Question 9: The following table gives data on monthly changes in the spot price and the futures price for a certain commodity. Use the data to calculate a minimum variance hedge ratio.
Question 9: The following table gives data on monthly changes in the spot price and the futures price for a certain commodity. Use the data to calculate a minimum variance hedge ratio.
Chapter1: Financial Statements And Business Decisions
Section: Chapter Questions
Problem 1Q
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![Question 9: The following table gives data on monthly changes in the
spot price and the futures price for a certain commodity. Use the data to
calculate a minimum variance hedge ratio.
Spot Price
Change
+0.50
+0.61
-0.22
-0.35
+0.79
Futures Price
+0.56
+0.63
-0.12
-0.44
+0.60
Change
+0.70
-0.51
-0.41
Spot Price
Change
+0.04
+0.15
0.06
+0.01
+0.80
-0.56
-0.46
Futures Price
Change
7-](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2Fef67ae4d-579b-45b5-927a-b8ec6a304e90%2F6cf2bef1-57c8-4e05-8a1d-1bc84a432742%2Falg6pu_processed.jpeg&w=3840&q=75)
Transcribed Image Text:Question 9: The following table gives data on monthly changes in the
spot price and the futures price for a certain commodity. Use the data to
calculate a minimum variance hedge ratio.
Spot Price
Change
+0.50
+0.61
-0.22
-0.35
+0.79
Futures Price
+0.56
+0.63
-0.12
-0.44
+0.60
Change
+0.70
-0.51
-0.41
Spot Price
Change
+0.04
+0.15
0.06
+0.01
+0.80
-0.56
-0.46
Futures Price
Change
7-
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