After having gone short futures for a client portfolio recently, I needed to explain what effect such a tactical decision has on the portfolio in question to the clients beneficiaries.
Below is a graphical representation of what happens when you hedge part of a portfolio (in a very specific example, this would need to be calculated for each portfolio that was being considered for a hedge).
Firstly the expected volatility is reduced (in my example hedging 15% of portfolio with SMI put options would move the volatily down by around 1%).
Secondly the expected return is reduced (in my example from 4.9% to 4.8%).
While the exact numbers give a false send of certainty and detail, it does go a long way to quickly and graphically showing what happens when you hedge a portfolio.