In this paper,the hedging efficiency evaluation model based on investors\' utility is presented,and a study using the empirical data of Shanghai Copper,Zhengzhou Wheat and Dalian Beans is conducted.

The hedging cost of SZSE composite index is the lowest, but its hedging effectiveness is also the lowest, while the hedging effectiveness of SZSE composite subindex is higher, its hedging cost is also higher.

The spot is composed of two different funds and the system involves three factors: the market present, the hedging cost and the hedging effectiveness.

This paper assumes that the underlying price obeys a renewal jump-diffusion process, studies how to determine a sound hedge ratio when given an acceptable probability of hedge failing, and suggests the way to assume the parameter of calculating the optimal hedge ratio which is finally validated with an example.

Optimal hedge ratio is estimated under different time scales by taking minimum semivariance as hedge target.

Supposing the action of spot price and future price obey Brownian Motion, and by using logarithmic function as the utility functions of spot price and future price, we get hedging ratio, total risk of hedging, short hedging risk and long hedging risk.