Table 5.

Optimal Portfolio weights (FTSE/Feverish) summary statistics.

Optimal weights	$w_{ji,y}$	Std.Dev.	5%	95%	HE
FTSE/US Feverish	0.83	0.11	0.6	0.94	0.29***
FTSE/DE Feverish	0.86	0.12	0.6	0.97	0.36***
FTSE/FRA Feverish	0.88	0.09	0.7	0.96	0.29***
FTSE/ITA Feverish	0.88	0.12	0.7	0.95	0.35***
FTSE/SP Feverish	0.88	0.13	0.6	0.96	0.35***
FTSE/UK Feverish	0.85	0.11	0.6	0.97	0.36***
FTSE/CH Feverish	0.93	0.08	0.7	0.98	0.26**
FTSE/S_A Feverish	0.86	0.13	0.6	0.98	0.34***
FTSE/AU Feverish	0.89	0.12	0.6	0.97	0.18
FTSE/JP Feverish	0.88	0.14	0.7	0.96	0.35***
FTSE/IN Feverish	0.88	0.12	0.6	0.97	0.27**
FTSE/RUS Feverish	0.89	0.11	0.7	0.98	0.24**
FTSE/S_K Feverish	0.92	0.09	0.7	0.98	0.32***
FTSE/TURK Feverish	0.92	0.08	0.8	0.98	0.35***
FTSE/ARG Feverish	0.92	0.08	0.8	0.98	0.30***
FTSE/BRA Feverish	0.93	0.1	0.7	0.99	0.25**
FTSE/INDO Feverish	0.93	0.07	0.8	0.99	0.33***

Notes: * $<$ 0.1; ** $<$ 0.05; *** $<$ 0.01. Hedging Effectiveness (HE) is computed as $1-\left(Var\right(H)/Var(U\left)\right)$. $Var\left(H\right)$ and $Var\left(U\right)$ are the variance of the hedged and unhedged positions, respectively.