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Determining the arbitrage profit

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Reference no: EM133111950

Helen Wu is a hedge fund manager. She believes she has identified an arbitrage opportunity in the futures market for an equity index product whose spot price is currently $120. The futures price for this product expiring in 6 months is $125. Her annualized borrowing cost 2.75. In the space provided, outline each transaction in this trade and indicate if Ms Wu will earn an arbitrage profit.

Reference no: EM133111950

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