Market neutrality trading is an investment strategy, which aims to achieve market neutrality by buying and selling stock index futures and stock portfolios at the same time. The goal of market-neutral portfolio is to eliminate market risks and make the portfolio gain stable income in the ups and downs of the market. The core idea of this strategy is to offset the market risk of stock portfolio through hedging, that is, to hold a certain number of stock positions in the stock portfolio and establish corresponding reverse positions in the stock index futures market. In this way, investors can maintain a relatively stable return on investment when the market fluctuates. The advantage of market neutral trading is that it can help investors get rid of dependence on market trends and reduce the systemic risk of portfolio. No matter whether the market is up or down, investors can maintain the stability of their portfolios through hedging operations. Market neutral trading can also provide a certain degree of leverage effect and increase the potential of investment return.