Risk Aversion Factor

EMG Hedge Ratio (%)

Mean Portfolio Return (%)

% Change in Return to MV Return

Variance of Hedged Portfolio’s Return (%)

% Change in Variance to MV Variance

MV

57.62

0.004116

-

0.013985

-

EMG^(a)

58.32

0.003987

−0.000129

0.013987

0.000002

2

56.44

0.004336

0.000220

0.013990

0.000005

5

58.12

0.004023

−0.000093

0.013986

0.000001

10

59.28

0.003809

−0.000307

0.013994

0.000009

30

59.81

0.003710

−0.000406

0.014000

0.000015

50

59.55

0.003759

−0.000357

0.013997

0.000012

100

58.51

0.003951

−0.000165

0.013988

0.000003

200

57.63

0.004115

−0.000001

0.013985

0.000000

300

57.66

0.004109

−0.000007

0.013985

0.000000