Category: Money Tips Date: 2006-06-27
Margin floodgates around the corner, stock index futures almost certain. Trading system changes and the introduction of financial derivatives will have a profound impact on China's capital market, they not only can improve the pricing efficiency of existing financial instruments, but also the profit model from "buy and hold" a single model to the "short "," arbitrage "," hedging "and many other profitable paradigm shift in order to meet different investors in different market conditions demand. Writer from the existing financial instruments, the combination of margin trading and stock index futures arbitrage excavated several models for your reference.
"Financing to buy the underlying shares + Put Warrants" mode
When the put warrants underestimated, the most simple way is to arbitrage the same time, is buying shares and put warrants until the warrants a premium rate of return to above zero. Field JTP1 listed in Shanghai shortly, which once reached a premium rate of -3.94%, if both are stock and buying put warrants, the security at the end of year rate of return is 3.4%. But at that time the arbitrage portfolio, and did not arouse enough attention to the market, resulting in such a low premium rate has continued for several months a few business days. 3.4% annual rate of return for stock investors do not have much appeal, but this is just the worst state rate of return. In fact, this combination in the next 20 days, return rates have reached a 4% rate of return in 50 days, more than 19%, while such a high rate of return does not require investors to bear any risk. "Not to benefit a small instead of" the market tend to hold low-risk portfolio investors lucrative returns for the unexpected.
Its similar to the current Valin JTP1 of the arbitrage opportunities still exist. Assumed that only two months Valin JTP1 will expire, and investment can be bought at the same time Valin JTP1 and positive share, according to Tuesday's closing prices, the cost of 4.699 yuan, investors can get 1.51 percent of the insurance at the end of revenue. Margin floodgates, investors can own varieties pledge long-term financing to buy shares now, then pay 1.179 yuan to buy Valin JTP1. Net financing interest (interest rate by 7%), investors are expected to more than 2.54% within two months to obtain benefits. Can be seen that the use of financing may be larger gains.
"Securities Lending sell the underlying shares + warrants" model
Wanhua HXB1 warrants market is the only one undervalued warrants. When the subscription is undervalued, the investor is only allowed when the underlying stock short in order to conduct arbitrage. We still assume that 10000 Chinese HXB1 two months due, investors may be long-term pledge of Securities Lending varieties sold are shares, and buying Wanhua HXB1. Buy a copy for each Wanhua HXB1, Securities Lending copies are being sold 1.41 shares at maturity, investors can exercise price of 6.38 yuan to subscribe for shares are returned to the borrower. In this way, according to Tuesday's closing price, investors corresponds to the cost of each portfolio is only 7.94 yuan, due to obtain the spread income 0.397 yuan, after deducting Securities Lending fees (Securities Lending fees are calculated according to 7%) 0.172 yuan, investors 2.83% more than expected to obtain the benefits.
"Financing to buy closed-end funds +
Short selling stock index futures "model
The current closed-end funds have worse resale values remained relatively high, due within a year, closed-end funds have worse resale values are 10% ~ 20%. In theory, varieties of long-term financing by pledging to buy closed-end funds and short selling stock index futures, in addition to bonds, the investor does not hold any cost, as long as the arbitrage space is greater than the financing rate, the rate of return investors can be infinite.
We have adopted the "Feng Zhuankai" Societe Generale fund as an example, assume that March 3, 2006, the market already exists on the Shanghai and Shenzhen 300 index futures contract (the contract multiplier of 300). Convenience, we assume that the index futures contracts in line with the spot price (ie, the base difference of 0). At this point, Societe Generale's net worth was 0.92 yuan, market price of 0.84 yuan, worse resale values of 8.7%. Investors in Societe Generale to buy 1 million copies of the fund, while short two hands (in accordance with its possession of the net multiplied by its "times the towers value" is calculated) due in September in Shanghai and Shenzhen 300 index contracts. To August 4, 2006, open positions, investors in the spot market profit 193,000 yuan, the futures market, a loss of 120.1 thousand yuan, profit and loss offset by gains after 7.29 million, net of finance Interest 24.5 thousand yuan, the net income to 48.4 thousand yuan. During the occupation of investors in stock index futures, the average cost of funds (including deposits) stood at 8.8 million, then 5 months of the return rate as high as 55%! The reason why there is such a high rate of return is because the short stock index futures closed-end funds have worse resale values will be transformed into risk-free rate of return, while investors taking advantage of the leverage finance functions that the amplification of this rate of return.
"Financing to buy ETF + short selling stock index futures" model
After the introduction of stock index futures, stock index futures when the price is higher than the spot index reaches a certain rate, investors can buy the constituent stocks and short selling stock index futures. As the constituent stocks of larger, and some constituent stocks is not necessarily the subject of margin trading securities, investors may consider a higher correlation ETF instead. For example, the Shanghai and Shenzhen 300 index is 1400 points, there is a two-month period of the price of stock index futures contract 1420 points. Investors short a hand of each contract, financing to buy the same value on the card 180EFT (SSE 180 Index and the Shanghai and Shenzhen 300 index, the correlation coefficient as high as 0.994). If there is no ETF tracking error due to margin the cost of capital as investors, then the rate of return for two months up to 3.23%.
Of course, if the stock index futures prices are lower than the spot index reaches a certain rate, investors can buy stock index futures and sell the ETF Securities Lending to conduct arbitrage. It is worth mentioning is that in the arbitrage model, involving the "short selling stock index futures" in the broad market strength, the investors will have to face the risk of margin calls; where involved in margin trading, and only when the arbitrage space is greater than the cost of interest or margin trading, investors can use it to zoom in investment income.
In addition, margin trading collateral need more items, so that the arbitrage model is more suited to have a more long-term varieties of large and institutional investors. With the deepening of financial innovation, the management is bound to introduce more and more complex financial derivatives to meet the needs of different investors and to improve the efficiency of market pricing. Investors only done its homework, in-depth understanding of the characteristics of various derivatives as well as the introduction of the relevant policies in order to grasp the variety of investment opportunities. (Send
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