Three arbitrage strategies+three hedging strategies Two experts explained the practical skills of stock index futures in detail. Mu Qiguo, a senior researcher at Essence Securities, delivered a keynote speech on practical topics such as investment strategy and related risks of stock index futures at the "2007 Senior Seminar for Institutional Investors in China". Jiang Tao, a senior consultant in jinrui futures who has many years of experience in commodity futures, put forward several strategies to avoid risks and several key elements in the arbitrage process of stock index futures. Mu Qiguo believes that the investment strategies of stock index futures can be divided into three categories: arbitrage strategy, hedging strategy and trend trading strategy. According to him, the data of Hong Kong market in 2004 -2005 showed that arbitrage strategy accounted for 6%- 12%, hedging strategy accounted for 9%-45%, and trend trading strategy accounted for 36%-57%. Arbitrage can be divided into vertical arbitrage (futures and spot arbitrage), horizontal arbitrage (futures and futures arbitrage) and mixed arbitrage. Among them, horizontal arbitrage can be divided into horizontal intertemporal arbitrage, cross-commodity arbitrage and cross-market arbitrage strategies. Mu Qiguo pointed out that arbitrage can be realized through three steps: discovering arbitrage opportunities, formulating arbitrage strategies and arbitrage operations. In the process of discovering arbitrage opportunities, we should grasp the reasonable interaction and law between the prices of investment varieties, find out the fluctuation deviation beyond the normal range, and analyze the reasons; Analyze the factors that will correct the price deviation in the future and send out arbitrage signals; After estimating the time span, arbitrage strategies, objectives and risks can be formulated. Arbitrage operation can follow the following strategies: buy undervalued varieties and sell overvalued varieties at the same time; Monitor the risk and return of the portfolio and decide to continue to add positions, remain unchanged or stop losses; When the spread converges, the target is reached and the position is reversed in time. Mu Qiguo analyzed the hedging strategy from the aspects of hedging under the condition of constant basis, long hedging under the condition of variable basis and short hedging under the condition of variable basis. He believes that the essence of trend trading is to pursue a high probability event. As an institutional investor, we should pursue a high probability profit rate, that is, 80% of the profits come from 20% of the transactions. The top five industries in the Shanghai and Shenzhen 300 Index (accounting for 46.8%) are finance, steel, real estate, food and electricity, which are interest-sensitive industries. When shorting the Shanghai and Shenzhen 300 Index, the pharmaceutical and other industries have a prominent strategic position. Jiang Tao believes that three hedging strategies can be used to avoid the investment risk of stock index futures: short futures (holding spot and short futures), long futures (holding spot and short futures) and cross hedging. He also summed up several key elements of stock index futures arbitrage-spot portfolio simulation efficiency, event prediction of underlying index components, margin management, transaction cost control and trading rules constraints, among which the first three are the key issues that need to be paid attention to when opening positions.