Hedging Performance Research Articles

Hedging the market: the performance of the FTSE 100 Share Index

AbstractIn this paper, we examine the hedging performance of the new FTSE 100 Share Index. First, we reconstruct a back-history of the monthly and daily index values using the London Share Price Database. Then we analyse the statistical characteristics of the Index, comparing it with the FT–Actuaries All Share and FT Ordinary Indexes. Finally, we examine the sources of undiversification within the FTSE Index. We conclude that the market is likely to track the FTSE Index to within a close tolerance, and that the residual tracking error is attributable partly to sector imbalances, but more importantly, to imbalances in exposure to smaller capitalization stocks.

Hedging Performance and Basis Risk in Stock Index Futures

The Journal of FinanceVolume 39, Issue 3 p. 657-669 Session: Futures Market Hedging Performance and Basis Risk in Stock Index Futures STEPHEN FIGLEWSKI, STEPHEN FIGLEWSKINew York University. I would like to thank the Interactive Data Corporation for providing data and computer support for this project and my colleagues in the NYU Finance Department for helpful comments and suggestions. Thanks also to Steven Freund for able research assistance.Search for more papers by this author STEPHEN FIGLEWSKI, STEPHEN FIGLEWSKINew York University. I would like to thank the Interactive Data Corporation for providing data and computer support for this project and my colleagues in the NYU Finance Department for helpful comments and suggestions. Thanks also to Steven Freund for able research assistance.Search for more papers by this author First published: July 1984 https://doi.org/10.1111/j.1540-6261.1984.tb03654.xCitations: 191 Read the full textAboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onFacebookTwitterLinked InRedditWechat Citing Literature Volume39, Issue3July 1984Pages 657-669 RelatedInformation

Gold versus U.S. Common Stocks: Some Evidence on Inflation Hedge Performance and Cyclical Behavior

(1983). Gold versus U.S. Common Stocks: Some Evidence on Inflation Hedge Performance and Cyclical Behavior. Financial Analysts Journal: Vol. 39, No. 1, pp. 66-74.

The impact of interest rate level and volatility on the performance of interest rate hedges

The impact of interest rate level and volatility on the performance of interest rate hedges

Short Hedging and Long Hedging in Futures Markets: Symmetry and Asymmetry

Previous articleNext article No AccessShort Hedging and Long Hedging in Futures Markets: Symmetry and AsymmetryB. S. YameyB. S. Yamey Search for more articles by this author PDFPDF PLUS Add to favoritesDownload CitationTrack CitationsPermissionsReprints Share onFacebookTwitterLinkedInRedditEmail SectionsMoreDetailsFiguresReferencesCited by The Journal of Law and Economics Volume 14, Number 2Oct., 1971 Sponsored by The University of Chicago Booth School of Business and The University of Chicago Law School Article DOIhttps://doi.org/10.1086/466716 Views: 12Total views on this site Citations: 4Citations are reported from Crossref PDF download Crossref reports the following articles citing this article:Riza Demirer, Donald Lien, David R. Shaffer Comparisons of short and long hedge performance: the case of Taiwan, Journal of Multinational Financial Management 15, no.11 (Feb 2005): 51–66.https://doi.org/10.1016/j.mulfin.2003.12.001Donna Brennan, Jeffrey Williams, Brian D. Wright Convenience Yield without the Convenience: A Spatial–Temporal Interpretation of Storage under Backwardation, The Economic Journal 107, no.443443 (Jan 2012): 1009–1022.https://doi.org/10.1111/j.1468-0297.1997.tb00004.xBARRY A. GOSS, S. GULAY AVSAR, SIANG-CHOO CHAN Rational Expectations and Price Determination in the US Oats Market, Economic Record 68 (Dec 1992): 16–26.https://doi.org/10.1111/j.1475-4932.1992.tb02292.xDa-Hsiang Donald Lien Asymmetric arbitrage in futures markets: An empirical study, Journal of Futures Markets 6, no.44 (Jan 1986): 575–591.https://doi.org/10.1002/fut.3990060406