Correlated Factors - Quant question question, expected, believe, because, return

kmf229

Let’s say you have a Fund that has a Beta of:
0.20 to the HY Market
0.40 to the US Equity Market
0.35 to the International Equity Market
I don’t believe you can calculate expected return for the Fund as:
= RFR + B(HY Risk Premium) + B(US Equity Risk Premium) + B(Int’l Equity RIsk Premium)
…because the three markets are correlated.  How do you get around this issue?