A corporate cash manager who often invests her firm's excess cash in the Eurodollar market is considering the possibility of investing $20 million for 180 days directly in a Eurodollar CD at 6.15 percent. As an alternative, she considers the fact that the 90-day rate is 6 percent and the price of a Eurodollar futures expiring in 90 days is 93.75 (the IMM index). She believes that the combination of the 90-day CD plus the futures contract would be a better way of lending $20 million for 180 days.

Suppose she executes this strategy and the rate on 90-day Eurodollar CDs ninety days later is 5.9 percent. Determine the annualized rate of return she earns over 180 days and compare it to the annualized rate of return on the 180-day CD.