A market-neutral fund ($146,000,000) strives for very low market risk (B = 0.13). It believes it...
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A market-neutral fund ($146,000,000) strives for very low market risk (B = 0.13). It believes it can generate a 0.03 per quarter The of the underlying portfolio is 1.33. 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. 2d Answer is complete but not entirely correct. Expected return 0.66 % A market-neutral fund ($146,000,000) strives for very low market risk (B = 0.13). It believes it can generate a 0.03 per quarter The of the underlying portfolio is 1.33. 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. 2d Answer is complete but not entirely correct. Expected return 0.66 %
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