On May 17, Shen, an American investor, decided to buy three-month Treasury bills. He found that the per-annum interest rate on three-month Treasury bills is 8.00% in New York and 12.00% in London, Great Britain. Based on this information and assuming that tax costs and other transaction costs are negligible in the two countries, it is in Shen's best interest to purchase three-month Treasury bills in , because it allows him to earn more for the three months. On May 17, the spot rate for the pound was $1.510, and the selling price of the three-month forward pound was $1.508. At that time, Shen chose to ignore this difference in exchange rates. In three months, however, the spot rate for the pound fell to $1.450 per pound. When Shen converted the investment proceeds back into U.S. dollars, his actual return on investment was As a result of this transaction, Shen realizes that there is great uncertainty about how many dollars he will receive when the Treasury bills mature. So, he decides to adjust his investment strategy to eliminate this uncertainty. What should Shen's strategy be the next time he considers investing in Treasury bills? Avoid investment in foreign institutions. Contract in the forward market to sell the foreign currency in the amount of the proceeds from the investment. Exchange half of the anticipated proceeds of the investment for domestic currency. Had Shen used the covered interest arbitrage strategy on May 17, his net return on investment (relative to purchasing the U.S. Treasury bills) in British three-month Treasury bills would be . (Note: Assume that the cost of obtaining the cover is zero.)