Hedging hedges the systemic downside risk of the stock index, not the risk of individual stocks, so the timing of hedging is not to judge the trend of individual stocks, but to judge the trend of the stock index. For the analysis of stock index trend, it is necessary to combine fundamental and technical analysis.

Fundamental analysis: domestic and international macroeconomic trends, capital supply, national policy orientation, and international macroeconomic policy changes.

Technical analysis: Use the trend line and wave theory to make clear the trend pattern (rising, falling or consolidation) and its stage.

Judging the strength and level of the market according to the angle of the trend line and the moving average system, judging the top and bottom in combination with the K-line shape, and defining the main support level and resistance level (pre-high and low points, trend line, Fibonacci turn-back position, channel up and down track).

2. Hedging method and duration

The purpose of private placement is to protect the market value of private placement, so it belongs to selling hedging. Hedging is determined according to the trend strength and level of the stock index.

3. Stock index futures contract selection

According to the duration of the hedging plan and the price difference between each contract and the spot, choose the appropriate stock index futures contract. Although it is necessary to choose the most liquid main contract in theory, considering the large scale of the main contract of stock index futures, the influence of liquidity is weakened; Moreover, since the listing of stock index futures, the spread between the far-month contract and the spot has become larger, and hedging with the far-month contract may obtain alpha income. Therefore, considering the long lock-up period of private placement, the far-month contract can be appropriately selected for hedging.

4. Calculate the optimal hedging ratio

Because the private placement of shares does not completely track the trend of spot index, its hedging belongs to cross hedging, so,

Calculating the optimal hedging ratio becomes the key to the success of hedging. Hedging ratio is usually equal to the standard covariance of spot stock yield and Shanghai and Shenzhen 300 index yield, that is, β value. Generally, the autoregressive conditional heteroscedasticity model (GARCH) is selected to calculate the β value of portfolio, and the hedging effect is better.

5. Calculate the number of required stock index futures contracts.

Calculate the optimal hedging ratio, multiply the optimal hedging ratio by the total value of spot assets and then divide it by the value of each stock index futures contract, thus calculating the required number of stock index futures contracts. As long as you get the β value, you can get the optimal number of stock index futures contracts?

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APAPhNβ==？

P is the value of spot portfolio; A is the value of the stock index futures contract.

6. Dynamic adjustment of hedging position

In the process of hedging, in order to improve the hedging efficiency, it is necessary to dynamically adjust the hedging position, and the principle of adjustment is fundamental.

According to the change of beta value, when the beta value changes obviously, the number of futures contracts needs to be adjusted in real time. When there is a high correlation between individual stocks and Shanghai and Shenzhen 300 Index, the change of β value is small, so the standard of 5%β value change range can be used to adjust the hedging position; When the correlation is low, the beta value will fluctuate violently, and the hedging position can be adjusted by adjusting the time period of 5 days.