Stock Index Futures In The Institutional Investors, Asset Management: Theoretical And Empirical

Stock index future is a basic derivative instrument in the financial market. It plays an important role in improving market efficiency, perfecting market function and realizing risk allocation in the market. With the impending launch of index futures in China, it is of practical significance for every institutional investor to find out how to apply index futures in product design and investment, and how to optimize the yield risk characteristics of portfolios through investment strategy restructuring.Starting from CAPM model and Black-Scholes model, this paper explains the fundamental principles of institutional investors to apply index futures to the improvement of investment efficiency. Then it introduces the emergence background, basic concepts, development and evolution of various strategies by overseas institutional investors to apply index futures to asset management. It will also introduce some basic information about foreign institutional investors in utilizing financial derivatives in asset management.Finally, in light of the high leverage and diversification in the trading of index futures, the paper takes portfolio insurance, Derivative-based Indexing Strategy, and Alpha Strategy as examples and studies the ways that institutional investors improve the investment efficiency of different financial products and under different yield targets in the approach of theoretical and empirical analysis. The basic conclusion is that if we put index futures in reasonable application, it will optimize the risk premium characteristics of the original portfolio, or will create portfolios of different risk-yield ratio to enhance the market's ability to allocate risk and improve the investment efficiency based on different investment products of varied investment strategies.