Question
Project Y Hedge fund traders recently took a fully collateralized long futures position in nearby corn futures contracts at the quoted futures price of 378.6
Project Y Hedge fund traders recently took a fully collateralized long futures position in nearby corn futures contracts at the quoted futures price of 378.6 (US cents per bushel). Three months later, the entire futures position will be rolled when the near-term futures price will be 398.2 (US cents per bushel) and the further-term futures price will be 393.6. during the three-month period between the time that the initial long position was taken and the rolling of the contract, the collateral is expected to earn a quarterly return of 0.20%. What will be the expected three-month total return on this futures trade?
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