Back to matchesWe found a matchYour institution may have access to this item. Find your institution then sign in to continue.TitleEstimation bias of futures hedging performance: A note.AuthorsLien, DonaldAbstractThe conventional approach applies an estimated optimal hedge ratio to evaluate and compare hedging performance. This note shows that the approach produces a biased result. Moreover, it tends to underestimate the true hedging performance. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:835–841, 2006SubjectsHEDGING (Finance); ESTIMATION bias; ESTIMATION theory; PAIRS trading; HEDGE funds; MUTUAL fundsPublicationJournal of Futures Markets, 2006, Vol 26, Issue 8, p835ISSN0270-7314Publication typeArticleDOI10.1002/fut.20222