On March 20th, 20 15, the CSRC officially approved CICC to conduct the futures trading of SSE 50 and CSI 500 stock indexes, and the contract was officially listed and traded on April 6th. This changed the situation that there was only a single Shanghai and Shenzhen 300 stock index futures product in the past five years, and stock index futures ushered in a segmented era.
Before the introduction of CSI 500 Index, the market lacked tools to short small-cap stocks, and potential small-cap stocks were often at a loss. Growth enterprise market index hit record highs and was once called "Growth enterprise market index". After the launch of CSI 500 futures index, shorting futures index will become a powerful tool for shorting, and the market's long and short power will be more balanced.
However, under the current bull market sentiment and liquidity scale, the low valuation of the SSE 50 index is in sharp contrast with the small and medium-sized board. As a result, several new investment strategies have been derived from Class B funds.
SSE 50 Graded and Bank Graded Funds have been officially put on sale. Therefore, around the SSE 50 Index and the CSI 300 Index, the existing structured fund products with good liquidity include wealth management B, securities B, securities B, brokerage B, bank B, 50-level funds and several other 300-level funds, which can meet the multiple needs of investors such as leverage, long and short, spot arbitrage and discount arbitrage.
From the perspective of industry distribution, the sovereignty of the Shanghai and Shenzhen 300 Index is in the financial sector, and the total weight of non-bank finance and banks is above 36%. The weight of SSE 50 index is more concentrated in the financial sector, and the total weight of non-bank finance and banks is above 65%, which can basically be regarded as the representative of the financial sector index. Distinctive financial characteristics can not only be applied to market-neutral strategies, but also be combined with tools such as graded funds to track financial stocks to derive more strategies.
One of the strategies is high premium arbitrage financial classification+short 50-term index hedging.
Under the bull market sentiment, the A+B end of the secondary market of graded funds is prone to long-term high premium. At the beginning of 20 14 and 12, the average overall premium exceeded 10%. The premium of classified funds such as brokers and non-banks often exceeds 20%. The high premium attracted a huge amount of money to buy the parent fund in the market, and split and sell the AB-end fund in the market. Under the pressure of arbitrage, the funds in the market are often blocked by huge daily limit.
After listing, the 50-term index refers to a wealth of hedging instruments to lock in premium income. At the same time of premium arbitrage grading fund, short the corresponding stock index futures and lock in premium income. The value of a 50% stock index futures contract is estimated to be around 900,000 yuan. Compared with the Shanghai and Shenzhen 300 stock index futures, the arbitrage of various financial grading funds can fit more advantages. The hedge protection efficiency of premium arbitrage financial grading fund has doubled.
The second strategy is to use grading instead of spot in futures arbitrage.
Spot arbitrage is also an essential investment strategy for most hedge funds and low-risk preference investors. The basis fluctuation caused by bull market sentiment is particularly severe. In the era of stock index futures segmentation, this strategy can be better implemented.
Under the current bull market sentiment and financial instruments, spot arbitrage is generally premium arbitrage. That is, short the stock index futures, buy the spot to accurately fit the hedge, and lock in the basis income.
Spot selection, in addition to a basket of stocks, you can also choose funds that track the index. Buying discount index funds in the secondary market will contribute extra income to arbitrage. These funds include ETF funds, LOF funds and graded funds of A+B price-weighted discount parent funds. A more radical and efficient way is to buy B-end graded funds at an overall discount.
The third strategy is to use the stock index futures of discount arbitrage grading funds.
Sometimes, the secondary market of graded funds is affected by all kinds of fear of heights, and there are often continuous discount arbitrage opportunities. That is, under the dynamic market conditions, the A+B price weight in the market is discounted from the net value of the instant parent fund.
Arbitrage here is divided into rolling arbitrage and pseudo arbitrage. Rolling arbitrage is the merger of A+B funds while investors hold short positions. On the other hand, redeem the stock parent fund with the same weight. Can realize rolling spreading and has low holding cost.
Pseudo-arbitrage is to merge A+B graded funds directly in the market, and there is no bottom position. Redeem on the next trading day and get the discount profit after deducting the transaction costs.
Discount arbitrage has two disadvantages: first, the fund redemption time is as long as two trading days, which leads to low capital efficiency, which is equivalent to reducing risk positions in disguise. Second, buying on T day and redeeming the parent fund on T+/KLOC-0 will bear the risk of net value fluctuation for one trading day. The use of stock index futures can solve the above two disadvantages to some extent.
If you are worried that redemption and slow payment will lead to the decline of high-yield positions, you can do multi-stock index futures, increase risk weight and expand income. If absolute returns are needed, the stock index futures corresponding to a trading day will be emptied in an accurate proportion, and the discounted arbitrage returns will be locked.