13 апр. 2024 г. · The beta or "hedge ratio" you describe would be a way to "equalize" the returns of both assets.

9 июл. 2022 г. · The hedge ratio will reflect not only the relative movement of the assets but also account for any persistent price level difference between ...

13 мар. 2022 г. · If the window is small enough every spread looks stationary. What you need is that the spread is steady enough.

28 февр. 2022 г. · Some sources (like this) run the linear regression (to find hedge ratio) on the log prices of the two assets. Other sources (like this) run ...

19 апр. 2023 г. · The main purpose of this calculation is to find out what h should be, and the conclusion will be that h should be set equal to b, the linear regression ...

25 февр. 2018 г. · To find the hedge ratio you can run the Johansen Cointegration test and the eigen-vector corresponding to the largest eigenvalue would give you the hedge ratio.

19 апр. 2020 г. · 1) To hedge a portfolio of bonds against one factor, I can multiply the dollar durations of each bond in the (long-only) portfolio by its ...

1 дек. 2023 г. · The DV01 of a bond is computed mathematically using the dirty price of the bond * modified duration of the bond / 10000.

25 февр. 2018 г. · Multiple sources say that you should find the optimal hedging ratio between two stocks in a pairs trade by conducting 2 linear regressions.

The formula for minimum variance hedge ratio (MVHR) is conceptually the correlation multiplied by the ratios of volatilities. correl (Y,X) * (STDEV Y / STDEV X) ...