Question: Given the following information, please find The optimal hedging ratio; The effectiveness of the hedging; The number of futures contracts on the S&P 500 index.

Given the following information, please find

  1. The optimal hedging ratio;
  2. The effectiveness of the hedging;
  3. The number of futures contracts on the S&P 500 index.

*Use the past five-year monthly data (April 01,2015 ~ April 30, 2020) to find the answers.

Portfolio:

Value: $100 million.

Component stocks:

25% on IBM

20% on TSLA

55% on WMT

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