Abstract This note examines the hedging effectiveness of three hedge strategies on twenty-four commodity and financial markets. Lien (Lien, D., 2005a, The use and abuse of the hedging effectiveness measure, International Review of Financial Analysis 14, 277–282, Lien, D., 2005b, A note on the superiority of the OLS hedge ratio, Journal of Futures Markets 25, 1121–1126.) suggest that, absent from estimation errors, the minimum variance (MV) hedge ratio attains the maximum post-sample hedging effectiveness when there is no structural change across estimation and comparison samples. When comparing the MV strategy with the naive hedge ratio, we find sufficiently strong support for the conclusion. On the other hand, driven by estimation errors, weaker support is produced when comparing MV and error correction (EC) hedge strategy.