| Abstract: | The primary purpose of this study is to measure the hedging performance of Treasury Bill Futures on a risk-return basis. A theoretical model is presented and hedging effectiveness is tested using T-Bill cash and futures data. Successful hedging depends critically upon the ability to determine the optimal hedge ratio. The results also indicate that the traditional one-to-one hedge outperforms the more sophisticated hedge ratio models; however, even here the risk-return benefits of hedging are minimal. |
