Use the data in the table to answer the question that follows.

E$($k$)$ Beta $P

T$-$Bill $3\mathrm{.}5\%0$

S&P $5009\%1$

Bank of America $($BAC$)17\mathrm{.}25\%2\mathrm{.}5$ $$15$

Citigroup $($C$)20\%3$ $$4$

$32$ You are the portfolio manager of the Sholo Hedge Fund. Sholo specializes

in the long$/$short strategy: buying long equities that are expected to

increase in value and selling short equities that are expected to decrease

in value. You expect that Bank of America is going to rise in value and

that Citigroup is going to fall in value. You want to construct a market

neutral position in the two stocks $($with a Beta of zero$).$ You have $$1$M of

equity to invest in the position. What is the equilibrium expected return,

E$($k$),$ for your portfolio?

A$)0\%$

B$)*3\mathrm{.}5\%$

C$)9\%$

D$)18\%$

E$)19\%$