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A market - neutral fund ) strives for very low market risk ( = 0 . 1 8 ) . It believes it can generate

A market-neutral fund ) strives for very low market risk (=0.18). It believes it can generate =0.05 per quarter. The of
the underlying portfolio is 1.38. The risk-free rate is 0.5% per quarter and the S&P500 is currently priced at 4,000(E-mini S&P500
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 is complete but not entirely correct.
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