The article aims to determine whether any hedging strategy against stock market risk, performed using instruments popular in the literature (gold, cryptocurrencies and oil), can beat index futures. As a hedging strategy, we understand a pair-wise portfolio consisting of a long position in stocks and a short position in a hedging instrument put together to minimise the portfolio variance. As a benchmark, we analyse optimal and naive hedging strategies with futures contracts. We demonstrate that, regardless of the stock market, the best hedging strategy focused on variance minimisation requires using index futures. Both strategies: the optimisation-based one and the naive one, beat the dynamic strategies utilising the remaining hedging assets. Therefore, from a risk-minimisation point of view, investors have no motivation to implement cryptocurrencies, gold or oil in hedging strategy against stock market risk. The results are robust with respect to hedging against tail risk.

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对冲还是不对冲？加密货币、黄金和石油对抗股市风险

本文旨在确定使用文献中流行的工具（黄金、加密货币和石油）执行的任何针对股市风险的对冲策略是否可以击败股指期货。作为一种对冲策略，我们理解由股票多头头寸和对冲工具空头头寸组成的成对投资组合，以最大限度地减少投资组合方差。作为基准，我们用期货合约分析最优和简单的对冲策略。我们证明，无论股票市场如何，专注于方差最小化的最佳对冲策略都需要使用股指期货。两种策略（基于优化的策略和朴素策略）都击败了利用剩余对冲资产的动态策略。因此，从风险最小化的角度来看，投资者没有动力实施加密货币、黄金或石油来对冲股市风险。在对冲尾部风险方面，结果是稳健的。