This paper investigates the hedging performance of both the HSIF and HHIF contracts using daily data for the period January 2004-June 2005. The hedged portfolios consist of market indices and unit funds. The dynamic OLS-modeled strategies and EWMA-modeled hedging strategies for both 63-day and 126-day estimation windows are compared. The results show that (1) compared to the HSIF contract, the HHIF contract is an important additional hedging instrument; (2) the EWMA model is slightly superior to the dynamic OLS model generally; (3) the cross-hedging effectiveness for actual spot portfolios to be hedged appears to be much lower than that for market indices.
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