We take an investor who holds a portfolio as an example to illustrate the actual operation of selling hedging. The investor held the portfolio on August 1 day, and the yield reached 10%. In view of the uncertain market outlook and the possibility of decline, he decided to use the Shanghai and Shenzhen 300 stock index futures for hedging. Assuming that the present value of its portfolio is 500,000 yuan, the beta coefficient between this portfolio and the Shanghai and Shenzhen 300 Index is 1.33. August 1, spot index 1282, futures index due in February 1322. Then the number of futures contracts sold by the investor: 500,000 ÷ (1322×100 )×1.33 = 5.03, that is, five contracts. 65438+February 1 day, the futures index fell to 1 182, and the futures index fell to 12 17, both of which fell by about 7.8%, but the stock price fell by 7.8% ×1.33. The stock loss is 500,000×10.37% = 51.850 yuan, which makes the balance and 650 yuan gain.

If the futures index and futures index both rose by 5% in 65438+February 1 day, futures index rose to 1346 and futures index rose to 1388, then the stock rose by 5%× 1.33=6.65%. There is a balance between the two, as well as 250 yuan's profits.

As can be seen from the above example, after being sold as a safe haven, no matter how the stock price changes, the final income of investors basically remains unchanged, thus achieving the purpose of avoiding risks.

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.

Then there are: β = x1β1+x2 β 2+...+xn β n.

Purchase hedging

Take the portfolio of three stocks as an example to illustrate buying hedging.

Suppose an institution promises that the funds of 103 million will arrive on June 810 on February 8. The institution takes a fancy to three stocks, A, B and C, and the current prices are 10 yuan in 5 yuan and 20 yuan respectively. It is planned to invest100000 per share, and buy 200000 shares respectively. However, the institutional funds will not arrive until June 5438+February. 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 is 65438 1322 points, and the multiplier of each point is 100 yuan. The beta coefficients of the three stocks are 1.5, 1.2 and 0.9 respectively. To calculate how many futures contracts to buy, we must first calculate the beta coefficient of the stock portfolio:

The beta coefficient of this stock portfolio is1.5×1/3+1.2×1/3+0.9×1/3 =1.2.

The futures contract to be bought is 300,000 ÷ (1322×100 )×1.2 ≈ 27.

Assuming the margin ratio is 12%, the required margin is1322×100× 27×12% ≈ 430,000.

By 65438+February, 10, the institution had received 3 million yuan as scheduled, but during this period, the index had risen by 15% to 1520, and A shares rose by15% ×1.5 = 22. B shares rose15% ×1.2 =18% to1.80 yuan; C shares rose 15%×0.9= 13.5% to 22.70 yuan. If you buy 200,000 shares, 65,438+/kloc-0,000 shares and 50,000 shares respectively, you need funds: 6.12× 200,000+10,000+22.7× 50,000 = 3.539 million.