The empirical test shows that this paper's model can effectively disperse the basis risk and increase the hedge return.
The basic idea is changing the spot market into the risk of basis risk. It is also theory gist of hedging operation.
We introduce the futures return vector to replace the single future return, deduce the multiple futures to single cash hedge model to realize the dispersion of basis risk.
Thirdly, we use multiple futures to hedge single cash to disperse the basis risk.
According to its different sources, interest rate risk may be classified into repricing risk, yield curve risk, basis risk and optionality.
