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Table 5 Portfolio Performance

From: Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities

  Put Replication Gold - Hedged Oil - Hedged Uninsured
Crisis
Indonesia:
 HE 0.653 0.586 0.374 0.000
 SR 0.078 0.070 −0.089 −0.079
 Drawdown −0.134 −0.169 −0.341 −0.379
 Omega 1.081 0.976 0.891 1.065
Malaysia:
 HE 0.999 0.379 −0.091 0.000
 SR 0.017 0.057 −0.093 −0.068
 Drawdown −0.091 −0.063 − 0.272 −0.240
 Omega 1.197 1.110 0.764 0.800
Philippines:
 HE 1.000 0.596 0.369 0.000
 SR −0.011 0.013 −0.084 −0.103
 Drawdown −0.105 −0.116 − 0.283 −0.440
 Omega 0.991 0.964 0.775 0.753
Thailand
 HE 1.000 0.581 0.218 0.000
 SR 0.042 0.001 −0.116 −0.091
 Drawdown −0.057 − 0.143 −0.377 − 0.382
 Omega 1.124 0.996 0.714 0.816
Singapore:
 HE 1.000 0.616 0.285 0.000
 SR −0.019 −0.011 −0.123 − 0.115
 Drawdown −0.066 − 0.189 −0.386 − 0.570
 Omega 0.945 0.921 0.688 0.691
Post-crisis
Indonesia:
 HE 0.862 0.434 0.151 0.000
 SR 0.210 0.251 0.245 0.212
 Drawdown −0.096 −0.085 −0.106 −0.051
 Omega 1.788 1.883 1.810 1.947
Malaysia:
 HE 0.939 0.099 −1.369 0.000
 SR 0.215 0.252 0.301 0.205
 Drawdown −0.046 −0.052 −0.091 −0.056
 Omega 1.714 1.896 1.759 1.761
Philippines:
 HE 0.384 0.481 −0.021 0.000
 SR 0.199 0.245 0.225 0.194
 Drawdown −0.061 −0.083 − 0.110 −0.057
 Omega 1.696 1.854 1.716 1.789
Thailand:
 HE 0.941 0.400 −0.030 0.000
 SR 0.202 0.222 0.214 0.196
 Drawdown −0.062 −0.080 − 0.063 −0.068
 Omega 1.714 1.769 1.681 1.816
Singapore:
 HE 0.992 0.481 0.020 0.000
 SR 0.104 0.260 0.167 0.188
 Drawdown −0.109 −0.078 −0.101 −0.184
 Omega 1.362 1.533 1.497 1.384
Normal
Indonesia:
 HE 0.370 0.500 −0.184 0.000
 SR 0.040 0.034 −0.012 0.068
 Drawdown −0.076 −0.133 − 0.433 −0.074
 Omega 1.216 1.059 0.943 1.232
Malaysia:
 HE 0.954 −0.047 −1.800 0.000
 SR 0.017 −0.003 −0.034 0.019
 Drawdown −0.041 −0.131 − 0.438 −0.046
 Omega 1.043 0.975 0.897 1.077
Philippines:
 HE 0.979 0.455 −0.188 0.000
 SR 0.067 0.037 −0.008 0.077
 Drawdown −0.050 −0.064 − 0.378 −0.048
 Omega 1.192 1.057 0.946 1.256
Thailand:
 HE 0.992 0.420 −0.409 0.000
 SR 0.042 0.035 −0.011 0.063
 Drawdown −0.067 −0.060 − 0.410 −0.055
 Omega 1.200 1.063 0.946 1.226
Singapore:
 HE 0.997 0.322 −0.782 0.000
 SR 0.022 0.004 −0.032 0.024
 Drawdown −0.036 −0.186 − 0.486 −0.042
 Omega 1.065 0.976 0.891 1.081
Full Sample
Indonesia:
 HE 0.517 0.507 0.113 0.000
 SR 0.109 0.118 0.048 0.067
 Drawdown −0.102 −0.129 −0.293 −0.168
 Omega 1.429 1.302 1.169 1.350
Malaysia:
 HE 0.964 0.144 −1.087 0.000
 SR 0.083 0.102 0.058 0.052
 Drawdown −0.059 −0.082 −0.267 −0.114
 Omega 1.318 1.327 1.140 1.213
Philippines:
 HE 0.599 0.511 0.054 0.000
 SR 0.085 0.099 0.044 0.056
 Drawdown −0.072 −0.087 −0.257 −0.182
 Omega 1.293 1.291 1.146 1.266
Thailand:
 HE 0.978 0.467 −0.074 0.000
 SR 0.086 0.096 0.029 0.056
 Drawdown −0.062 −0.094 − 0.283 −0.168
 Omega 1.346 1.276 1.114 1.286
Singapore:
 HE 0.996 0.473 −0.159 0.000
 SR 0.036 0.084 0.004 0.033
 Drawdown −0.070 −0.151 − 0.324 −0.265
 Omega 1.124 1.188 1.111 1.240
  1. Notes: This table shows the hedge effectiveness (HE), Sharpe ratio (SR), drawdown, and Omega ratio results
  2. The bolded numbers represent the best performances