The Research On The Index Funds Investment Management On The Stock Index Futures

With the increasing usage of derivatives in managing asset portfolio, and the increased usage of econometrics development tools for investment management model, traditional investment management mode only depending on unilateral market going up will be discarded, instead of modern investment management mode of asset portfolio adding stock index futures, but the research on applied effect and allocation ratio in connection with hedge and asset allocation of stock index futures in Chinese securities business is very few.To aim at the two issues above, the use of two classic hedging model and the establishment of the asset allocation model respective, by index fund empirical analysis (To better to illustrate the problem, used the index funds having strong correlation with the stock index 300 here), get the optimum hedging model and verify the effectiveness to asset allocation model, and provides a reference for investors at the beginning of launching stock index futures. Among the key findings are as follows:(1) We use two hedging model to verify hedging effectivess to index fundWe makes use of simple hedging model and risk minimization hedging model on 50ETF,100ETF and Jiashi 300LOF hedging. The empirical results show that hedging can effectively reduce portfolio volatility, and the stronger correlation of the funds and stock index futures, the better its hedging effect.(2) We build an asset portfolio model based on risk controlWe bring up the proportional relationships between stock index futures and reserve margin, and build up a yield function model and additional margin function model, and verify the validity of the model based on Principle of maximum earnings per risk. Empirical analysis shows: the risk can be controlled in a certain area by the model, and get the additional revenue to exceed the index.The character of the model is firstly that we measure risk of the spot to be hedging. Use the capital asset pricing model to calculate correlation coefficient of the spot and stock index futures, and survey the systemic risks of the spot, to provide a basis for hedging. Secondly, we analyze hedging effects of the ETF and LOF respectively. We use two hedging model to verify hedging effectivess to index fund and get some useful results. Finally, we build an asset portfolio model based on risk control. The paper verify the validity of the model by empirical analysis.