Hedge your portfolio of Australian stocks with ASX SPI 200 Index futures over the same three months period. The Portfolio consists of NST, NCM, PRU & EVN.

The data has been added onto the question

Assessment criteria:

o Rationale for using the hedge ratio

o Calculation of the hedge ratio o Correct implementation of hedge, showing full details of transactions in a table with appropriate narrative of all relevant transactions that may occur in real world investment

o Correct liquidation of positions and calculations of profit/loss

o Effectiveness of the hedge and reasons why the hedge strategy worked/failed to work as you expect o Discuss how the hedge can be improved taking into account the shortcomings you identified above