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- W2398759852 abstract "We address a very topical – and to some extent, intractable – question: When should I hedge? By analysing South African historical market returns, we show that only a handful of extreme returns – which are well characterised by two simple quantitative indicators – can have a significant impact on portfolio performance. Motivated by this finding, we introduce a range of quantitative indicators grouped into separate return, risk and regime categories. We first outline a systematic process for creating a timed hedging strategy and then backtest how effective each of the proposed indicators are as hedge timing signals under real world market conditions. A total of 36 hedge timing indicators are tested using five common hedging structures. Detailed results and discussion are provided for each hedging structure. In general, the long-term timed hedge backtests show very promising results, producing timed hedged portfolios with returns as good or better than the index but with significantly lower volatility and tail risk." @default.
- W2398759852 created "2016-06-24" @default.
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- W2398759852 date "2014-01-01" @default.
- W2398759852 modified "2023-10-16" @default.
- W2398759852 title "Adapting to Market Regimes with Timed Hedging" @default.
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- W2398759852 doi "https://doi.org/10.2139/ssrn.2767427" @default.
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