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The volatility of changes in S&P futures mispricing relative to spot is estimated as 0.30% per day. On the other hand, the daily volatility of

The volatility of changes in S&P futures mispricing relative to spot is estimated as 0.30% per day. On the other hand, the daily volatility of S&P spot index returns is 1.23%. What will be the hedging effectiveness (in percent) of S&P futures contracts in the short-term hedging of S&P spot exposure? Please give your answer to one decimal place.

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