On November 1, an analyst who has been studying a firm called Computer Science believes the company will make a major new announcement before the end of the year. Computer Science currently is priced at 27.63 and has a beta of 0.95. The analyst believes that the stock can advance about 10 % if the market does not move. The analyst thinks the market might decline by as much as 5%, leaving the stock with a return of 0.10+(-0.05*0.95) = 0.0525. To capture the full 10% alpha, the analyst recommends the sale of a particular stock index futures. The March contract currently is priced at 393. Assume that the investor owns 100,000 shares of the stock. Set up a transaction by determining the appropriate number of futures contracts. Then determine the effective return on the stock if, on December 31, the stock is sold at 28.88, the futures contract is at 432.30, and the multiplier is 500. Explain your results.