BUYING THE STOCK AND SHORTING THE FUTURES GIVES A GUARANTEED RETURN OF 10% I

3. - CFA 2018 LEVEL 2 PORTFORLIO QUESTION BANK R48 INTRODUCTION TO MULTIFACTOR MODELS Q BANK
CFA 2018 LEVEL 2 PORTFORLIO QUESTION BANK R48 INTRODUCTION TO MULTIFACTOR MODELS Q BANK

3. A is correct. Buying the stock and shorting the futures gives a guaranteed return of 10% i.e.