Mutual Fund Name: The Shangri-la S&P/TSX 60 Bear Plus ETF. Investment Objective: The Shangri-la S&P/TSX 60 Bear Plus ETF seeks daily investment results such that the long-run Beta of the ETF is equal to -2. What is the equilibrium expected rate of return on the ETF if the risk free rate is 3.5% and the market risk premium is 6%?

Looking for process work to understand how the solution of -8.5% was achieved.

A) -19% B) *-8.5% C) -2.5% D) 0% E) 3.5%