How to manage investment risk by using Shanghai and Shenzhen 300 index futures? Since the birth of 1982, stock index futures have become an important financial tool for investment risk management. Both institutional investors and individual investors can use stock index futures to hedge. When investors can't grasp the future market trend, in order to prevent the risk of stock price fluctuation, we can control the risk by shorting or making multiple stock index futures contracts, thus realizing the function of hedging. The reason why stock index futures can hedge is that there is a correlation between stock prices and the changing trend of stock index futures prices. The following example illustrates how to determine the number of stock index futures that should be hedged, that is, the hedging rate. Taking Shanghai and Shenzhen 300 stock index futures as an example, the hedging rate H=V×β/ (Shanghai and Shenzhen 300×300) H= the number of stock index futures to be traded, V= portfolio value, and β = portfolio β, which comes from the asset pricing model. The Shanghai and Shenzhen 300 is the current price of the Shanghai and Shenzhen 300 index, and the multiplier of the Shanghai and Shenzhen 300 stock index futures contract is planned to be 300 times. Here, the β coefficient of portfolio is a parameter to measure the system risk, which reflects that the investment structure is very important, mainly based on the historical system risk parameter, thus accurately reflecting the correlation between the future portfolio and the expected annualized expected return of the market. At the same time, stock index futures can also adjust the system risk parameters according to investors' market forecasts and risk preferences, thus increasing the possible profit space. Investors usually own more than one stock. When they have a stock portfolio, it is necessary to measure the beta coefficient of this portfolio. Suppose there are n stocks in the portfolio P, the capital ratio of the nth stock is xn (x1+x2 ...+xn) =1,and βn is the β coefficient of the nth stock. There are: β = x1β1+x2 β 2+...+xn β nLet's take the portfolio of two stocks as an example to illustrate buying hedging: suppose an institution promises to receive 12 22 on September 29th, and1000000, and the institution takes a fancy to A and B, however, When the market is bullish, the stock price will rise a lot when the funds are in place. Faced with the risk of stepping out, the institution decided to buy stock index futures contracts to lock in the cost. The Shanghai and Shenzhen 300 futures index due in February of 65438 is 1403 points, each point is multiplied by 300 yuan, and the β coefficients of the two stocks are 1.3 and1. To calculate how many futures contracts to buy, we must first calculate the beta coefficient of the stock portfolio: the beta coefficient of the stock portfolio is1.3x1/2+1.1/2 =1.2, and the futures contract to be bought is100. ≈ On February 22nd, the agency received 100000 yuan as scheduled, but the required deposit was1403× 300× 3×10% ≈126000 yuan. B shares rose15% ×1.1=16.5% to1.65 yuan. If you buy 65438+100,000 shares and 50,000 shares respectively, you need 5.975×10000+1.65× 50000 =1180,000 yuan, with capital. Because they were long in index futures, they sold the futures contract and closed their positions at 65438 on February 22nd. The expected annualized income is (1613.5-1403) × 300× 3 =189450, which makes up for the funding gap. It can be seen that the institution hedged the assets of 6.5438+0.3 million yuan with less than 6.5438+0.3 million yuan, avoiding the risk of shorting the market and receiving good hedging effect. It should be noted here that the relationship between the market and individual stocks may not completely change according to the calculated β coefficient relationship, which will cause hedging risk, but hedging can still play an effective role in managing investment risk.