Hedging with stock index futures applied to the management of stock portfolio two decades ago. However, the methods and explanations of hedging strategies are quite divergent in academic literature. The paper is to build a coherent framework for learning hedging strategies. We hope, in addition to knowing the formula of hedge ratio, students and practitioners can also realize the meanings of hedging methods.With the help of the knowledge of ”portfolio theory” and ”market model”, the paper provides a new approach of stock index futures hedging. The approach can directly derive the formulas of ”hedge ratio” and ”optimum number of contract”. It can also clearly explain the differences of various hedging strategies.