Mutual Fund Portfolio Hedging Using Index Futures: An Empirical Analysis
Vishwas B. and
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Vishwas B.: Sri Sathya Sai Institute of Higher Learning, India
N. Sivakumar: Sri Sathya Sai Institute of Higher Learning, India
Journal of Applied Management and Investments, 2016, vol. 5, issue 3, 203-210
The objective of the paper is to study the effectiveness of using index futures in hedging the returns of mutual fund portfolios. Using index futures of the National Stock Exchange of India, the study has attempted to hedge the returns of a professionally managed mutual fund portfolio for a period of over 10 years. The results of the study show that, while hedging using index futures does significantly reduce variance of returns, it does not significantly increase risk adjusted returns.
Keywords: index futures; mutual fund; hedging efficiency; National Stock Exchange (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ods:journl:v:5:y:2016:i:3:p:203-210
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