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Strategic asset allocation
The so-called strategic asset allocation refers to determining the long-term allocation ratio of stocks, bonds or other assets to meet investors' risk-return preferences and various constraints faced by investors. The strategic asset allocation decided by investors does not fluctuate with the change of short-term capital market conditions, but the change of short-term capital market conditions will definitely change the strategic asset allocation of investors. For example, if the market price of the stock market changes relative to the market price of the bond market or other assets, the proportion of stocks in the portfolio will rise. In order to re-establish the predetermined strategic asset allocation, investors need to change the position of the portfolio. This can be achieved through stock index futures trading.
In the implementation stage after the strategic asset allocation is formulated, investors can buy stock index futures and bond futures respectively according to the proportion specified in the strategic asset allocation. Use futures at low cost and open positions immediately without any market shocks. After opening positions in future positions, investors can gradually buy physical assets in the stock market or bond market and gradually close their positions in future positions.
In the maintenance stage after the completion of strategic asset allocation, the change of capital market conditions will change the strategic asset allocation of investors. Investors can establish stock index futures and bond future positions in the futures market, and quickly restore the original proportion of their asset allocation. Similarly, after gradually establishing the corresponding stock and bond positions from the spot market, future positions can close its positions separately.
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Tactical asset allocation
Tactical asset allocation refers to changing the strategic asset allocation by taking advantage of the discovered capital market opportunities, such as increasing stocks (reducing the proportion of bonds accordingly) when the expected stock price rises. Tactical asset allocation is driven by the expected change of income of a large class of assets. Often refers to the "reverse" buying and selling mode caused by market overreaction-selling when the value is overvalued and buying when the value is undervalued. Tactical asset allocation can also be carried out through derivatives such as stock index futures.
If investors are bearish on the market or an industry sector for a short time, they can short stock index futures in the futures market; If investors look at multiple markets or an industry sector for a short time, they can buy stock index futures in the futures market; If the market adjusts or investors change their minds, closing positions in the futures market can restore the original asset structure.
For example, many securities investment funds, especially balanced funds, mainly invest in stocks, bonds and money market instruments, and all three assets have a certain investment ratio. With the changing expected inflation rate, the company's profit information, and the constantly adjusted interest rate policy and other market changes, the return and risk of each asset will change, and the actual portfolio ratio will also deviate from the planned goal. Securities investment funds need to redistribute the investment proportion of different assets, convert some bonds in the portfolio into stocks, or convert stocks into bonds. In this case, stock index futures is the most effective way. For example, the asset allocation ratio of a securities investment fund plan is 60% stocks and 40% bonds. With the rise of stock prices, the current portfolio allocation ratio has become 70% stocks and 30% bonds. In order to maintain the planned investment goal without reducing the return of the portfolio, the securities investment fund manager can make the allocation ratio of the portfolio reach the expected level by selling stock index futures without adjusting the existing portfolio. The advantages of this operation mode are low market impact cost and low capital cost.
For securities investment funds, due to the changes in market hotspots, the fund's heavy stocks may face great liquidity risks. If the fund faces redemption risk at the same time, the realization of the shares held by the fund will bring about a sharp decline in the net value of the fund. By adjusting the stock index futures, the fund manager can keep the liquidity of the portfolio without reducing the return of the portfolio.
Comparing the two asset allocation strategies, we can find that the tactical asset allocation strategy can be realized only by buying and selling stock index futures in the futures market, without trading stocks in the stock market. Strategic asset allocation needs to be carried out in the futures market at first, and then traded permanently in the spot market.
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Asset allocation under the constraint of market conditions
Although investors' goal is to maximize returns under controllable risks, the behavior of most portfolios is restricted by many conditions. If a fund manager wants to invest all his assets in stocks, and laws and regulations restrict him to keep 5% of the monetary assets, in order to meet the constraints and achieve the investment goal, the portfolio manager can hold future positions while holding 5% of the monetary assets, and replace 5% of the stock portfolio with future positions, thus achieving the investment goal.
The use of such derivatives is particularly important for index funds. Due to the rigid legal requirement of 5% cash ratio, the existing domestic index funds (excluding ETFs) can only maintain 95% of the stock investment ratio at most, and cannot track the corresponding underlying index 100%, which is also the main reason why index funds generally deviate from the underlying index at present. With the introduction of stock index futures, this situation can be improved. For example, an index fund can maintain 94% of its stock position, and at the same time invest 0.6% of its capital in stock index futures, which can supplement another 6% of its stock position through the leverage effect of stock index futures, while the remaining 5.4% of its cash assets can meet the minimum cash requirement of 5%.
situation
Suppose an investor needs to always balance the investment allocation ratio of China bonds and stocks in his portfolio. The recovery of the domestic stock market in a certain year made him consider increasing the stock portfolio and reducing the national debt portfolio. At the beginning of September, it held a 20 million yuan SSE 50 Index portfolio and a 20 million yuan national debt portfolio. The investor is optimistic about the stock market prospects and plans to increase the stock portfolio to 75% and reduce the national debt portfolio to 25%. This requires an increase of 654.38+0,000,000 yuan in index stocks and a decrease of 654.38+0,000,000 yuan in national debt.
The allocation strategy adopted by the investor is as follows: it plans to sell the earliest maturity of 654.38+million yuan of government bonds and buy the SSE 50 stock index futures due for delivery in late September. Replace the spot market trading activities of buying 6,543,800 yuan of constituent stocks with the above futures trading operations (the handling fee is omitted).
If on September 2nd, the market price of the government bonds managed by the investor is 10 1. 125 yuan, the SSE 50 index on that day is 2890.93 points, and the September futures contract price of SSE 50 stock index futures is 2895.2 points.
First, calculate the purchase quantity of the September contract:
The number of September futures contracts to be purchased =100000 yuan /(2895.2×300 yuan/point) = 1 1.5 13 lots ≈ 12 (hands).
Since stock index futures trading must be an integer multiple of 1 lot, buy 12 lots.
12 contract funds = 2895.2× 300×12 =1042.272 (ten thousand yuan)
So before the close of the day, the investor sold 1042272 yuan of government bonds and bought 12 lots of September stock index futures contracts.
On September 18 (the third Friday), when the final delivery date of the September contract of stock index futures is settled, SSE 50 now refers to 3 199.69 points, and the final delivery price of the September contract of stock index futures is 3242.69 points. The stock market rose by 308.76 points (3 199.69-2890.93), equivalent to the income10.68% (308.76/2890.93×100%); On that day, the market price of treasury bonds was 10 1.205 yuan, only 0.079% \ [(101.205-1.125)]
At this point, the total value of the reconfigured portfolio is:
Portfolio value = futures contract value+stock value+national debt value
= 3242.69× 300×12/10 million yuan+2000×1.10.68 million yuan+(2000-1042.272) ×/kloc.
=1167.3684+2213.6+1033.3885 = 44143569 (ten thousand yuan)
At this point, if the traditional practice of buying a basket of stocks in the stock market is adopted instead of buying futures contracts, then the value of the obtained portfolio should be:
Portfolio value = (2000+1042.272) ×1.1068+(2000-1042.272 )×1.079 = 4400.579.
Conclusion: In the new asset allocation process, buying stock index futures instead of buying a basket of stocks in the stock market has similar final results, but the time, energy and transaction cost of the former are greatly reduced, which saves worry and effort.