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. $\begin{array}{lc} \text { Portfolio Value} &\$ \quad \text { 1million } \\ \text { Portfolio's Beta} &0.86\\ \text { Current S\&P500 value } &990\\ \text {Anticipated S\&P500 Value } &915\\\end{array}$

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%