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Salomon Brothers, Hong Kong Variance Date Change in Short(x) Mean(M) x-M (x-M)^2 14-Aug-95 1250 340 910 828100 15-Aug-95 -100 340 -440 193600 16-Aug-95 100 340
Salomon Brothers, Hong Kong | ||||
Variance | ||||
Date | Change in Short(x) | Mean(M) | x-M | (x-M)^2 |
14-Aug-95 | 1250 | 340 | 910 | 828100 |
15-Aug-95 | -100 | 340 | -440 | 193600 |
16-Aug-95 | 100 | 340 | -240 | 57600 |
17-Aug-95 | 1100 | 340 | 760 | 577600 |
18-Aug-95 | 400 | 340 | 60 | 3600 |
21-Aug-95 | 200 | 340 | -140 | 19600 |
22-Aug-95 | -500 | 340 | -840 | 705600 |
23-Aug-95 | -1400 | 340 | -1740 | 3027600 |
24-Aug-95 | 2150 | 340 | 1810 | 3276100 |
25-Aug-95 | 200 | 340 | -140 | 19600 |
8709000 | ||||
Variance= | 870900 | |||
Date | Change in Long(x) | Mean(M) | x-M | (x-M)^2 |
14-Aug-95 | -170 | -68.8 | -101.2 | 10241.44 |
15-Aug-95 | -455 | -68.8 | -386.2 | 149150.44 |
16-Aug-95 | 780 | -68.8 | 848.8 | 720461.44 |
17-Aug-95 | -1890 | -68.8 | -1821.2 | 3316769.44 |
18-Aug-95 | 240 | -68.8 | 308.8 | 95357.44 |
21-Aug-95 | 280 | -68.8 | 348.8 | 121661.44 |
22-Aug-95 | 120 | -68.8 | 188.8 | 35645.44 |
23-Aug-95 | 2639 | -68.8 | 2707.8 | 7332180.84 |
24-Aug-95 | -2622 | -68.8 | -2553.2 | 6518830.24 |
25-Aug-95 | 390 | -68.8 | 458.8 | 210497.44 |
18510795.6 | ||||
Variance= | 1851079.56 | |||
HE=( Var on Short-Var on Net daily/Var on Short) | -1.125478884 |
Why is the Hedge Effectiveness (HE) significantly below 100%? What factors contribute to the discrepancy and why?
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