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