β& gt； 1 security means that the risk of the portfolio is greater than the risk of the market portfolio and the return is relatively high, so it is called "offensive securities".
β
Securities with β= 1 are called "neutral securities", and the risks and returns are equivalent to the market level;
If the beta value is close to 0, then the risk of the security is very low and the return is close to the risk-free rate of return.
In the daily work of asset management, investors generally choose different types of securities to invest according to different market conditions. In the bull market, investors generally tend to hold offensive securities in order to obtain higher than the market average income; In the bear market stage, investors generally tend to hold defensive securities to minimize investment risks.
How to use stock index futures to change the β value of portfolio to enhance profitability? According to the above principles, we can add stock index futures as an asset to the portfolio composed of traditional stocks and bonds, adjust the overall β value of the portfolio and increase the return of the portfolio.
situation
If a part of the total fund M is invested in a stock portfolio, the beta value of this stock portfolio is βs, which occupies the fund S, and the remaining funds are invested in stock index futures. The value of a contract is f, buy n long contracts. Assuming that the margin ratio is 12%, the funds occupied by stock index futures are P = F N 12%.
In addition, the price of stock index futures should also have a β value relative to its underlying index, which is set to βf (the same as the way of obtaining individual stocks). We can calculate the βs of stock portfolio and the βf of stock index futures, and we can also look it up on related information software. Calculate the β value of the portfolio according to the formula β = σ xi β I, and the total β value of the portfolio should be:
β=βs S/M+βf P/M
However, the research of relevant scholars shows that in fact, from the perspective of capital occupation, the β value of stock index futures should consider the leverage effect, and the leverage ratio of stock index futures is the reciprocal of the margin ratio (X). Therefore, the reasonable total β value of this portfolio should be:
β=βs S/M+(βf/x) (P/M)
Assuming that the stock portfolio in the above portfolio is βs= 1. 10, and the β F of stock index futures is 1.05, there are the following situations:
(1) If investors are optimistic about the market outlook, they will invest 90% of their funds in stocks and the remaining 10% in multi-index futures (margin ratio 12%). According to the beta calculation formula, the total beta value of its portfolio is:
Total β value = 0.90×1.10+0.112 %×1.05 =1.865.
After a period of time, if the Shanghai and Shenzhen 300 Index rises by 10%, the market value of investors' portfolios will correspondingly rise by 18. 15%.
(2) If investors are very optimistic about the market outlook, they will invest 50% of their funds in stocks and the remaining 50% in multi-index futures. According to the beta calculation formula, the total beta value of its portfolio is:
Total β value = 0.50×1.10+0.5/12 %×1.05 = 4.925.
If the Shanghai and Shenzhen 300 Index rises by 10% in the afternoon, investors' assets will rise by 49.25% accordingly, far outperforming the broader market.
(3) If investors are bearish on the market outlook, 90% of the funds will be invested in basic securities, and the remaining 10% will be short on stock index futures. According to the beta calculation formula, the total beta value of its portfolio is:
The total β value = 0.90×1.10/12 %×1.05 = 0.10/5.
If the stock index falls 10% in the afternoon, the investors' assets will fall accordingly 1. 15%, and stock index futures play a hedging role in the stock portfolio.
(4) If investors are very bearish on the market outlook, they will invest 50% of their funds in the underlying securities, and the remaining 50% will short the stock index futures. According to the beta calculation formula, the total beta value of its portfolio is:
Total β value = 0.50×1.10-0.5/12 %×1.05 =-3.825.
If the stock index falls by 10% in the afternoon, investors' assets will rise by 38.25%, and investors have achieved the purpose of reverse speculation through stock index futures.
Although stock index futures have a very flexible ability to adjust the β value of portfolio, the profitability of investors using stock index futures tools is greatly enhanced. However, the above research model assumes that investors are operated by Man Cang, that is, all customer deposits are occupied by their positions. If the direction is not correct, the price of stock index futures will change in an unfavorable direction, and investors will easily face the risk of being forced to close their positions. Therefore, attention should be paid to the control of margin ratio in practical application. In addition, benefits and risks go hand in hand. After the β value is enlarged or becomes negative, if the investor's judgment on the direction is accurate, the income will be greatly increased; If the direction is wrong, the loss will increase accordingly. Stock index futures enhance investors' profitability, but it does not mean that investors can use stock index futures tools to increase investment income. In an efficient market, income and risk are combined, and only by taking high risks can we get high income.