Lecture-3Minimum-Variance-Futures-Hedging(衍生金融工具-人民银行研究院-何佳).pptVIP

Lecture#3:Minimum-VarianceFuturesHedging

I.????????????BasisRisk·????????Basis=Spotprice-futuresprice·????????Basisrisk:ifthebasisisnotequaltozeroatthetimeofclosingoutthefuturesposition.·????????Shorthedgeacashposition:Theinitialcost(time0):S0Theoutcome(timet):St-(ft-f0)=f0+(St-ft)

II.????????????Basisrisk(St-Ft)arisesfrom:·????????Theassetbeinghedgedisnotthesameastheassetunderlyingthefutures.·????????Theexactdateoftransactionfortheunderlyingpositionisnotknownforcertain.·????????Thematurityofthefuturescannotmatchthedesiredhorizonsothatthefuturespositionneedstobeclosedoutbeforeitsmaturity

·????????Examples:HISfutures(May1,1998)ContractmonthPriceBasisSpot10,563.68May9810,460103.68June9810,48083.68Sept10,610-46.32Dec10,720-156.32

III.????????????????Minimum-variancehedgeratio·????????StatichedgeNatureposition:buyNaunitesofassetattFuturesposition:shortfuturesattime0forNfunitsofthesameassetHedgeratio:h=Nf/NaPayoffofthestatichedgeposition:Yt=StNa-(ft-f0)Nf=S0Na+(St-S0)Na-(ft-f0)Nf=S0Na+?StNa-?ftNf=S0Na+Na(?St-h?ft)

e.Volatilityofthehedgeposition:Var(Yt)=Na2Var(?St-h?ft)=Na2(?S2+h2?f2-2h??S?f)F.O.C.=h*=??S/?ff.Hedgingeffectiveness[Var(NaSt)-Var(Yt)]/Var(NaSt)=?2

·????????ConsiderationsforimplementationHedgehorizonanddatafrequencyChoiceofthetypeofcontractandthecontractmonthRollinghedgeExample:

Month?f?S1234567891011121314150.0210.035-0.0460.0010.044-0.029-0.026-0.0290.048-0.006-0.036-0.0110.019-0.0270.0290.0290.020-0.0440.0080.026-0.019-0.010-0.0070.0430.011-0.036-0.0180.009-0.0320.023Mean-0.0130.0138S.D.0.003130.00262Corr0.928

h*=0.928*0.00262/0.00313=0.786IfNa=50,000unitsandthefuturescontractsizeis1,000units,Nf*=h*Na=0.786*50,000=39,300Thisisapproximately39contracts.

IV.????????????Hedg