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THE JOURNAL OF FINANCE • VOL. XXXIX, NO. 3 • JULY 1984
Hedging Performance and Basis Risk in Stock
Index Futures
STEPHEN FIGLEWSKI*
IN EARLY 1982, TRADING BEGAN at three different exchanges in futures contracts
based on stock indexes. Stock index futures were an immediate success, and
quickly led to a proliferation of new futures and options markets tied to various
indexes. One reason for this success was that index futures greatly extended the
range of investment and risk management strategies available to investors by
offering them, for the first time, the possibility of unbundling the market and
nonmarket components of risk and return in their portfolios. Many portfolio
management and other hedging applications in investment banking and security
trading have been described elsewhere^ ranging from use by a passive fund
manager to reduce risk over a long time horizon to use by an underwriter to
hedge the market risk exposure in a stock offering for one or two days.
In considering the potential applications of index futures, it is clear that in
nearly every case a cross-hedge is involved. That is, the stock position that is
being hedged is different from the underlying portfolio for the index contract.^
This means that return and risk for an index futures hedge will depend upon the
behavior of the "basis," ., the difference between the futures price and the cash
price. Hedging a position in stock will necessarily expose it to some measure of
basis risk—risk that the change in the futures price over time will not track
exactly the val