You expect that there will be geopolitical tension between Russia and Ukraine within coming 3 months. You think that the gold price will jump if it happens.

Suppose that the gold currently sells for $1,800 per ounce. If the risk-free interest rate is 0.25% per month,

After 1 month, there is war between the 2 countries and gold soars to $1,900 per ounce.

Calculate the one-month holding period return if the futures contracts keep priced fairly. (9 marks)