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Table 7 Optimal portfolio weights and hedge ratios using breaks adjusted series

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

0.8523

0.0921

0.8077

0.0946

0.8475

0.1047

Consumer staples

0.8961

0.0560

0.9038

0.0501

0.8990

0.0716

Financials

0.9163

0.1095

0.8628

0.0836

0.8534

0.1136

Health

0.9447

0.1074

0.9026

0.0477

0.8824

0.0715

Industrials

0.8681

0.1759

0.9118

0.0806

0.8059

0.1401

Materials

0.8655

0.1445

0.8479

0.1344

0.7996

0.1771

Real estate

0.7182

0.2311

0.8629

0.0492

0.6494

0.2698

Technology

0.8268

0.0525

0.9241

0.0697

0.6763

0.1507

Telecom

0.8650

0.0576

0.9308

0.0554

0.7845

0.1553

Utilities

0.8473

0.0774

0.8663

0.0478

0.7761

0.1736

  1. The table reports average optimal portfolio weights (OPW) and optimal hedge ratios (OHR) for non-energy ETFs in an oil investment portfolio after adjusting for structural breaks in each of their return series