Optimal Hedge Ratio Calculator
Compute optimal hedge ratio for futures hedging. OHR = (correlation × spot volatility) / futures volatility.
Use the Optimal Hedge Ratio Calculator
Enter correlation and spot/futures standard deviations (%). Optimal hedge ratio is calculated.
Inputs
Correlation and standard deviations (as %). OHR = (ρ × σ_spot) / σ_futures.
Results
Optimal hedge ratio
0.7500
OHR minimizes variance of hedged position. Use to size futures contracts vs spot.
How this calculator works
Interest = Margin balance times (annual rate / 365) times days. Simple interest; no compounding.
How to interpret your results
Compare the interest cost to expected investment returns to gauge whether margin is worthwhile.
FAQs
What does this calculator do?▾
Estimates interest owed on a margin balance using simple daily accrual: Balance x (rate / 365) x days.
Which inputs matter most?▾
Margin balance and annual rate. Days held determines the period.
When would I use this?▾
To estimate borrowing cost on margin; to compare with investment returns.
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