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. $\begin{array}{lc} \text { Portfolio Value} &\$ \quad \text { 1million } \\ \text { Portfolio's Beta} &0.60\\ \text { Current S\&P500 value } &1400\\ \text {Anticipated S\&P500 Value } &1200\\\end{array}$

For a 200-point drop in the S&P 500, by how much does the value of the futures position change?

A) $200,000
B) $50,000
C) $250,000
D) $500,000
E) $100,000