Category: Money tips Release Date: 2006-08-28
Three Arbitrage Strategies + three kinds of hedging strategy for the two master Xiangjie index futures combat skills
In the "2007 Chinese institutional investors in stock index futures Senior Seminar" on the EMC Senior Fellow Muqi States securities index futures investment strategy and the risks associated with topics such as actual delivered the keynote address. But has many years of experience in commodity futures Jinrui Futures senior adviser to Tao Jiang has put forward several strategies to avoid the risk, as well as stock index futures arbitrage in the process of several key elements.
Mu Qi State that the stock index futures arbitrage investment strategy can be divided into strategy, hedging strategy, the trend trading strategy three categories. According to him, the Hong Kong market in 2004 -2005 years of data indicate that using arbitrage strategies accounted for 6% -12%, hedging strategies accounted for 9% -45%, the trend trading strategy accounted for 36% -57 %.
Arbitrage is divided into vertical spread (futures and cash arbitrage), lateral spread (futures and futures arbitrage), and three types of mixed arbitrage. Of which can be divided into horizontal lateral intertemporal arbitrage arbitrage, cross-commodity arbitrage and cross-market arbitrage strategies.
Muqi States pointed out that arbitrage arbitrage opportunities can be found to develop arbitrage strategies, arbitrage operation of these three steps to achieve. The discovery of arbitrage opportunities in the process of investment should have a variety of interactive relationship between the price reasonable and the law to find the deviation above the normal range of fluctuation, analyze the reasons for that; analysis of the factors that deviate from the future to correct the price and issue arbitrage signal; in estimating the time span after the arbitrage strategy can be developed, objectives and risks.
Arbitrage operation can follow the following strategies: buying undervalued species, while selling over-estimated species; monitor portfolio risk and return decided to continue to Opening, change or stop; spread convergence when the objectives are achieved in time reverse unwinding.
Mu Qi poor country circumstances remain unchanged from the base of the hedge, changes in the base case of poor long hedge, changes in the base case of poor short analysis of the hedging strategy of hedging. In his view, is the essence of trend trading to pursue a large probability of the event, as institutional investors should pursue a large probability of profit margin, that is 80% of the profit from 20% of the transaction. The Shanghai and Shenzhen 300 Index of the top five industries (accounting for 46.8%) were the financial, steel, real estate, food, electricity, an interest rate-sensitive industries; in the short-selling medicine, Shanghai and Shenzhen 300 index, the strategic position of the industry highlights.
Jiang Tao believes that stock values can be used to do short futures futures hedge (holding stock, shorting futures), long futures hedge (holding stock short, to do more, futures) as well as three kinds of cross-hedging hedging strategies to circumvent the stock index futures investment risk. He also sum up the stock index futures arbitrage several key elements of portfolio simulation spot --- the efficiency of the constituent stocks of the underlying index event forecasts, margin management, transaction cost control, restrictions on trading rules, of which the first three are unlocked the cells should be noted that key issues.
