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.

FINANCIAL ACCOUNTING
10th Edition
ISBN:9781259964947
Author:Libby
Publisher:Libby
Chapter1: Financial Statements And Business Decisions
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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-
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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