AbstractIn this article we consider the measure of hedging effectiveness proposed by Howard and D' Antonio (HD) when there are multiple cash and futures markets. It is found that the HD measure can be decomposed into two components: one solely determined by the futures market conditions, the other affected by both cash and futures markets as well as the hedger's cash portfolio. We then analyze the impacts of optimal cash portfolios on the HD measure. Although the Ederington hedging effectiveness is bounded over all cash portfolios, the conclusion does not apply to the HD measure.