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. $$\begin{array} { l c } \text { Portfolio Value } & \$ 1 \text { milion } \\\text { Portfolio's Beta } & 0.60 \\\text { Current S\&P500 Value } & 1400 \\\text { Anticipated SEP500 Value } & 1200 \\\end{array}$$ 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%