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Hedge your portfolio of Australian stocks with ASX SPI 200 Index futures over the same three months period. (9 marks) Assessment criteria: o Rationale for

Hedge your portfolio of Australian stocks with ASX SPI 200 Index futures over the same three months period. (9 marks)

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

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