Reevaluating hedging performance
John Cotter () and
Jim Hanly ()
Journal of Futures Markets, 2006, vol. 26, issue 7, 677-702
Mixed results have been documented for the performance of hedging strategies with the use of futures. This article reinvestigates this issue with the use of an extensive set of performance‐evaluation metrics across seven international markets. The hedging performances of short and long hedgers are compared with the use of traditional variance‐based approaches together with modern risk‐management techniques, including value at risk, conditional value at risk, and approaches based on downside risk. The findings indicate that use of these metrics to evaluate hedging performance yields differences in terms of best hedging strategy as compared with the traditional variance measure. Also, significant differences in performance between short and long hedgers are found. These results are observed both in sample and out of sample. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:677–702, 2006
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Working Paper: Re-evaluating Hedging Performance (2011)
Working Paper: Re-evaluating Hedging Performance (2005)
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