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Сравнительный Анализ Стратегий Хеджирования Фьючерсами Портфеля Ценных Бумаг // Comparative Analysis Of Strategies For Hedging A Securities Portfolio With Futures

Author

Listed:
  • V. Lakshina V.

    (HSE University)

  • K. Lapshina A.

    (HSE University)

  • В. Лакшина В.

    (НИУ Высшая Школа Экономики)

  • К. Лапшина А.

    (НИУ Высшая Школа Экономики)

Abstract

Hedging is one of the most popular strategies of the market risk management. The main purpose of hedging is to reduce the volatility (or variability) of the yield on the portfolio composed of spot assets and hedging tools. The hedging tools may consist of futures contracts, options and off-exchange tools such as forwards and swaps. Hedging strategies using futures contracts are the most simple ones and therefore very common in practice. The purpose of the study is to compare four hedging strategies where a share is a spot asset and a futures contract is a hedging asset. The results of comparison showed the strategy based on the calculation of the internal rate of return to be the most effective. According to the other two criteria, the above strategy and the least squares method turned out to be the best. A correction for heteroscedasticity made with the use of the maximum likelihood method did not improve the hedging performance of shares. This work can be developed in several directions, namely: consideration of option hedging strategies; adding other spot assets, e.g. exchange commodities or currencies, to the portfolio; taking into account the degree of the investor’s risk aversion in calculating the hedge ratio; introduction of transaction costs into the model. Хеджирование является одной из наиболее популярных стратегий управления рыночным риском. Основная цель хеджирования - снижение волатильности, или изменчивости, доходности портфеля, составленного из спотовых активов и хеджирующих инструментов. В качестве хеджирующих инструментов могут выступать фьючерсные контракты, опционы, а также внебиржевые инструменты, такие как форварды и свопы. Стратегии хеджирования с применением фьючерсов наиболее просты и поэтому весьма распространены на практике. Целью исследования является сравнение четырех стратегий хеджирования, в которых спотовым активом выступает акция, а хеджирующим - фьючерс. По результатам сравнения наиболее эффективной оказалась стратегия, основанная на расчете внутренней нормы доходности. По другим двум критериям лучшими оказались та же стратегия и метод наименьших квадратов. Поправка на гетероскедастичность, осуществленная с помощью метода максимального правдоподобия, не позволила улучшить показатели хеджирования акций. Данная работа может быть продолжена в нескольких направлениях, в том числе рассмотрение стратегий хеджирования опционами; добавление в портфель других спотовых активов, например биржевых товаров, валют; учет степени неприятия риска инвестора при расчете коэффициента хеджирования; введение транзакционных издержек в модель.

Suggested Citation

  • V. Lakshina V. & K. Lapshina A. & В. Лакшина В. & К. Лапшина А., 2016. "Сравнительный Анализ Стратегий Хеджирования Фьючерсами Портфеля Ценных Бумаг // Comparative Analysis Of Strategies For Hedging A Securities Portfolio With Futures," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 20(5), pages 105-114.
  • Handle: RePEc:scn:financ:y:2016:i:5:p:105-114
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