Pre-Investing question from CFAI Sample 2

The question asked whether you can use the given equity and bond futures to pre-invest in a 60% equity 40% bond portfolio, and the answer was yes but the number of contracts needed to obtain the same exposure would be different from the number of contracts needed to pre-invest 60% of your cash in equities and 40% in bonds because the beta and the duration of the futures didn’t match the beta and duration of the portfolio. I don’t understand what this means…since when do you need the same beta and duration futures (Bf and Df) to gain exposure to a portfolio with a specific beta and duration (Bp and Dp)?



you cant simply buy 60%40% you have to calculate how many futures that represents based on tgt beta and Dur