You Are Given the Following Information About a Portfolio You

Multiple Choice

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. $\begin{array}{lc} \text { Portfolio Value} &\$ \quad \text { 1million } \\ \text { Portfolio's Beta} &0.60\\ \text { Current S\&P500 value } &1400\\ \text {Anticipated S\&P500 Value } &1200\\\end{array}$
If the anticipated market value materializes, what will be your expected loss on the portfolio?

A) 14.29%
B) 16.67%
C) 15.43%
D) 8.57%
E) 6.42%