基于协整的指数增强和对冲策略初探

Exponential Enhancement and Hedging Strategy Based on Cointegration

以上证50指数为研究对象,选取2010年1月至2016年12月的所有周收盘价数据作为研究对象,通过协整模型分别探究了指数追踪、指数增强和指数对冲模型,结果发现:在原指数上增加一定收益率的基础上,滚动协整模型可以取得很好的指数追踪效果,获得超越市场指数的超额收益;但过大的超额收益率设置会导致样本外数据出现极大的偏差,从而无法达到指数追踪的效果;通过将指数增强和指数减弱模型进行对冲的指数对冲模型能够较好地实现无风险收益。

Taking the data of all the weekly closing prices from January 2010 to December 2016 as the research object and with the cointegration model , the paper explored the index tracing, exponential enhancement and index hedging model respectively. The results show that if we increase a certain rate of return on the original index, the rolling cointegration model woould achieve a good index tracking effect and excess returns beyond the market index. However, too large excess rate of return will lead to significant da- ta deviation out of the samples, the effect of index tracing would not be achieved . By hedging between the exponential enhancement model and the exponential attenuation model, we can realize the risk -free return.