A market-neutral fund ($150,000,000) strives for very low market risk ( = .15). It believes it can

A market-neutral fund ($150,000,000) strives for very low market risk (β = .15). It believes it can generate α = .04 per quarter. The β of the underlying portfolio is 1.35. 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). If the S&P 500 is 3,800 at the end of quarter, what is the expected return on the portfolio?

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