At present, there are only futures of the Shanghai and Shenzhen 300 Index in China, and hedging is the downside risk of the Shanghai and Shenzhen 300 Index. Because there is an error in the trend of stock index and individual stock private placement, the error will affect the hedging effect. Therefore, before hedging, it is necessary to analyze whether the target is suitable for futures hedging, that is, to track and measure the beta value of individual stocks relative to the Shanghai and Shenzhen 300 Index, and the beta value should show the following two suitability:

Stable beta value: the beta value of a stock is constantly changing. If the variation range is small and the fluctuation is not frequent,

It means that the beta value is stable. If the β value is unstable, it means that the hedging position should be adjusted frequently during the hedging period, which greatly increases the hedging cost and reduces the hedging effect.

The Beta value is close to 1: the beta value of individual stocks is close to 1, which means that it has strong linkage with the stock index, which means that the hedging effect is better; Conversely, low correlation may lead to poor hedging effect.

2. Hedging needs to pay attention to the current basis change during the period.

Basis refers to the price difference between the spot price of a commodity in a specific place and a specific futures contract of the same commodity, that is, basis = spot price-futures price. In stock index futures trading, the risk brought by the uncertainty of basis fluctuation is called basis risk, which is one of the main factors affecting hedging efficiency. Before hedging stock index futures, investors need to know the trend of the basis change of stock index futures and choose the appropriate hedging varieties and open positions, so as to minimize the impact of basis risk on hedging transactions. When implementing selling hedging, try to hedge when the basis is large to obtain additional alpha income.

3. Hedging risk management

Position control: In the past 1 year, the maximum absolute value of the Shanghai and Shenzhen 300 Index was 5.6%, according to 5.

The leverage calculation is 28% of the volatility of the futures index. It is suggested that at least 30% of the available funds should be reserved in addition to the position margin to prevent the risk of strong leveling caused by the large fluctuation of the futures index. That is, the hedging position of stock index futures accounts for no more than 70% of the total equity of the account.

Account management: when the hedged futures account has a certain percentage of profit, so that the position accounts for less than 70% of the total funds,

A corresponding proportion of funds can be transferred out, so that the proportion of positions in total funds can be restored to 70%. The transferred funds can be invested in low-risk assets to improve the utilization rate of funds. On the other hand, when the position ratio is higher than 70%, it is necessary to replenish funds in time to prevent the hedge position from being closed due to insufficient funds.

Stop loss strategy: the downward trend of spot index ends and turns into a shock trend, and the rebound of futures price is greater than the opening price.

5%, hedging can be terminated early.

Proportion of opening positions in batches: opening positions is not completed at one time, but can be gradually opened in a period of time.