Category: Money tips Release Date: 2006-12-16
Upcoming stock index futures, institutional investors can short index to the important assets of their hedge. We believe that closed-end funds with a high degree of irrational worse resale values and excellent investment performance of the broader market can be a good subject matter to do more.
Market risk portfolio to avoid arbitrage
Most closed-end funds invest in select blue-chip blue-chips a long time, yields are underperforming, while closed-end fund net and the broad market indices in Shanghai and Shenzhen in particular, have a relatively high correlation for a set of subject-matter insured. Studies have shown that most of the weekly closed-end funds and the Shanghai and Shenzhen 300 Index returns and performance are closely related. Cities of Shanghai and Shenzhen 300 on behalf of high-quality blue chips, while the Fund as a leader in value investing focus on investment in the Shanghai and Shenzhen 300 Index constituent stocks is not surprising that a high degree of correlation between the two is also reasonable.
It is precisely such a trend and the market was highly related to yield better than the market, asset class, there exists a high degree of unreasonable discount. The introduction of stock index futures if they can, then we can use stock index futures and closed-end funds to construct a hedging portfolio, short index futures to hedge funds, the net decrease in the risk of exposure, while the remaining space is a closed-end fund returns unreasonable have worse resale values of.
Select a good variety of high performance discount
Choose the subject of several hedge funds as a simple look can be from the following aspects:
First of all funds to elect worse resale values high. Worse resale values because the higher the worse resale values greater space for responses, the potential high returns. The worse resale values of funds with low net worth in the short term fluctuations in high-risk, protection is not strong. As the stock index futures have more than six months away from launch, while the broad stock market swings during the period it is difficult to judge, if the broad market is bound to affect the Fund's net worth fell down, then the short maturity of the Fund's worse resale values will soon reply will be greatly reduced profit margins.
Second, the net correlation trends and stock the better. Construction of risk-free portfolio is to hedge funds, the net value of downside risk.
Finally, the historical performance of the proposed option is better, the high net growth rate of the fund. If the fund's yield is higher than the Shanghai and Shenzhen 300 index, will help widen the worse resale values, which means higher yields space.
Comprehensive consideration, we believe that the fund Pratt & Whitney, handsome, with benefits, Tian Yuan and Pufeng is the more suitable choice.
More room for broad market fund earnings
For the investors can not participate in futures can directly invest in closed-end funds with high discounts. The return of closed-end fund discount has two incentives: First, the introduction of stock index futures, there are requirements for financial security, the institutions will actively short the index to avoid risks, then do so many positions in closed-end fund is a very good option. As long as an institution to participate in such arbitrage, in their own closed-end funds worse resale values will speed up the return process; second only to the first half of next year, there are 17 closed-end funds focused on maturity, with the introduction of a variety of expiration of the program, Closed-end fund pulse of the stock market continue to unfold, it would be greatly facilitated the return of the fund discount. These two factors have decided to invest in broad market discounts the value of the fund is more because the worse resale values high and high discount fund more space for bigger profits, so we looked at the high closed-end fund discount.
Choose a fund there is a high discount reason: a specific launch of stock index futures uncertain, it is estimated there are at least half a year, while before that market volatility is difficult to judge, and it is difficult to choose, the safer way is to buy discount fund high, so high protection. So, if not participation (Everbright Securities) (send
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