Risk Aversion Factor

EMG Hedge Ratio (%)

EMG Coefficient for Unhedged Portfolio

EMG Coefficient for Hedged Portfolio

Hedging Effectiveness (%)

2

56.44

0.007893

0.005889

25.38

5

58.12

0.017130

0.012734

25.67

10

59.28

0.024806

0.018504

25.41

30

59.81

0.038962

0.029611

24.00

50

59.55

0.046402

0.035646

23.18

100

58.51

0.057025

0.044486

21.99

200

57.63

0.067382

0.053666

20.36

300

57.66

0.072857

0.058924

19.12