You Are Given the Following Information About a Portfolio You

question 29

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. $$\begin{array} { | l | l | } \hline \text { Portfolio Value } & \$ 1 \text { million } \\\hline \text { Portfolio's Beta } & 0.86 \\\hline \text { Current S\&P500 Value } & 990 \\\hline \text { Anticipated S\&P500 Value } & 915 \\\hline\end{array}$$
-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%

---

Definitions:

Market Value Weighted-Average Beta

A calculation that averages the betas of all stocks in a portfolio, weighted by their market value.

Market Index

A statistical measure that tracks the performance of a basket of specific stocks to represent a particular market or sector.

Beta

A measure of the volatility, or systemic risk, of a security or a portfolio compared to the market as a whole.

Systematic-Risk Event

An event that affects all securities in the financial market and cannot be mitigated through diversification.