First, stock index futures trade the future value of the index, and trading in the form of margin has an important leverage effect. According to the rules designed now, the leverage ratio of Shanghai and Shenzhen 300 index futures in the future is about 10 times, and the efficiency of capital utilization is high, while ETF is currently an index spot with all cash transactions, and there is no leverage effect.
Second, the minimum transaction amount is different. The minimum margin of each stock index futures contract is 1 10,000 yuan, and the minimum trading unit of ETF is the first hand, and the corresponding minimum amount is about 100 yuan.
Third, the trading of stock index futures does not include the dividends of index constituent stocks, while during the holding of ETF, the dividends of the underlying index constituent stocks belong to investors.
Fourth, stock index futures usually have a definite duration, and the maturity date needs to track the index, and new stock index futures contracts need to be bought again, while ETF products do not renew their contracts.
Fifth, with the different expectations of investors, the trend of stock index futures may not be completely consistent with the index, and there may be a certain discount and premium. The degree of discount and premium depends on the amount of arbitrage funds and arbitrage efficiency, while the trend of ETF net value that completely passively tracks the index usually maintains a high consistency with the index.
ETF can do spot hedging.
Through the above comparison, we can see that although they are both index tools, stock index futures and ETFs have different product characteristics and are suitable for different types of investors. At the same time, from the development experience of foreign mature capital markets, due to the need of risk management, there is an important interaction and complementary relationship between spot products and futures products of the index.
Zhang Yun financial circles predict that with the introduction of domestic stock index futures, the trading activities of related index spot products will also be affected. Considering that the currently designed Shanghai-Shenzhen 300 index futures have no cross-market ETF as a direct spot hedging tool, it is not difficult to find that the correlation between the combination of Shenzhen 100 and SSE 50 index and the Shanghai-Shenzhen 300 index has reached 99.4%, and the ETF products related to the two indexes have sufficient liquidity and relatively perfect arbitrage mechanism, and their combination is also an important spot hedging tool for Shanghai-Shenzhen 300 index futures.