The Horizons Bull Plus Fund seeks daily investment results that corres

The Horizons Bull Plus Fund seeks daily investment results that correspond to two times (200%) the daily performance of the S&P 500 Index.

If you wanted to build a portfolio out of T-Bills and the S&P Index to mimic the performance of the Bull Plus Fund, then what are the portfolio weights? Assume that the expected return on the S&P index is 10%, the risk free rate is 4%.
A) wS&P = 1.5 and wT-Bill = -0.5
B) wS&P = 1.67 and wT-Bill = -0.67
C) wS&P = 2 and wT-Bill = -1
D) wS&P = 2.33 and wT-Bill = -1.33
E) wS&P = 2.67 and wT-Bill = -1.67

ANSWER

E