基于修正绩效的套期保值策略选择研究

A Research on Selection of Hedging Strategy Based on the Adjusted Performance

评价套期保值绩效时,通常使用方差减小率并得出动态套保策略优于静态套保策略的结论,但方差减小率存在着忽视交易成本的不足。基于实际情况,提出了考虑交易成本的修正套保绩效作为套保策略的评价指标。实证分析表明,只有在交易成本较低时动态套保策略才更优,而交易成本较高时静态套保策略往往更优。因此,投资者应根据自己的实际成本情况,通过比较修正套保绩效来选择套保策略,而不是一味地选择动态套保策略。

Variance reduction rate is often used to evaluate hedging performance,drawing a conclusion that dynamic hedging strategy is better.But variance reduction rate ignores the deficiency of transaction cost.Based on the actual situation,this paper presents the adjusted performance concerning the transaction cost as the evaluation index.The empirical analysis shows that the dynamic hedging strategy is better only when the transaction cost is low,while static hedging is more suitable to high transaction cost.Therefore,investors should select hedging strategy based on their own cost instead of blindly choosing dynamic hedging strategy.