أثر استراتيجيات التحوط بالخيارات المالية في إدارة خطر تقلب أسعار صناديق المؤشرات المتداولة : دراسة تحليلية لمؤشر فالكوم المالي السعودي للفترة (2014-2016)‎

Abstract EN

The importance of this article is that it highlights the importance of financial hedging using the techniques and instruments of financial engineering, especially in light of the volatility of the financial markets, and given the dynamics of the large financial markets and the size of the influences that affect them, we note that the returns of financial assets are heavily influenced by these influences (Regular risk) as a result of the linear relationship between them, which is demonstrated by the relationship between the Falcom Financial Index (one of the funds traded in the Saudi Stock Exchange) and the market index (Tazi) during the period reviewed 2014-2016, Capital risk pricing index, where overall financial risk and systemic risk indicators were highly valued due to the significant correlation between the market and the fund.

The decline in the value of the index during this period is due to the significant decline in oil prices.

However, which is priced according to the Black and Scholes model, which means that the hedging strategy according to the previous formula can improve the level of management of these funds and portfolios.

The performance evaluation criteria for Sharp, Treynor and Alpha of jensen have proved this result.

A significant impact in reducing the impact of the fall in prices in the Saudi financial market on the capital of the Falcom financial index