Сравнительный анализ стратегий хеджирования фьючерсами портфеля ценных бумаг
Hedging is one of the most popular strategies for market risk management. Hedging is aimed at decreasing the volatility, or variability, of portfolio returns. The portfolio usually consists of the spot assets and hedging instruments. The latter can be represented by futures, options and over-the-counter assets such as forwards and swaps. While futures’ hedging is rather simple it’s quite widespread in practice. This paper is aimed at comparison of four hedging strategies, where the spot asset is stock and hedging instrument is futures. For this purpose five Russian stocks from Moscow Exchange are selected and analyzed for the period from the 1st of December 2015 till the 29th of February 2016.
The key element of the hedging strategy is the calculation of the hedging coefficient. The latter shows what part of the stocks’ value in the portfolio should be covered by futures. In this paper the hedging coefficient is computed through internal rate of return, ordinary least squares (OLS) and maximum likelihood. The latter is able to estimate hedging coefficient taking into account heteroskedasticity, because the regression errors follow GARCH model. Further hedging strategies are compared by such criteria as standard deviation of portfolio returns, portfolio Value-at-Risk and hedging efficiency.
According to the results the most efficient strategy is one based on internal rate of returns. The other criteria show that the same strategy together with OLS demonstrates better results. Correction for heteroskedasticity made through maximum likelihood did not allow improving hedging efficiency.
The research can be extended in the several directions, namely considering options’ hedging; adding to the portfolio other spot assets, for example, commodities and currencies; taking into account investors’ risk aversion in the calculations of hedging coefficients; introducing transaction costs in the model.