Hedging index exchange traded funds

Alexander, C and Barbosa, A (2008) Hedging index exchange traded funds. Journal of Banking and Finance, 32 (2). pp. 326-337. ISSN 0378-4266

Full text not available from this repository.

Abstract

This paper presents an empirical comparison of the out of sample hedging performance from naïve and minimum variance hedge ratios for the four largest US index exchange traded funds (ETFs). Efficient hedging is important to offset long and short positions on market maker’s accounts, particularly imbalances in net creation or redemption demands around the time of dividend payments. Our evaluation of out of sample hedging performance includes aversion to negative skewness and excess kurtosis. The results should be of interest to hedge funds employing tax arbitrage or leveraged long–short equity strategies as well as to ETF market makers.

Item Type: Article
Keywords: Exchange traded fund; Minimum variance hedge ratio; Exponential utility; Adjusted Sharpe ratio
Schools and Departments: School of Business, Management and Economics > Business and Management
Subjects: H Social Sciences > HG Finance
Related URLs:
Depositing User: Carol Alexander
Date Deposited: 11 Sep 2012 11:26
Last Modified: 11 Sep 2012 11:26
URI: http://sro.sussex.ac.uk/id/eprint/40597
📧 Request an update