Re-evaluating Hedging Performance
John Cotter () and
Jim Hanly ()
No 200518, Working Papers from Geary Institute, University College Dublin
Mixed 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.
Keywords: Hedging Performance; Lower Partial Moments; Downside Risk; Variance; Semi- Variance; Value at Risk, Conditional Value at Risk (search for similar items in EconPapers)
JEL-codes: G10 G12 G15 (search for similar items in EconPapers)
Pages: 34 pages
New Economics Papers: this item is included in nep-rmg
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Journal Article: Reevaluating hedging performance (2006)
Working Paper: Re-evaluating Hedging Performance (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:ucd:wpaper:2005/18
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