股指期货套期保值策略在股票型开放式基金风险管理中的应用

Risk Management Using Stock Index Futures to Hedge Risk Exposure in Stock Open-Ended Fund

文章以沪深300指数中的IF0912合约为例,将双变量GARCH模型引入股票型开放式基金的风险管理中,实证研究股指期货套期保值策略在股票型开放式基金风险管理中的应用。研究结果表明:最小方差套期保值策略与时变套期保值策略虽然并不能完全消除风险,但相比未套期保值策略来说,采取套期保值策略可以降低股票型开放式基金的VaR(在险价值),其中基于双变量GARCH模型的时变套期保值策略的保值效果最佳。

Stock open-ended funds invest their majority capital in the stock portfolio and allow its investors to redeem at anytime.Its performance is influenced easily by the stock market trends.The stock index futures are introduced in China,we must pay attention to the using of IF0912 contracts which can simulate the Shanghai and Shenzhen 300 Index futures to manage the risk in stock open-ended funds.The primary study is the stock index futures hedging strategies.On this basis,we judge the non-hedging strategy,the minimum variance hedging strategy and the time-varying hedging strategy.After comparing the outcomes of these hedging strategies,we get the final conclusion： although the time-varying hedging strategies can not eliminate risk completely,the time-varying hedging strategy can still reduce the stock open-ended funds＇ VAR very well.