Table 7 MVP allocations for the US sectoral returns and different asset classes
From: Interlinkages across US sectoral returns: time-varying interconnectedness and hedging effectiveness
| Â | Mean | Standard deviation | Hedging effectiveness | p-value |
|---|---|---|---|---|
IND | 0.00041 | 0.0007 | 0.47 | 0.00 |
UTI | 0.00010 | 0.0003 | 0.41 | 0.00 |
EN | 0.00010 | 0.0002 | 0.75 | 0.00 |
MAT | 0.00030 | 0.0006 | 0.42 | 0.00 |
CS | 0.00047 | 0.0006 | 0.32 | 0.00 |
HC | 0.00058 | 0.0006 | 0.18 | 0.00 |
FIN | 0.00098 | 0.0008 | 0.63 | 0.00 |
IT | 0.00005 | 0.0002 | 0.65 | 0.00 |
RE | 0.00014 | 0.0003 | 0.55 | 0.00 |
WTI | 0.02385 | 0.0228 | 0.62 | 0.00 |
GOLD | 0.16535 | 0.0656 | 0.83 | 0.00 |
BTC | 0.00563 | 0.0081 | 0.57 | 0.00 |
GB | 0.80222 | 0.0777 | − 0.77 | 0.00 |
| Â | Mean | Standard deviation | Hedging effectiveness | p-value |
|---|---|---|---|---|
IND | 0.00029 | 0.00049 | 0.43 | 0.00 |
UTI | 0.00011 | 0.00024 | 0.45 | 0.00 |
EN | 0.00006 | 0.00012 | 0.77 | 0.00 |
MAT | 0.00021 | 0.00044 | 0.45 | 0.00 |
CS | 0.00037 | 0.00049 | − 0.03 | 0.69 |
HC | 0.00026 | 0.00033 | 0.14 | 0.03 |
FIN | 0.00065 | 0.00071 | 0.59 | 0.00 |
IT | 0.00009 | 0.00026 | 0.58 | 0.00 |
RE | 0.00011 | 0.00022 | 0.46 | 0.00 |
WTI | 0.01808 | 0.02374 | 0.55 | 0.00 |
GOLD | 0.10930 | 0.05505 | 0.62 | 0.00 |
BTC | 0.00513 | 0.00651 | 0.83 | 0.00 |
GB | 0.86534 | 0.05904 | 0.57 | 0.00 |
| Â | Mean | Standard deviation | Hedging effectiveness | p-value |
|---|---|---|---|---|
IND | 0.00 | 0.00 | 1.00 | 0.00 |
UTI | 0.00 | 0.00 | 1.00 | 0.00 |
EN | 0.00 | 0.00 | 1.00 | 0.00 |
MAT | 0.00 | 0.00 | 1.00 | 0.00 |
CS | 0.00 | 0.00 | 1.00 | 0.00 |
HC | 0.00 | 0.00 | 1.00 | 0.00 |
FIN | 0.00 | 0.00 | 1.00 | 0.00 |
IT | 0.00 | 0.00 | 1.00 | 0.00 |
RE | 0.00 | 0.00 | 1.00 | 0.00 |
WTI | 0.02 | 0.02 | 0.96 | 0.00 |
GOLD | 0.07 | 0.09 | 0.49 | 0.00 |
BTC | 0.01 | 0.01 | 0.97 | 0.00 |
GB | 0.90 | 0.11 |  − 3.29 | 0.00 |