论掉期有效性衡量指标的运用

On the Application of Hedging Effectiveness Index

经济学家爱德林顿1979年提出了一个期货掉期交易的有效性衡量指标。从那以后,这项指标在理论界被广泛用做比较衡量指标,即将不同的掉期比率和普通最小平方掉期比率进行对比。本文试图阐明这种对比的方法是不恰当的。爱德林顿的掉期有效性仅适用于衡量普通最小平方掉期比率算出的风险降低,不适用于其他的掉期比率。因此也不能做为一个标准尺度来衡量不同的掉期战略与普通最小平方法掉期战略之间的优劣。片面地强调这一法则的运用是不妥的。

Edering (1979)proposed an effectiveness measure for futures hedging. Since then, this measure has been widely adopted in the literature to compare diferent hedge ratios against the OLS (ordinary least squares) hedge ratio. This note attempts to demonstrate this application is inappropriate. Ederington hedging effectiveness is only useful for measuring the risk reduction effect of the OLS hedge ratio. It does not apply to other hedge ratios and therefore should not serve as a criterion to compare different hedge strategies against the OLS strategy. A strict application of this measure almost always leads to an incorrect conclusion stating that the OLS hedge ratio is the best hedging strategy.