Re-evaluating Hedging Performance
AbstractMixed results have been documented for the performance of hedging strategies using futures. This paper reinvestigates this issue using an extensive set of performance evaluation metrics across seven international markets. We compare the hedging performance of short and long hedgers using traditional variance based approaches together with modern risk management techniques including Value at Risk, Conditional Value at Risk and approaches based on Downside Risk. Our findings indicate that using these metrics to evaluate hedging performance, yields differences in terms of best hedging strategy as compared with the traditional variance measure. We also find significant differences in performance between short and long hedgers. These results are observed both in-sample and out-of-sample.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 3523.
Date of creation: 2005
Date of revision:
Other versions of this item:
- John Cotter & Jim Hanly, 2011. "Re-evaluating Hedging Performance," Working Papers, Geary Institute, University College Dublin 200518, Geary Institute, University College Dublin.
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G0 - Financial Economics - - General
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