Chuckrox

take dis problem, i cant solve it...
UK fund invest 200m pounds into US stocks with a beta of 2.5. Initial exchange rate $1.5/ pound, investment horizon-3 months. Exchange rate after 3 months $1.6/ pound. Rf in US= 6% p.a., Rf in UK= 4% p.a.
3month S&P index= $1200, after 3 months they quote at $1320. Initially, S&P futures quote at= 1200*1.06^0.25= $1217.61.
This investment exposes the UK fund to market as well as currency risk. Assume that S&P has gone up by 10%. Can you tell me what happens when the fund decides to hedge market risk via futures with beta of the portfolio=0? Theoritically, whenever an investment is made in foreign currency market and hedging is done, it will earn the foreign currency risk-free return, but i cant seem to prove it.
Plz help.