How Do Managers Hedge Against Oil ETFs in the COVID-19 Pandemic?
These authors contributed equally.
- 10.2991/assehr.k.211209.385How to use a DOI?
- COVID-19; crude oil; currency; gold; hedge
During the COVID-19 pandemic, the oil price fluctuated significantly due to dramatic changes in oil supply and oil demand, which leads to high volatility in oil-related assets and induces an urgent need to alleviate risks. We use a market neutral strategy to assess the results of hedging against oil ETFs. By selecting several representative ETFs among currency ETFs and gold ETFs, we made trades with an oil ETF based on historical data, respectively. The results indicate that as signalled by positive return, hedging by selected ETFs indeed helps portfolio managers in managing risks of oil-related assets during the pandemic and using an Australian currency-related ETF to hedge against a crude oil ETF has the best performance, as indicated by the highest return, compared with other hedge tools in this paper. Meanwhile, the results provide portfolio managers with some thoughts on the selection or priority of hedging tools, that is, putting currencies-related ETFs in the first place and then commodities-related ETFs.
- © 2021 The Authors. Published by Atlantis Press International B.V.
- Open Access
- This is an open access article under the CC BY-NC license.
Cite this article
TY - CONF AU - Yuhan Gao AU - Yi Wang AU - Yongxi Wang PY - 2021 DA - 2021/12/15 TI - How Do Managers Hedge Against Oil ETFs in the COVID-19 Pandemic? BT - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021) PB - Atlantis Press SP - 2355 EP - 2360 SN - 2352-5428 UR - https://doi.org/10.2991/assehr.k.211209.385 DO - 10.2991/assehr.k.211209.385 ID - Gao2021 ER -