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Mutual Fund Portfolio Hedging Using Index Futures: An Empirical Analysis

Author

Listed:
  • Vishwas B.

    (Sri Sathya Sai Institute of Higher Learning, India)

  • N. Sivakumar

    (Sri Sathya Sai Institute of Higher Learning, India)

Abstract

The objective of the paper is to study the effectiveness of using index futures in hedging the returns of mutual fund portfolios. Using index futures of the National Stock Exchange of India, the study has attempted to hedge the returns of a professionally managed mutual fund portfolio for a period of over 10 years. The results of the study show that, while hedging using index futures does significantly reduce variance of returns, it does not significantly increase risk adjusted returns.

Suggested Citation

  • Vishwas B. & N. Sivakumar, 2016. "Mutual Fund Portfolio Hedging Using Index Futures: An Empirical Analysis," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 5(3), pages 203-210, August.
    • Handle: RePEc:ods:journl:v:5:y:2016:i:3:p:203-210
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    References listed on IDEAS

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    Cited by:

    1. Bahodirzhan Bayhonov, 2017. "Economic Mathematic-Statistical Modelling of Investments Distribution in Uzbekistan," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 6(4), pages 217-222, November.
    2. Andrea Krýslová, 2018. "Development of Changes in Corporate Governance Considering Its Non-Financial Factors through the Companies´ and Investors´ Lens," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 7(4), pages 225-235, November.

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