On this day, Xiao Zhang read an article about spot arbitrage of stock index futures in the newspaper and was very interested. However, he did not fully understand the spot portfolio structure of spot arbitrage mentioned in it, so he dialed the consulting telephone number of a well-known futures company in Shanghai.
"I now know that the principle of spot arbitrage is that if the price of stock index futures is high, I will do more in the spot market, short in the futures market, and then close the spot market and futures market after the price returns. But I don't understand that there is no Shanghai and Shenzhen 300 index to trade in the spot market. How does the spot market operate? " Xiao Zhang asked incredulously.
"It can be achieved by constructing a certain stock portfolio or purchasing fund products," the staff of the futures company replied.
"What kind of stock portfolio is suitable for spot arbitrage?" Xiao Zhang then asked.
"It is best to have a stock portfolio with high correlation with the Shanghai and Shenzhen 300 Index. There are two ways. One is the complete fitting method, which constructs the stock portfolio according to the Shanghai and Shenzhen 300 index construction scheme; Another method is to select certain sample stocks and establish a combination with high correlation. " The staff of the futures company answered.
"How about buying three hundred kinds of stocks at a time? Is it better to choose a portfolio with a small number of sample stocks? " Xiao Zhang asked while pressing the calculator.
"Each has its own advantages and disadvantages, and the complete fitting operation is difficult, but the correlation is good; The sample stock portfolio operation is difficult to simplify, but the correlation is unstable. " The staff of the futures company answered.
"You just mentioned that you can buy a fund. What kind of funds do you mean? " Xiao Zhang asked with concern.
"Mainly ETF funds, such as SSE 50ETF, because the trend of SSE 50 Index is highly correlated with the Shanghai and Shenzhen 300 Index." The staff of the futures company answered.
"Which is better?" Xiao Zhang asked while watching the market trend of SSE 50ETF.
"The result of spot arbitrage depends on the model construction on the one hand and the actual market situation on the other. No method is better, only one method is more suitable for the actual market situation. For example, everyone uses securities 50ETF for spot arbitrage, which will appear. If everyone concentrates on buying securities 50ETF funds, the price of securities 50ETF funds will rise, the cost of spot arbitrage will increase, and the arbitrage effect will be greatly reduced. " The staff of the futures company answered.
Risk warning: In addition to the risk of fund management and technical operation in the model construction, whether the selected model conforms to the actual market situation is also a key factor for the spot arbitrage effect. It is suggested that ordinary investors participate in spot arbitrage of stock index futures through professional institutions.