股指期货在基金投资策略与产品设计中运用.pdfVIP

Center for International Securities and Derivatives Markets Hedging Mutual Fund Returns Using Futures Markets and ETFs May 2003 Dulari Pancholi, Research Associate Thomas Kunkel, Research Associate Isenberg School of Management, University of Massachusetts, Amherst, Massachusetts 01003. Tel: 413-253-4601 413-545-5641; Fax: 413-253-4613 413-545-3858; Email: cisdm@. WEB: Center for International Securities and Derivatives Markets Abstract The purpose of this study is to examine the effectiveness of hedging mutual fund returns using Index Futures Contracts and ETFs. We used historical daily Lipper Large Value Growth mutual fund index returns to represent a mutual fund portfolio. The mutual fund returns are hedged using index futures as well as exchange traded funds contracts on the SP500, the NASDAQ, the Dow Jones, the Russell 1000 and the Russell 2000. To obtain the Optimal Hedge Ratios (OHR), we regressed a two-month period of the Lipper Index returns with the returns of above contracts. The OHR so obtained were used to create an ex-ante hedged Lipper portfolio for the following month. The standard deviation of hedged returns and unhedged returns were computed and the hedging effectiveness was calculated using the formula: 2 σ Hedged Returns HE 1− 2 σ Unhedged Returns Results show that SP500, the NASDAQ, the Russell 1000 Growth as well as the Russell 2000 Growth futures and ETFs