The Glover Scholastic Aid Foundation has received a $20$ million global government bond portfolio from a Greek donor. This bond portfolio will be held in euros and managed separately from Glover$$s existing U$.$S$.$ dollar$-$denominated assets. Although the bond portfolio is currently unhedged, the portfolio manager, Raine Sofia, is investigating various alternatives to hedge the currency risk of the portfolio. The bond portfolio$$s current allocation and the relevant country performance data are given in Exhibits $1$ and $2.$ Historical correlations for the currencies being considered by Sofia are given in Exhibit $3.$ Sofia expects that future returns and correlations will be approximately equal to those given in Exhibits $2$ and $3.$

Exhibit $1.$ Glover Scholastic Aid Foundation Current Allocation Global Government Bond Portfolio

Country Allocation $(\%)$ Maturity $($years$)$

Greece $155$

A $405$

B $2010$

C $105$

D $1510$

Exhibit $2.$ Country Performance Data $($in local currency$)$

Country Cash Return $5-$year Excess Bond Return $(\%)10-$year Excess Bond Return $(\%)$ Unhedged Currency Return $(\%)$ Liquidity of $90-$day Currency Forward Contracts

Greece $2\mathrm{.}01\mathrm{.}52\mathrm{.}0$ Good

A $1\mathrm{.}02\mathrm{.}03\mathrm{.}04\mathrm{.}0$ Good

B $4\mathrm{.}00\mathrm{.}51\mathrm{.}02\mathrm{.}0$ Fair

C $3\mathrm{.}01\mathrm{.}02\mathrm{.}02\mathrm{.}0$ Fair

D $2\mathrm{.}61\mathrm{.}42\mathrm{.}43\mathrm{.}0$ Good

Required:

Calculate the expected total annual return $($euro$-$based$)$ of the current bond portfolio if Sofia decides to leave the currency risk unhedged.

Note: Do not round intermediate calculations. Enter your answer as a percent rounded to $2$ decimal places.