We explore futures hedging based on the global minimum variance strategy. As evidenced by using eleven of the world’s major stock market indexes and their corresponding futures contracts, the results show that the global minimum variance hedge may deviate statistically from the Ederington (J Finance 43(1):157–170, 1979) minimum variance hedge. We also present a regression approach to testing the hedge ratios and futures positions when the noise terms follow a normal distribution. In the illustration examined, we show that the global minimum variance hedge provides a more economically significant information ratio yield than that under the minimum variance hedge.

中文翻译：

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全球最小方差对冲

我们探索基于全球最小方差策略的期货对冲。正如使用世界上11个主要股​​票市场指数及其相应的期货合约所证明的那样，结果表明，全球最小方差套期保值可能在统计上偏离Ederington（J Finance 43（1）：157-170，1979）最小方差套期保值。当噪声项服从正态分布时，我们还提出了一种回归方法来测试对冲比率和期货头寸。在所检查的图示中，我们表明，与最小方差套期保值相比，全局最小方差套期保值提供了更具经济意义的信息比率收益。