The following table gives data on monthly changes in the spot price and the futures price for

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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.

QM I M i I M iI I M. M i i =1 i i’M it i i ii Spot price change +0.50 +0.61 -0.22 -0.35 +0.79 Futures price change +0.56 +0.63 -0.12 -0.44 +0.60 Spot price change +0.04 +0.15 +0.70 -0.51 -0.41 Futures price change -0.06 +0.01 +0.80 -0.56 -0.46

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