The Explosive Bull Plus Fund seeks daily investment results that corre

The Explosive Bull Plus Fund seeks daily investment results that correspond to two times (200%) the daily performance of the S&P 500 Index. The expected return on the S&P index is 6%, and the expected return on T-Bills (the risk-free rate) is 2%.

If you wanted to build a portfolio out of T-Bills and the S&P index to mimic the performance of the Fund, then what are the portfolio weights of each asset?
A) wS&P = 1 and wT-Bill = 0
B) wS&P = 1.5 and wT-Bill = -0.5
C) wS&P = 1.8 and wT-Bill = -0.8
D) wS&P = 2.5 and wT-Bill = -1.5
E) wS&P = 2.67 and wT-Bill = -1.67

ANSWER

D