Risk Aversion Factor

EMG Hedge Ratio

EMG Coefficient for Unhedged Portfolio

EMG Coefficient for Hedged Portfolio

Hedging Effectiveness

MV

57.62

-

-

42.40

EMG^(a)

59.26

0.057198

0.045121

21.66

2

56.54

0.007854

0.005860

25.38

5

58.55

0.017043

0.012663

25.70

10

59.40

0.024651

0.018372

25.47

30

60.08

0.038802

0.029495

23.98

50

60.08

0.046359

0.035649

23.10

100

59.34

0.057418

0.044835

21.92

200

59.06

0.068748

0.054803

20.28

300

59.04

0.075243

0.060932

19.02