The Research On The ETF Hedge On The Stock Index Futures

ETF, Exchange Traded Fund, is a new kind of fund. It follows passive investment tactic of stock index completely, try to follow and fit a certain representative index, to evade non-system risk of single stock investment effectually, and to gain the same yield as the index. But the tremendous system risk of stock market bring loss that cann't be evade to the investors for ETF, and stock index future is just a hedging tool, by putting stock index futeres on a fall, to reach the goal of avoiding risk and locking yield.To gain the perfect effect of hedging, it is a key to figure out hedge ratio. Estimation of hedge ratio is always important to finance engineering's research., and home and abroad do a lot to it. From traditionary hedge theory to modern hedge theory, we make prodigious progress, and ols model is a easy and effective method, by looking hedge as combination of goods and futeres to reduce its risk. Assume investors are absolute risk averter, and it is their aim to minimize its risk, and get hedge ratio under it. By using historical data of goods and futeres' price, it is easy to get the result through regression analysis.ETF has obtained tremendous development in the last two years. There are four variety to come into the market now, and 50ETF and 180ETF are active in the four. The article adopts minimal variance method, and calculate hedge ratio of ETF relative to hs300 index futures through empirical analysis method, and evaluate effect of hedge. The result shows that hedge ratio obtained by using minimal variance method can achieve quite degree contentment.