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. 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%

Question

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.  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%

Quizplus · Accepted Answer

The change would represent a drop of (915 - 990)/990 = 7.58% in the index.Given the portfolio's beta, your portfolio would be expected to lose 0.86 × 7.58% = 6.52%.

You Are Given the Following Information About a Portfolio You