It is generally believed in the market that stock index futures have the function of "value discovery", that is, they can reflect the expectation of future prices more, and can also show the role of leading the stock market to rise and fall. This effect is mainly reflected in Mr. Basis's temper. For example, Mr. Basis is very excited-an unusually positive basis indicates that the stock market may improve in the future, and Mr. Basis is unhappy-an unusually negative basis indicates that the stock market may fall in the future.
For example, on T 1 day, the Shanghai and Shenzhen 300 index is 3500 points, and the Shanghai and Shenzhen 300 futures contract is 3550 points in the same month, so the basis of that day is 50 points.
If the Shanghai and Shenzhen 300 Index is still T2 3500 points and the Shanghai and Shenzhen 300 futures contract is 3400 points in the same month, then the basis is-100 points. This means that investors in futures are beginning to bearish on the future Shanghai and Shenzhen 300 Index.
The most obvious example is that in the recent major adjustment, in the case of extreme panic in the market, the basis difference between the Shanghai and Shenzhen 300 and the CSI 500 is even as high as -200 points. Mr. Ji Cha's unhappy performance shows that the flowers in investors' hearts are not in full bloom.
The arbitrageur came, and Mr. Cheap became a good boy.
The second spot arbitrage makes the basis fluctuate in an orderly way, the chance of pure spot arbitrage decreases, and the pricing efficiency of stock index futures improves, which is closer to the trend of spot index.
In addition to reflecting the future expectations of the market, on the other hand, almost the same thing (such as the Shanghai and Shenzhen 300 Index) is sold at different prices in two different markets (spot and futures) because of the existence of Mr. Basis. Well, here's your chance. Smart funds start to buy in the low-priced market and then sell arbitrage in the high-priced market. The names of these speculators are now arbitrage traders.
An obvious result of the emergence of spot arbitrage traders is that Mr. Basis has become a good boy-the fluctuation of basis is more orderly, there are fewer arbitrage opportunities in the spot, and the pricing efficiency of stock index futures is higher, so futures index has gradually become a very effective tool for stock spot hedging.
Smart funds don't have much chance to see the basis, so they have to make a fuss about the spot side of the stock. Thanks to the orderly fluctuation of the basis, the futures index can be more closely linked with the performance of the Shanghai and Shenzhen 300 Index. As a result, this has brought another wave of gold diggers. Their names are hedge traders. One of the most famous is the hedge fund manager, a quantitative hedge trader with programmed trading. All doctors are looking up and are proficient in data models and computer programming.
Hedge fund managers use the stock selection ability of their quantitative stock selection model to hedge against stock index futures, thus earning alpha excess returns stably. This kind of strategy is what people often say now, which is also called market neutral strategy.
They can pay more attention to the performance of the stock portfolio. As long as the spot stock portfolio outperforms the index, they can stably earn the alpha income created by the strategy.
Hedge fund managers swarmed in, and Mr. Cheap appeared frequently again.
Mr. Basis, whom hedge traders love and hate.
3 Basis plays a role in fueling the market-neutral strategic products. Whether to increase profits or expand losses depends on Mr. Basis's mood.
We know that the market-neutral strategy is to buy a basket of stocks and short index futures at the same time, so that the final income of the hedging strategy comes from the stock-side combination alpha income and the futures-side basis income, which also affect the net value of market-neutral products.
The ideal situation is that Alpha and Basis make money at the same time, and the worst case is that Alpha and Basis lose money at the same time. This ideal state often happens, and tragic situations are also visited from time to time. Among them, Mr. Ji Cha also plays an important role.
Let's look at an example: for example, when a neutral strategic product in a market opens a position to buy a spot stock portfolio.
The Shanghai and Shenzhen 300 Index is 3500 points, and the corresponding index futures contract is 3550 points, so the daily basis is 50 points.
We know that Mr. Basis has a rule that every time period must be cleared-according to the settlement rules of futures index, the third Friday of the expiration month of futures contract is the delivery date, at that time, "these almost identical things in different markets" will become exactly the same price, that is, the basis will be zero.
Then the problem is coming. After a period of operation, the stock portfolio performed well, far outperforming the index 10%. On the T day near the delivery date, the Shanghai and Shenzhen 300 Index is still 3500 points, and the Shanghai and Shenzhen 300 futures contract is 3400 points on that day, so the basis is-100 points.
Honey, the ideal state comes unexpectedly. If hedge fund managers close spot stocks and short index futures contracts at this time, they will lock in the double income of alpha and basis: 10% excess income plus 150 basis income. This ideal situation occurred in the 1507 contract just after the delivery date.
Of course, it is also possible to encounter a tragic "Davis double play"-the stock portfolio did not outperform the index and the basis rose sharply. This extreme situation recently appeared in 65438+February last year. At that time, the blue-chip stocks represented by Shanghai and Shenzhen 300 soared, which led to the spot stock portfolio of many hedge funds falling behind the Shanghai and Shenzhen 300 index, which eventually led to a retreat (loss).
Besides, Mr. Chicha sometimes falls when he's down. The Shanghai and Shenzhen 300 index soared, causing investors to continue to be bullish on the future market. The Shanghai and Shenzhen 300 futures contracts rose by more than 50 points, which made neutral strategic products with low basis positions also bear the basis risk.
Regularity of Mr. Giza's Works: Law of Delivery Date
The existence of the delivery date allows the foundation to be cleared and then reassembled. The basis loss of market-neutral strategic products is sometimes just a floating loss.
However, the loveliness of Mr. Basis is that the basis is reduced to 0 by the delivery date. Therefore, in terms of the contribution of neutral products in the market, the market will slowly correct the temporary basis loss, which will be compensated to you later. Therefore, when we calculate the maximum withdrawal amount of neutral products in the market, we can often eliminate the losses caused by the basis difference.