Final answer:
The real risk-free return is 2.21%, found by subtracting the inflation premium of 0.44% from the 30-day T-bill yield of 2.65%.
Step-by-step explanation:
The real risk-free return is calculated by subtracting the inflation premium from the nominal interest rate of a risk-free bond, which is usually represented by Treasury securities. In this case, the nominal interest rate is given as 2.65% for the 30-day T-bill yield. Since the inflation premium is 0.44% for bonds with 5 years to maturity, we can use this as our estimate for the inflation premium for the 30-day T-bill as well, although it might not be perfectly accurate due to the difference in maturities. The default risk premium on corporate bonds does not affect the real risk-free rate as it pertains specifically to corporate bonds rather than risk-free government bonds. To find the real risk-free return, we subtract the inflation premium from the T-bill yield: 2.65% - 0.44% = 2.21%.