加入富融期权QQ群 银行从业资格考试 中国金融从业资格考试在线训练平台  

期指套期保值应如何设定贝塔系数

[ 16514 查看 / 3 回复 ]

有些专家认为,在套保中,如果现货和期货是“主从”的关系,则不用费时费力地估计贝塔系数,直接将β简单地设为1即可。笔者研究认为,β系数的选择应该根据投资主体和套期保值目的等不同,而区别对待。投资者应该根据自身情况,合理地估计和设定β值,在实战中不可死板地将β定为1。此外还需对β实施动态管理,做到及时更新。

  股指期货上市交易以来,已平稳运行两月有余,根据中金所提供的数据,机构投资者占整个开户数的3.2%,占总成交量的1%,和国外成熟市场相比,机构投资者的占比偏低。中金所正逐步吸引机构投资者参与股指期货,完善市场结构,发挥股指期货的套期保值功能。

  为了帮助广大投资者提高套期保值实务操作能力,中金所邀请国内外一流股指期货实务专家,定期举办股指期货套期保值研修班,笔者有幸参与了其中一期。专家们从理论和实战两个方面毫无保留的介绍,让笔者感觉受益匪浅。然而讨论中,笔者发现有很多投资者就如何设定贝塔(β)系数这一问题存疑颇多。下面简要介绍一下笔者对该问题研究心得,希望能够起到抛砖引玉的作用。

  关于β问题最多的是如何设定β系数,用哪个计量模型估计β,是否需要对β进行动态管理?有些专家认为,在套保中如果现货和期货是“主从”的关系,则直接将β简单的设为1即可。主要原因是很多人为了β系数的估计细节,往往裹足不前,畏首畏尾,错失套保的最佳时机。而将β系数设为1虽然不是最好的做法,但却是一个结果不差的选择。

  笔者认为β系数的选择应该根据投资主体和套保目的等不同,而区别对待。如果投资主体是规模较大的社保基金、资产管理公司或跟踪大盘的指数基金等,其在配置资产组合时,经常多元化配置,其投资组合的β系数有可能在1附近,这些机构在做套保是时,将β设为1不失为一种简单、省时、有效的选择。

  但是,如果投资主体是资金有限、规模较小的基金,或者是以单一行业为投资目标的基金或私募,简单地将β系数定为1将面临一定的风险。例如,市场上主要投资于低碳经济概念的汇丰晋信低碳先锋基金(540008)和国内第一只以“低碳经济”为投资主题的私募股权投资基金--浙商诺海低碳基金,主要投资“低碳概念股”,而低碳行业的β系数为0.83,期指主力合约6月25日收于2754点,按照2亿元的基金规模计算,β系数为1和0.83对应需要买卖的期货合约分别为242和200手。显而易见,这时简单地将β设为1,则有20%左右的风险敞口。此外,如果投资主体是“大非”, 由于个股的β系数差异很大,则更要认真计算所持股票对应的β系数,简单地将β设为1会承受很大的风险。

  如果套保的目的只是为了完全规避风险,笔者认为那些β系数在[0.9,1.0]区间之外的行业,如医药、生物制品行业(β系数0.82)、采掘业(β系数1.25),应该尽量选择本行业自身的β系数,按照β系数为1计算的期货合约数量将会使投资者承担很大的风险。

  如果套保的目的除了完全规避风险之外,还要获得一定的收益,不可否认,在某些时候简单地将β设为1可以起到一定程度的“随涨抗跌”作用。这是因为,如果机构投资者预期大盘将会上涨,所以挑选β系数高 、攻击力强的股票;或者也有可能是因为某些股票处于超跌状态(例如近期地产股跌的很多),认为已跌到底,再跌的概率不大。相反如果反弹起来,会比大盘涨的更多。在决定避险时,β系数采用大于1的值 ,就等于抹杀了自己的选股布局,这时将β设为1会起到一定的积极效果。但需要指出的是,这种效果是建立在投资者正确判断大盘趋势的基础之上的。如果判断错误,负面效果也极其明显。

  对于在现货上投资动则上亿的机构投资者而言,β系数的选择直接关系到套期保值的成败,投资者应该根据自身情况和套保目的等不同,合理的估计和设定β值,在实战中不可死板的将β定为1。投资者还需对β实施动态管理,及时的更新β值。
本主题由 版主 本网编辑 于 4/7/2012 3:36:42 AM 执行 设置精华/取消 操作
分享 转发
http://if.frontimall.com  富融股指期货网:专业人员管理的股指期货投资论坛
TOP
购买期货从业考试在线训练卡

