You are the money manager of a 5 stock portfolio with the following investment amounts in each one: $10 million, $2 million, $5 million, $6 million and $500,000. The betas of the 5 stocks are 1.25, -1.75, 1.00, 0.75 and 1.9, respectively. The market's required return is 14% and the risk free return is 4.8%. How (and why) does this portfolio compare to an average risk portfolio assuming that the market return is a reasonable proxy for an average risk portfolio?
A. This is an above average risk portfolio because the beta of this portfolio is less than 1.00.
B. This is an average risk portfolio.
C. This is a below average risk portfolio because the beta of this portfolio is less than 1.00.
D. This is a below average risk portfolio because the beta of this portfolio is 1.00.