The Research On The ETF Hedge On Stock Index Futures

ETF, Exchange Traded Funds, using completely passive investment strategy of the index, tracking and fitting 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 brings loss that can not be evaded to the investors for the ETF. Stocks Index Futures, a stock Price index as a subject of financial futures contracts, is a kind of derivative financial instruments (Financial Derivative Instrument),by putting stock index futures 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 edge 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 futures 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 futures'price, it is easy to get the result through regression analysis.As China's, stock index futures had not yet listed trading, no corresponding actual data can be calculated and simulated futures trading data motives and the absence of too few participants, not meaningful.in this paper, the use of alternative methods, with the future of the cash benchmark index futures-the Shanghai and Shenzhen 300 index to replace. This approach ignored the stock index futures and the cash-poor risks. While this assumption reality not true, but because stock index futures and spot the correlation between strong, it is difficult to have a riskless arbitrage opportunity, and the existing empirical proof of index futures and spot the correlation between strong, therefore this alternative to explore the issue of this paper is feasible.This paper takes Shanghai 50ETF and Shanghai 180ETF for the hedge empirical study with the HS300 index futures. The paper firstly evaluates ETF systematic risk by citing risk measurement models, and then based on simple hedging strategy and risk minimization hedging strategy, adopts unitary linear model to calculate the above hedge ratios of ETF respectively, and evaluates effect of hedge. The result shows that hedge ratio obtained by using minimal variance method can achieve quite degree contentment.