We study the empirical performance of the classical minimum-variance hedging strategy, comparing several econometric … produced by GARCH-based models are excessive. Therefore we encourage hedgers to use a na ¨ive hedging strategy on the crack … majority of the existing literature, which favours the implementation of GARCH-based hedging strategies. …

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 …

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 …