We study the empirical performance of the classical minimum-variance hedging strategy, comparing several econometric …-variance hedging models, especially those based on GARCH, generate much greater margin and transaction costs than the naïve hedge …. Therefore we encourage hedgers to use a naïve hedging strategy on the crack spread bundles now offered by the exchange; this …

This paper presents an empirical study of hedging the four largest US index exchange traded funds (ETFs). When hedging … hedging is less effective around the time of dividend payments, and that hedged portfolio returns tend to have very large … index futures. In these situations minimum variance hedging is clearly preferable to naïve hedging, although it seems to …

Black-Scholes model in the presence of a market skew and this explains the poor delta hedging performance of these models … volatility framework allows one to extend a good pricing model into a good hedging model. The theoretical results are supported … by an empirical analysis of the hedging performance of seven models, each with different volatility characteristics, on …

This paper investigates the optimal short-term hedging of Exchange Traded Fund (ETF) portfolios with index futures … variance reduction and for investors with exponential utility. Our findings relate to daily hedging based on OLS regression …, either for individual ETFs or for portfolios of ETFs. Where minimum variance hedge ratios are useful is for the cross-hedging …