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Futures are under-priced by 0.69%. The risk-free rate is 2.11%. What should be the return of a cost-of-carry long hedge held to maturity? Please use

Futures are under-priced by 0.69%. The risk-free rate is 2.11%. What should be the return of a cost-of-carry long hedge held to maturity? Please use two decimal places for your answer.

The answer is 2.8%. Please explain. The last expert said more information was needed, but this is all the professor gave.

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