. To accomplish this, the best choice would be to:

A - take a short position in 156 contracts.

B - take a long position in 152 contracts.

C - take a short position in 152 contracts.

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I thought it was B but they say C… why shorting, aren’t you increasing beta from 0.

#2

You have stock and you want cash, so you short stock futures.

#3

Ohhh misread the question. Though they had cash and wanted stock!

#4

So it was an error.

Just not on CFA Institute’s part.

#5

It’s usually one or the other!