In recent years, the sharp fluctuations in international crude oil prices have had a significant impact on the stock prices of China’s energy industry. With the growing trend of commodity financialization, energy assets face not only traditional oil price volatility risks but also financial factors driven by speculative trading, index fund investments, and cross-border capital flows. Consequently, the demand for risk management through hedging of energy assets has been increasing. Traditionally, investors have primarily relied on stock index futures to hedge energy stocks; however, single stock index futures are insufficient to effectively mitigate systematic risks arising from oil price fluctuations, let alone cover the composite risks introduced by financialization. This paper adopts a portfolio hedging framework combining stock index futures and crude oil futures to investigate hedging strategies for the CSI 300 Energy Index, CSI 500 Energy Index, and CSI 800 Energy Index. This paper compares the performance of single-futures hedging and portfolio futures hedging, with particular attention to the incremental value of crude oil futures in portfolio hedging. Using daily data from March 2018 to September 2025, this paper employs a rolling window approach to estimate optimal hedge ratios and out-of-sample hedging performance. The results demonstrate that portfolio futures hedging outperforms single-futures hedging, with the CSI 500 Energy Index exhibiting the most pronounced portfolio hedging effect. Crude oil futures provide a significant marginal contribution in portfolio hedging, with a marginal contribution of approximately 30% (CSI 300 Energy Index) and 12.77% (CSI 500 Energy Index). This study constructs an analytical framework for portfolio hedging of energy indices using futures, introduces the marginal contribution metric to quantify the incremental value of crude oil futures, and enriches the research scope of multi-futures portfolio hedging, offering actionable decision-making references for energy industry investors and regulators.
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