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A risk manager at a pension fund is analyzing the risk profile of several of the fund's portfolios. The portfolios are invested in different asset classes and have the same current market value. Which of the following portfolios would likely have the highest potential level of unexpected loss during a sharp broad-based downturn in financial markets?
A
A portfolio of US Treasury notes with 2 to 5 years to maturity
B
A portfolio of long stock positions in an international large cap stock index combined with long put options on the same index
C
A portfolio of mezzanine tranche MBS structured by a large regional bank
D
A short position in futures for industrial commodities such as copper and steel