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You have been carrying an equity portfolio that has been paying you a 1.89% annual dividend income rate. The portfolio is identical to that for the S&P500 Index in composition (i.e. they have the same stocks and weights). Its value is $1,000,000 times the indexs value. On 2/23, you hedged your portfolio value by going short 3900 Jun '11 S&P500 Index futures contracts. The futures contract is for $250 x the index value. Assume the below data.

			(1 week to maturity) US	DJIA
Date	Spot Price	Futures Price	TBill Annual % Yield	Price
2/23/11	1307.40	1300.60	0.105%	12105.8
3/2	1308.44	1300.80	0.089%	12066.8
3/9	1320.02	1310.60	0.066%	12213.1
3/16	1256.88	1253.90	0.2%	11613.3

For the 2/23/11-3/16 period, calculate the weekly: (a) per unit carry cost, (b) per unit spot price change, (c) per unit spot profit, (d) total spot market profit, (e) per unit hedging instrument price change, (f) total futures market profit, and (g) total hedge profit. Using these answers, calculate the: (h) ex-post HR_Regr, (i) ex-post maximum Hedging-Effectiveness (HE), and (j) actual HE for the period. Was this a good hedge? Explain. Also calculate the hedging instruments beta for the period using the DJIA as the market portfolios proxy

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