Minimum variance hedge ratio
| Year | ρ | σ Δ S | σ Δ F | σ Δ S/σ Δ F | Hedge ratio |
|---|---|---|---|---|---|
| 2013–2014 | −0.05 | 5.38 | 4.97 | 1.08 | −0.05 |
| 2014–2015 | −0.03 | 4.49 | 4.47 | 1.00 | −0.03 |
| 2015–2016 | 0.29 | 4.87 | 4.41 | 1.10 | 0.32 |
| 2016–2017 | 0.78 | 6.07 | 4.47 | 1.36 | 1.06 |
| 2017–2018 | 0.92 | 4.76 | 4.56 | 1.04 | 0.96 |
| 2018–2019 | 0.87 | 5.3 | 5.14 | 1.03 | 0.90 |
| 2019–2020 | 0.44 | 5.3 | 4.39 | 1.20 | 0.53 |
| 2013–2020 | 0.45 | 5.27 | 4.37 | 1.21 | 0.54 |
| Year | σ Δ S | σ Δ F | σ Δ S/σ Δ F | Hedge ratio | |
|---|---|---|---|---|---|
| 2013–2014 | −0.05 | 5.38 | 4.97 | 1.08 | −0.05 |
| 2014–2015 | −0.03 | 4.49 | 4.47 | 1.00 | −0.03 |
| 2015–2016 | 0.29 | 4.87 | 4.41 | 1.10 | 0.32 |
| 2016–2017 | 0.78 | 6.07 | 4.47 | 1.36 | 1.06 |
| 2017–2018 | 0.92 | 4.76 | 4.56 | 1.04 | 0.96 |
| 2018–2019 | 0.87 | 5.3 | 5.14 | 1.03 | 0.90 |
| 2019–2020 | 0.44 | 5.3 | 4.39 | 1.20 | 0.53 |
| 2013–2020 | 0.45 | 5.27 | 4.37 | 1.21 | 0.54 |
Note(s): *Indicates that the null hypothesis is rejected at a 1 per cent statistical level
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