A Growing number of studies reveal that the performance of dynamic hedging strategies tends to to vary across markets, producing large precentage reductions in others, relative to constant hedges. This paper examines the hedging effectiveness of Toronto 35 index features and shows that the application of a dynamic strategy based on general, bivariate GARCH(1,1) process yields economically significant in-sample and out-sample improvements in risk reduction, compared to static hedging strategies.