Lythgoe said the most significant change introduced last year had nothing to do with the judges It was a decision to avoid those fish-out-of-water moments that forced very talented singers to sing in styles that didn't suit them.
TOP

让人看后在各论坛纷纷转贴的好帖
TOP

Construction workers louga priceless and his altercation,mulberry bags, shot a mallet,merely with a meter long angle slam his navel spleen removed resulting in the other.Yesterday morning Pengshan shire court hearing the circumstance as the Supreme Court determined the sentencing standardization pilot court,aboard how long your sentenced to discipline transformed louga trial focus.
According to the Supreme Court sentencing guidelines,jordans, prosecutors recommended as defendants sentenced to three years and eleven months and 15 days.While the term,is based aboard the defendant's criminal plot,along to the ratio of addition and subtraction.
Province House related to the scene aboard the sentencing process to inspect.Reduction case as over 44 years the workers injured louga namely priceless in Pengshan County,afterward Peng Xizhen Jinjiang street to the "water side" residential construction site work.
In May 27th this annual because of the go division and his argue with Xu Fuliang Xu Fuliang, and the stem in-laws -- Xie Lunjun grappled with the.Louga your picks up a solid angle,hermes handbag, forced surrounded the navel struck the past.
Xie Lunjun was knocked to the floor.See Xie Lunjun seriously, louga your call for an ambulance, hospital destruction for splenic burst within the day Xie Lunjun made the excision operation.After identification, Xie Lunjun injury severity for the solemn injuries,disability rating of seven treads of disabled.
Prosecutors recommended along to the percent calculated sentence yesterday,hermes Birkin handbags, the court listening the circumstance.The tribunal trial into the sentencing dispute session, the prosecution to the tribunal elaborated: "sentencing basis within consensus with the Supreme People's court sentencing guidelines, we suggest that the court sentence its set term of imprisonment of three to 5 years, and not probation.
"According to prosecutors,Isabel marant shoes, criminal decree criminal crime of intentional injury, causes caustic injury to the person, department for more than three years of fixed-term imprisonment of 10 years.According to the sentencing guidelines, the circumstances of the crime of intentional injury amid common,cause 1 folk injured, the beginning point for the 3 to four years.
The prosecution case,make sure the louga priceless starting point as three years and six months.Each additional class of disabled can be increased 1 ~ 3 months imprisonment,seven treads of disability ought be increased from four to 12 months,hermes bag,air jordans,At the beginning of 1993 5, the prosecution identified increased eight months.
Procuratorial organs make sure the louga your baseline penalty for four years and two months.At the same duration,according to your characteristic circumstance louga, regulating reference sentence.Sentencing guidelines set,hermes handbag, with fatigue misdeeds, can adding the baseline sentence below 10%, prosecutors identified increased 5%; use the weapon of abuse to others, can appending the baseline sentence beneath 20%,cheap air jordans, prosecutors identified 5% confession; belongs to the facts of the guilt can diminish the reference sentence below 20%, prosecutors identified reduced 10%; the victim namely prevalent error can lessen the reference sentence beneath 20%,was born in 1983., prosecutors identified 10% abatement.
This is down,mulberry uk, louga your sentence should be diminution from baseline penalty 5%, namely the regulation next the baseline sentence for three years 11 months and 15 days.The prosecution, sentencing recommendations,Isabel marant boots, you impartial said hope louga court sentenced accessible protected,characteristic according folk.
Adoption of recommended sentenced to imprisonment as four years next the trial, the collegial panel subsequently the collegiate,jordans sneakers,mulberry handbags, the sentencing court.The Court adopted the procuratorial conviction opinion, your exercise for louga.
For a characteristic term, the Court adopted the procuratorial sentencing starting point and set the benchmark for discipline,within specific regulation,mulberry, the court has labor misdeeds,hermes,hermes bag, increased baseline sentence of 7%; use the weapon of harming others, increased baseline sentence of 10%; to confess the truths of the crime criminal victim has reduced the benchmark 7%; mutual mistake reduced baseline discipline 10%.
TOP
在线购买学习卡