1. What is the basis and what does it show in futures?

Basis refers to the difference between spot and futures prices above the futures market, so it can also be said that the future trend of basis represents the trend of market futures prices.

Generally speaking, basis is related to stock index futures, mainly because stock index futures have three functions: risk aversion, price discovery and asset allocation. Mainly the price discovery function, which can reflect the price expectation at a certain moment in the future and lead the stock market to rise and fall, mainly through the basis difference. In other words, the abnormal positive basis indicates the future stock market, and the trend may develop well, while the abnormal negative basis indicates the future stock market, and the trend may fall.

Second, what is quantitative hedging? The influence of negative basis on quantitative hedging mainly includes the following points:

Quantitative hedging mainly refers to the concepts of quantification and hedging, in which quantification mainly refers to guiding investment by means of statistical methods and mathematical models, and its essence is the quantitative practice of qualitative investment; Then hedging refers to preventing the risk of financial market changes by managing and reducing the risk of portfolio system, and finally obtaining relatively stable income.

1. The hedging problem only lies in the relationship between the expected annualized rate of return of the benchmark index and the future position of the target, and has nothing to do with the excess return of the excess index;

2.2. The expected annualized income of the alpha strategy should be decomposed into the expected annualized income of the excess return strategy relative to the benchmark index, plus the expected annualized income of the benchmark index and future positions. Hedging is only the relationship between the expected annualized return of benchmark index and future positions, and has nothing to do with the excess return of excess index;

3. In the negative basis environment, the position 1: 1 not only bears the fluctuation of the expected annualized return of the portfolio, but also bears the loss of negative basis recovery;

Seeing this, everyone should know the influence of negative basis on quantitative hedging. Want to know more about investment knowledge, please pay attention to us!