The Horizons Bear Plus Fund seeks daily expected returns that are two times (200%)the inverse (opposite)of the performance of the S&P 500 Index.If k_F = 5% and E(k_M)=10%,what is the Beta coefficient for the Bear Plus Fund? A) -0.5 B) -2.0 C) -4.0 D) -5.0 E) +1.0

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If the Bear Plus fund wants to have an expected return which is -2 times the return on the market, then we know: E(k_p) = -2 × E(k_M) From the CAPM we know that E(k_p) can be expressed as: E(k_p) = k_F + β_p[E(k_M) - k_F] Substituting the first expression for E(k_p) into the second we get: -2 × E(k_M) = k_F + β_p[E(k_M) - k_F] Now we solve for β_p: [-2 × E(k_M)] - k_F = β_p[E(k_M) - k_F] β_p = 11ea7fdb_fc0e_91c1_a768_414be929fb08_TB2902_11 β_p = 11ea7fdb_fc0e_b8d2_a768_c16639de7e8d_TB2902_11 β_p = 11ea7fdb_fc0e_b8d3_a768_cd49479ea9ac_TB2902_11 = 11ea7fdb_fc0e_b8d4_a768_f35e9fd5d809_TB2902_11 = -5

The Horizons Bear Plus Fund Seeks Daily Expected Returns That