4. You hold $100 million worth of the S&P500 (spot asset) and you consider hedging your market exposure using S&P500 futures. The daily distribution of the returns on the spot and the futures are as follows: Spot: follows the normal distribution with mean=0.0%, standard deviation=0.55% Futures: follows the normal distribution with mean=0.0%, standard deviation=0.60% The correlation coefficient is 0.80. a) Calculate and interpret the minimum variance hedge ratio. b) Calculate the risk (sigma) of the hedged portfolio. (Hint: weights of the hedged portfolio will be h/(1+h) for futures, 1/(1+h) for spot asset.) c) Calculate the daily SVAR for the unhedged portfolio at the 99% confidence level. d) Calculate the daily SVAR for the hedged portfolio at the 99% confidence level