A market-neutral fund ($154,000,000) strives for very low market risk ( = 0.12). It believes it can

A market-neutral fund ($154,000,000) strives for very low market risk (β = 0.12). It believes it can generate α = 0.03 per quarter. The β of the underlying portfolio is 1.32. The risk-free rate is 0.5% per quarter and the S&P 500 is currently priced at 4,000 (E-mini S&P 500 multiplier = $50).

Required: If the S&P 500 is 3,800 at the end of quarter, what is the expected return on the portfolio? Note: Do not round intermediate calculations. Round your answer to 2 decimal places.

Answer rating: 100% (QA)

To calculate the expected return on the portfolio we need to consider the formula Expected Return Ri... View the full answer