股指期货套期保值实例分析

2011-6-14 2011-6-15 2011-6-16 2011-6-17 2011-6-20 2011-6-21 2011-6-22 2011-6-23 2011-6-24 2011-6-27 2011-6-28 2011-6-29 2011-6-30 2011-7-1 2011-7-4 2011-7-5 2011-7-6 2011-7-7 2011-7-8 2.545 2.521 0.01225554 -0.009475 2.504 0.01164906 2.485 2.458 2.442 2.434 2.316 0.005325034 0.00974321 -0.0076168 2.3079 -0.00350354 -0.00686511 -0.0109246 2.2954 -0.0054309 -0.00971006 2.489 -0.01277462 2.478 -0.00442924 2.468 -0.00404368 2.498 0.012082306 2.497 -0.0004004 -0.0065306 2.2883 -0.003097936 -0.00468594 -0.0032814 2.2834 -0.002143624 -0.00315623 2.456 0.00899802 2.2934 0.004369872 0.008483398 2.455 -0.0004072 2.2934 0 -0.00026922 2.538 0.016286358 2.605 0.026056306 2.599 -0.00230592 2.594 -0.00192567 2.557 -0.01436639 2.587 0.011664207 2.588 0.000386473 2.644 0.021407545 2.64 -0.001514 2.49 0.01415595 2.3078 0.006259257 0.012233855 2.545 0.02184794 2.3282 0.008800747 0.018901664 2.542 2.542 2.504 -0.0011795 2.3307 0.001073215 -0.00080406 0 2.3321 0.000600498 -0.00044172 -0.0150617 2.3205 -0.00498647 -0.01147153 2.539 0.01388085 2.3328 0.005286583 0.010277213 2.538 -0.0003939 2.3348 0.000856972 0.000283171 2.596 0.02259543 2.3555 0.008826785 0.01760992 2.59 2.576 2.564 2.575 -0.0023139 2.3558 0.000127353 -0.00123352 -0.0054201 2.3533 -0.001061774 -0.00444112 -0.0046693 2.3499 -0.001445824 -0.00382294 0.004281 2.3522 0.000978286 0.003664779 2.622 -0.00684153 2.608 -0.00535374 2.623 0.005735057 表三： 基金组合加权收益率的方差（未套保） 0.1618

证券组合收益率和股指期货收益率的协方差 13

0.2876

股指期货收益率的方差 0.8279

套期保值比率β 0.734710055

14