If the Futures Contract Used to Hedge a Spot Position $h ^ { * } = \rho \times \sigma ( \Delta S ) / \sigma ( \Delta F )$

Multiple Choice

If the futures contract used to hedge a spot position is marked-to-market daily, then the minimum-variance hedge ratio formula $h ^ { * } = \rho \times \sigma ( \Delta S ) / \sigma ( \Delta F )$ computed ignoring daily resettlement is, in absolute terms,

A) Biased downwards.
B) Unbiased.
C) Biased upwards.
D) Biased downwards only if interest rates are nonzero.