1. Plot the unhedged values and hedged values over time. Discuss whether your strategy was successful. Specifically, did your futures position lower the currency risk?
2. Calculate the standard deviations of the unhedged values. In addition, calculate the standard deviation of hedged values.. Discuss whether your strategy was successful.
EUR/USD Euro FX Future P Price Change Daily Gains Cumulative Margin Accoi Unhedged Value Hedged Value 1.1926 1.1869 110000 5240650.68 5240650.68 1.1852 1.1911 -0.0042 -26250 -26250 100000 5273371.58 5247121.58 1.1898 1.1933 -0.0022 -13750 -40000 100000 5252983.69 5212983.69 1.1926 1.1993 -0.006 -37500 -77500 100000 5240650.68 5163150.68 1.1986 1.1959 0.0034 21250 -56250 121250 5214416.82 5158166.82 1.195 1.1935 0.0024 15000 -41250 136250 5230125.52 5188875.52 1.1926 1.1913 0.0022 13750 -27500 150000 5240650.68 5213150.68 1.1902 1.1987 -0.0074 -46250 -73750 103750 5251218.28 5177468.28 1.1983 1.1922 0.0065 40625 -33125 144375 5215722.27 5182597.27 1.1918 1.1916 0.0006 3750 -29375 148125 5244168.48 5214793.48 1.883 1.1949 -0.0033 -20625 -50000 127500 3319171.53 3269171.53 1.1933 1.1859 0.009 56250 6250 183750 5237576.47 5243826.47 1.184 1.1829 0.003 18750 25000 202500 5278716.22 5303716.22 1.1813 1.1782 0.0047 29375 54375 231875 5290781.34 5345156.34 1.1777 1.1796 -0.0014 -8750 45625 223125 5306954.23 5352579.23 1.1788 1.1769 0.0027 16875 62500 240000 5302002.04 5364502.04 1.1771 1.1722 0.0047 29375 91875 269375 5309659.33 5401534.33 1.1724 1.1729 -0.0007 -4375 87500 265000 5330945.07 5418445.07 1.1729 1.1774 -0.0045 -28125 59375 236875 5328672.52 5388047.52 1.1768 1.1815 -0.0041 -25625 33750 211250 5311012.92 5344762.92 1.1819 1.1874 -0.0059 -36875 -3125 174375 5288095.44 5284970.44 1.1874 1.1868 0.0006 3750 625 178125 5263601.15 5264226.15 1.1874 1.1919 -0.0051 -31875 -31250 146250 5263601.15 5232351.15 1.1916 1.1904 0.0015 9375 -21875 155625 5245048.67 5223173.67 &&&&e ne sonnenenanna EUR/USD Euro FX Future P Price Change Daily Gains Cumulative Margin Accoi Unhedged Value Hedged Value 1.1926 1.1869 110000 5240650.68 5240650.68 1.1852 1.1911 -0.0042 -26250 -26250 100000 5273371.58 5247121.58 1.1898 1.1933 -0.0022 -13750 -40000 100000 5252983.69 5212983.69 1.1926 1.1993 -0.006 -37500 -77500 100000 5240650.68 5163150.68 1.1986 1.1959 0.0034 21250 -56250 121250 5214416.82 5158166.82 1.195 1.1935 0.0024 15000 -41250 136250 5230125.52 5188875.52 1.1926 1.1913 0.0022 13750 -27500 150000 5240650.68 5213150.68 1.1902 1.1987 -0.0074 -46250 -73750 103750 5251218.28 5177468.28 1.1983 1.1922 0.0065 40625 -33125 144375 5215722.27 5182597.27 1.1918 1.1916 0.0006 3750 -29375 148125 5244168.48 5214793.48 1.883 1.1949 -0.0033 -20625 -50000 127500 3319171.53 3269171.53 1.1933 1.1859 0.009 56250 6250 183750 5237576.47 5243826.47 1.184 1.1829 0.003 18750 25000 202500 5278716.22 5303716.22 1.1813 1.1782 0.0047 29375 54375 231875 5290781.34 5345156.34 1.1777 1.1796 -0.0014 -8750 45625 223125 5306954.23 5352579.23 1.1788 1.1769 0.0027 16875 62500 240000 5302002.04 5364502.04 1.1771 1.1722 0.0047 29375 91875 269375 5309659.33 5401534.33 1.1724 1.1729 -0.0007 -4375 87500 265000 5330945.07 5418445.07 1.1729 1.1774 -0.0045 -28125 59375 236875 5328672.52 5388047.52 1.1768 1.1815 -0.0041 -25625 33750 211250 5311012.92 5344762.92 1.1819 1.1874 -0.0059 -36875 -3125 174375 5288095.44 5284970.44 1.1874 1.1868 0.0006 3750 625 178125 5263601.15 5264226.15 1.1874 1.1919 -0.0051 -31875 -31250 146250 5263601.15 5232351.15 1.1916 1.1904 0.0015 9375 -21875 155625 5245048.67 5223173.67 &&&&e ne sonnenenanna
