Table 2 Hedge effectiveness ratios...

Table 2

Hedge effectiveness ratios

Ticker	EWP	MVP	MCoP_negN	MCoP_negT	MCoP_posN	MCoP_posT	MCoP_allN	MCoP_allT
AAPL	0.6336	0.8098	0.6276	0.6216	0.6444	0.6413	0.6378	0.6384
AMGN	0.4768	0.7283	0.4681	0.4597	0.4922	0.4878	0.4828	0.4836
AXP	0.6819	0.8349	0.6767	0.6716	0.6913	0.6887	0.6856	0.6861
BA	0.8162	0.9046	0.8132	0.8103	0.8217	0.8201	0.8184	0.8186
CAT	0.6488	0.8177	0.6430	0.6373	0.6592	0.6562	0.6529	0.6534
CRM	0.7392	0.8646	0.7349	0.7307	0.7469	0.7448	0.7423	0.7427
CVX	0.6689	0.8281	0.6635	0.6581	0.6787	0.6759	0.6728	0.6733
GS	0.6308	0.8083	0.6248	0.6188	0.6417	0.6387	0.6351	0.6357
HD	0.4961	0.7384	0.4878	0.4797	0.5110	0.5068	0.5020	0.5027
HON	0.4458	0.7123	0.4367	0.4277	0.4621	0.4575	0.4522	0.4530
IBM	0.4629	0.7211	0.4540	0.4454	0.4787	0.4742	0.4691	0.4699
JNJ	0.0598	0.5118	0.0443	0.0292	0.0875	0.0797	0.0707	0.0721
JPM	0.5997	0.7922	0.5931	0.5867	0.6115	0.6082	0.6043	0.6050
MCD	0.2752	0.6237	0.2633	0.2516	0.2966	0.2906	0.2836	0.2847
MMM	0.4229	0.7003	0.4133	0.4040	0.4399	0.4351	0.4295	0.4304
MRK	0.3276	0.6509	0.3165	0.3057	0.3474	0.3418	0.3354	0.3364
MSFT	0.5910	0.7877	0.5843	0.5777	0.6031	0.5997	0.5958	0.5964
NKE	0.6249	0.8053	0.6188	0.6127	0.6360	0.6329	0.6293	0.6298
PG	0.1102	0.5380	0.0955	0.0812	0.1364	0.1290	0.1205	0.1218
TRV	0.4788	0.7294	0.4702	0.4618	0.4942	0.4899	0.4849	0.4857
UNH	0.5383	0.7603	0.5307	0.5233	0.5519	0.5481	0.5437	0.5444
V	0.5115	0.7464	0.5035	0.4956	0.5259	0.5218	0.5172	0.5179
WMT	0.3215	0.6477	0.3103	0.2993	0.3415	0.3358	0.3293	0.3303
Mean	0.5027	0.7418	0.4945	0.4865	0.5174	0.5132	0.5085	0.5092

Ticker	EWP	MVP	MCoP_negN	MCoP_negT	MCoP_posN	MCoP_posT	MCoP_allN	MCoP_allT
AAPL	0.6336	0.8098	0.6276	0.6216	0.6444	0.6413	0.6378	0.6384
AMGN	0.4768	0.7283	0.4681	0.4597	0.4922	0.4878	0.4828	0.4836
AXP	0.6819	0.8349	0.6767	0.6716	0.6913	0.6887	0.6856	0.6861
BA	0.8162	0.9046	0.8132	0.8103	0.8217	0.8201	0.8184	0.8186
CAT	0.6488	0.8177	0.6430	0.6373	0.6592	0.6562	0.6529	0.6534
CRM	0.7392	0.8646	0.7349	0.7307	0.7469	0.7448	0.7423	0.7427
CVX	0.6689	0.8281	0.6635	0.6581	0.6787	0.6759	0.6728	0.6733
GS	0.6308	0.8083	0.6248	0.6188	0.6417	0.6387	0.6351	0.6357
HD	0.4961	0.7384	0.4878	0.4797	0.5110	0.5068	0.5020	0.5027
HON	0.4458	0.7123	0.4367	0.4277	0.4621	0.4575	0.4522	0.4530
IBM	0.4629	0.7211	0.4540	0.4454	0.4787	0.4742	0.4691	0.4699
JNJ	0.0598	0.5118	0.0443	0.0292	0.0875	0.0797	0.0707	0.0721
JPM	0.5997	0.7922	0.5931	0.5867	0.6115	0.6082	0.6043	0.6050
MCD	0.2752	0.6237	0.2633	0.2516	0.2966	0.2906	0.2836	0.2847
MMM	0.4229	0.7003	0.4133	0.4040	0.4399	0.4351	0.4295	0.4304
MRK	0.3276	0.6509	0.3165	0.3057	0.3474	0.3418	0.3354	0.3364
MSFT	0.5910	0.7877	0.5843	0.5777	0.6031	0.5997	0.5958	0.5964
NKE	0.6249	0.8053	0.6188	0.6127	0.6360	0.6329	0.6293	0.6298
PG	0.1102	0.5380	0.0955	0.0812	0.1364	0.1290	0.1205	0.1218
TRV	0.4788	0.7294	0.4702	0.4618	0.4942	0.4899	0.4849	0.4857
UNH	0.5383	0.7603	0.5307	0.5233	0.5519	0.5481	0.5437	0.5444
V	0.5115	0.7464	0.5035	0.4956	0.5259	0.5218	0.5172	0.5179
WMT	0.3215	0.6477	0.3103	0.2993	0.3415	0.3358	0.3293	0.3303
Mean	0.5027	0.7418	0.4945	0.4865	0.5174	0.5132	0.5085	0.5092

Source(s): Authors’ own work

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