Dynamic Conditional Bias-Adjusted Carry Cost Rate Futures Hedge Ratios

This paper proposes new dynamic conditional futures hedge ratios and compares their hedging performances along with those of common benchmark across three broad asset classes. Three the are based on upward-biased carry cost rate ratio, where each is augmented in a different bias-mitigating way. The ratio correlation between spot price changes generally: (1) provides highest effectiveness (2) has statistically significantly higher than other assets, sub-periods, rolling window sizes.