Without alpha strategy, there is little that can be done to completely track the Shanghai and Shenzhen 300 Index, that is, tracking error. According to the number of points, it can be less than 0.2 points, which is the minimum fluctuation range less than IF.

The biggest transaction cost is stamp duty, 1000 yuan, which is the impact cost, because buying a stock portfolio requires a quick scan. In order to prevent risk exposure in time, it is basically the current price of the opponent's price, and what price to take (basically all transactions can be completed in a few seconds). If the transaction cost is calculated by point, it is about 8/9 points (corresponding to stock index futures)

The arbitrage interval is a pure copy of CSI 300 without alpha. The arbitrage interval is basically the spread between the IF stock index and the CSI 300 index. Just pull a trading software and you can see it. When the market capital is tight or the market fluctuates greatly, the arbitrage interval will exist. For example, the price difference widened a lot on the day of the last Everbright accident. It belongs to the machine trading system and can make money without lying down.

Whether the point fitting is good or not is not the key, and the fitting can be very good.

A slightly larger combination would be more suitable. Because the corresponding stock index futures have many operations, a large amount of funds, and the stock portfolio has high accuracy (because the stock can only be 100 shares for accuracy, sometimes it is necessary to buy 150 shares after calculation).

Although the accounts are basically opened, the reason why margin financing and securities lending are not done is high cost and uneconomical. The cost of holding positions every day is nearly one point. I was not in the mainland before the refinancing went online. So I stopped paying attention after surfing the internet.

Let's start with some technical aspects. In fact, the technical difficulty of pure tracking index is not high.

Many alpha strategies have the potential to find the alpha factor.

It is to screen stocks through various conditions, such as the alpha factor of industries, increase the proportion of some industries in the stock portfolio, reduce the proportion of some industries, and then output new portfolios. This is a direction, but basically it will last longer.

Another direction is to do pure profit arbitrage. Is to adjust the portfolio to increase the volatility of the portfolio, the position will not be long, but you can use a certain leverage to expand and spread to make a profit.

In fact, both of them use a certain risk exposure in exchange for excess returns. Only it can be more flexible than the ordinary Public Offering of Fund way.