QUESTION 26 Which of the following statements is correct? If the correlation between the futures and spot returns is equal to 0.5 and the standard deviation of the futures returns is equal to that of the spot returns, then the optimal hedge ratio is O A. equal to 1.5. If the correlation between the futures and spot returns is equal to 1.0 and the standard deviation of the futures returns is equal to that of the spot returns, then the optimal hedge ratio is B. equal to 1.5. If the correlation between the futures and spot returns is equal to 1.0 and the standard deviation of the futures returns is equal to twice that of the spot returns, then the optimal hedge C. ratio is equal to 1.25. If the correlation between the futures and spot returns is equal to 0.5 and the standard deviation of the futures returns is equal to twice that of the spot returns, then the optimal hedge O D.ratio is equal to 0.25