Iginla2011

Imagine I have stocks in Switzerland for 100 CHF => portfolio value is 100* 5 = 500 USD
=>sell for 100 CHF of futures contract (eg. 100 contract of 1 CHF)

At time t:
Portfolio value = 100*10 = 1000 USD
Future value = 100 * (20 - 10) = 1000 USD
Total = 1000 - 1000 = 0 USD

You have right. The basis can't be Ft/St


If the basis were constant:
F0 = 10, S0 = 5, Ft = 20, St = 15

At time t:
Portfolio value = 100*15 = 1500 USD
Future value = 100 * (20 - 10) = 1000 USD
Total = 1500 - 1000 = 500 USD


To sum up, if perfectly hedged:

V*St - V(Ft-F0) = V * S0
....
Ft-St = F0-S0

The basis should be constant !