Risk Aversion Factor

Method

EMG Hedge Ratio (%)

Mean Portfolio Return (%)

EMG Coefficient for Hedged Portfolio

Hedging Effectiveness (%)

Average

Kernel

59.26

0.003812

0.0451213

21.66

EDF

58.32

0.003987

0.0444127

21.71

Difference

0.940

−0.000175

0.0007086

−0.05

2

Kernel

56.54

0.004317

0.005860

25.38

EDF

56.44

0.004336

0.005889

25.38

Difference

0.100

−0.000019

−0.000029

0.00

5

Kernel

58.55

0.003944

0.012663

25.70

EDF

58.12

0.004023

0.012734

25.67

Difference

0.430

−0.000079

−0.000071

0.03

10

Kernel

59.40

0.003786

0.018372

25.47

EDF

59.28

0.003809

0.018504

25.41

Difference

0.120

−0.000023

−0.000132

0.06

30

Kernel

60.08

0.003660

0.029495

23.98

EDF

59.81

0.003710

0.029611

24.00

Difference

0.270

−0.000050

−0.000116

−0.02

50

Kernel

60.08

0.003660

0.035649

23.10

EDF

59.55

0.003759

0.035646

23.18

Difference

0.530

−0.000099

0.000003

−0.08

100

Kernel

59.34

0.003796

0.044835

21.92

EDF

58.51

0.003951

0.044486

21.99