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Financial Innovation

Table 5 Optimal portfolio weights and hedge ratios

From: COVID-19 pandemic and the crude oil market risk: hedging options with non-energy financial innovations

 

Full sample

Before COVID-19

During COVID-19

OPW

OHR

OPW

OHR

OPW

OHR

Consumer discretionary

0.7613

 − 0.0063

0.8546

0.0890

0.8113

0.1816

Consumer staples

0.8411

 − 0.0302

0.8855

0.0561

0.9162

0.1310

Financials

0.8334

0.0410

0.8537

0.0924

0.8187

0.1484

Health

0.8822

0.0233

0.8867

0.0559

0.8671

0.1378

Industrials

0.8553

0.0092

0.8185

0.1149

0.7214

0.2438

Materials

0.7869

0.0794

0.8027

0.1510

0.7405

0.2184

Real estate

0.8309

0.0086

0.6522

0.0940

0.5427

0.3126

Technology

0.8935

0.0257

0.8274

0.0983

0.7310

0.0937

Telecom

0.9034

0.0221

0.7435

0.0966

0.8039

0.1023

Utilities

0.8505

0.0291

0.8144

0.0595

0.7571

0.1015

  1. The table reports average optimal portfolio weights (OPW) and optimal hedge ratios (OHR) for non-energy ETFs in an oil investment portfolio
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