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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