LZ, how about referring to this? The reason why stock index futures have the function of hedging is that under normal circumstances, the price of stock index futures and the spot price of stocks are affected by the same factors, so their changing directions are the same. Therefore, as long as investors establish positions in the stock index futures market that are opposite to the spot market, when the market price changes, they will inevitably make profits in one market and lose money in the other. By calculating the appropriate hedging ratio, the approximate balance between loss and profit can be achieved, thus achieving the purpose of hedging. For example, on 1 October 29th, 2006, 165438, the total value of an investor's stock portfolio (with a beta coefficient of1) was 5 million yuan, and the Shanghai and Shenzhen 300 Index at that time was 1650 points. The investor predicted that the stock market would fall in the next three months, but because his stock portfolio has strong potential for year-end dividends and stock delivery, he decided to short his stock portfolio by using the Shanghai and Shenzhen 300 stock index futures contract that expired in March 2007 (assuming the contract multiplier is 300 yuan/point). Suppose165438+1On October 29th, the futures price of IF0703 CSI 300 stock index is 1670 points, and investors need to sell 10 (that is, 5 million yuan /( 1670 points *300 yuan/point). If the Shanghai and Shenzhen 300 Index falls to 1485 on March 0, 2007, the total market value of investors' stock portfolio will also fall to 4.5 million yuan, with a loss of 500,000 yuan. However, at this time, the futures price of IF0703 CSI 300 stock index fell to 1503, so investors closed their futures contracts and made a profit of (1670- 1503) points *300 yuan/point *10 = 501003. On the contrary, if the stock market rises, the total market value of the stock portfolio will also increase, but with the corresponding increase in the price of stock index futures, investors' short positions in the stock index futures market will suffer losses, which just offsets the profits in the stock market. What investors need to be reminded is that in actual transactions, it is often difficult to achieve complete hedging with exactly the same profit and loss. First, due to the standardization of futures contracts, it is difficult for hedgers to choose the desired quantity and delivery date according to actual needs; Second, due to the influence of basis risk.