You Are Given the Following Information About a Portfolio You

You are given the following information about a portfolio you are to manage. For the long-term you are bullish, but you think the market may fall over the next month. $$\begin{array} { | l | l | } \hline \text { Portfolio Value } & \$ 1 \text { million } \\\hline \text { Portfolio's Beta } & 0.86 \\\hline \text { Current S\&P500 Value } & 990 \\\hline \text { Anticipated S\&P500 Value } & 915 \\\hline\end{array}$$
-If the anticipated market value materializes,what will be your expected loss on the portfolio?

A) 7.58%
B) 6.52%
C) 15.43%
D) 8.57%
E) 6.42%

Correct Answer:

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