年标准差如何计算对冲系数

问题如下：

Suppose a currency trader computed the correlation between the spot and futures to be 0.875, the annual standard deviation of the spot price to be $1.10, and the annual standard deviation of the futures price to be $1.3. What is the hedge ratio?

选项：

A.

0.35.

B.

0.69.

C.

0.74.

D.

0.87.

解释：

C is correct.

考点：Hedge Ratio

解析：

$HR=\rho_{S,F}\frac{\sigma_S}{\sigma_F}=0.875\times\frac{1.1}{1.3}=0.74$