Value of hedge and expected returns

doi:10.1080/00036846.2016.1139675

CORC > 上海财经大学 > 上海财经大学

	Value of hedge and expected returns
	Ma, Jinpeng 1; Tang, Max 2; Wang, Yuming 3
刊名	APPLIED ECONOMICS
	2016-08
卷号	48 期号:36 页码:3373-3398
关键词	Hedge strategies index portfolios business cycle P-Sharpe ratios the Sharpe ratio efficient frontier equal and value-weighted S&P 500 indices
ISSN号	0003-6846
DOI	10.1080/00036846.2016.1139675
英文摘要	We demonstrate how it is possible to generate value for an investor with a hedge attached to the buy-and-hold strategy of an S&P 500 index fund. We study the S&P 500 index portfolio (not including dividends) and the value-weighted S&P 500 index portfolio (including dividends) of the Center for Research in Securities Prices for 1967:01-2011:12, using the capacity utilization and the unemployment rates in real time to determine if a hedge position should be initiated or closed. A hedge is initiated if the capacity utilization, the unemployment rate or a combination of the two signals a contraction in the real economy. The hedge position is closed if it signals otherwise an expansion. We use utility gains (Campbell and Thompson 2008), the manipulation-proof performance measure (MPPM) statistics (Ingersoll et al. 2007) and the P-Sharpe ratio (Bailey and Lopez de Prado 2012) to evaluate the performance of a particular hedge strategy. The empirical results show that there are infinitely many hedges that can generate positive utility gains, higher MPPM statistics and higher P-Sharpe ratios.
WOS研究方向	Business & Economics
语种	英语
出版者	ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
WOS记录号	WOS:000375932800001
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/2830]
专题	上海财经大学
通讯作者	Ma, Jinpeng
作者单位	1.Rutgers State Univ, Dept Econ, Camden, NJ 08102 USA; 2.DHCS, Sacramento, CA USA; 3.Shanghai Univ Finance & Econ, Sch Finance, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Ma, Jinpeng,Tang, Max,Wang, Yuming. Value of hedge and expected returns[J]. APPLIED ECONOMICS,2016,48(36):3373-3398.
APA	Ma, Jinpeng,Tang, Max,&Wang, Yuming.(2016).Value of hedge and expected returns.APPLIED ECONOMICS,48(36),3373-3398.
MLA	Ma, Jinpeng,et al."Value of hedge and expected returns".APPLIED ECONOMICS 48.36(2016):3373-3398.