Portfolio Hedging: Risky Assets vs Safe Havens

The current research tries to identify the best markets to use to hedge positions in two of the most important and liquid risk assets in the world. The present analytics focuses on the most traded equity index in the world, E-Mini S&P500 futures, and the most liquid and traded commodity market: Crude Oil futures (for the purpose of this study we will concentrate on WTI crude futures rather than Brent crude futures). E-Mini S&P 500 are particularly popular not only among retail traders but also among large investors such as hedge funds and some asset managers whilst WTI futures tend to be more popular than Brent futures among financials, which is only part of the reason why the volatility for WTI is higher than for Brent futures. This research was published on the Medium platform a few years ago but it is still valid today. Please click here to read the rest of the research.


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