A market$-$neutral fund $($$$149,000,000)$ strives for very low market risk $(=0\mathrm{.}18).$ It believes it can generate $=0\mathrm{.}05$ per quarter. The $$ of

the underlying portfolio is $1\mathrm{.}38.$ The risk$-$free rate is $0\mathrm{.}5\%$ per quarter and the $S$&$P500$ is currently priced at $4,000($E$-$mini $S$&$P-500$

multiplier $=$$$50).$

Required:

If the $S$&$P500$ 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 is complete but not entirely correct.