Top Five Futures Exchanges Gather in Shenzhen to Discuss the Path to Building World-Class Exchanges
On December 7th, the 19th China (Shenzhen) International Futures Conference...
The recent move by China’s securities watchdog to limit leverage available to hedge funds using the DMA-Swap strategy for stock trading has far-reaching implications for the financ...
The DMA-Swap strategy, an increasingly popular leverage and derivative strategy that helps Chinese hedge fund managers to skirt regulatory borrowing limits by having trades sit on brokers’ books, is a...
Many institutional investors and the OTC traders will make their own estimations of the index futures discount level for the future, such as IV of the OTC products represent the expectation of OTC t...
CSRC strictly controls the “fake foreign investment” via Shanghai/Shenzhen-HongKong Stock Connect, the comment from one Securities Company is: Regulate the northbound return transactions of mainland i...
Rui Tang, Deputy General Manager of Shenzhen Stock Exchange: Promote high-level opening up and enhance the influence of A-share pricing
On December 5, Rui Tang, deputy general manager of the Shenzh...
Ruirong Huo, General Manager of CFFE: Promote the high-quality development of the financial futures market with the spirit of reform
On December 5th, Ruirong Huo, general manager of China Financial...
Xinghai Fang, vice chairman of the China Securities Regulatory Commission, said that eligible leading futures companies are encouraged to go public for financing
Xinghai Fang, vice chairman of the ...
Stock Index Enhancement strategy with index futures
1.1 Basis of the strategy design Since 20th Dec,2019 to 30th Nov,2021, annualized return from hold and roll front month IF contract is 14.7%,annu...
Since the application for the first index-enhanced ETF was submitted in 2019, the first batch of index-enhanced ETFs was officially approved recently and will be available for sale on the 22nd. When o...
Since November, the number of filings for private equity fund products has increased significantly from the previous month. According to statistics from the website, as of November 21, private equity ...
Broker's view:
Since mid-October, the valuation divergence of the CSI 500 Index has hit a record high. We believe that there are two main reasons for differentiation to new highs. First, under the ...
According to analysis, quantitative private equity has continued to experience drawdowns since October due to various reasons. Including "lack of liquidity", "extreme market differentiation", "style s...
Stock index futures holdings of public funds at the end of the third quarter of 2021
Both the number of stock index futures public offering products and the number of institutions held have reached...
This morning, a private equity source disclosed that he received the "Notice on the Online "Quantitative Private Equity Fund Operation Report"." According to the requirements of the notice, in order t...
Policies to encourage private funds to scale up
New asset management regulations have led to a large amount of bank wealth management funds withdrawing from real estate and entering the secondary mar...
1. View on the crash of CSI500
https://xueqiu.com/5686604370/198918586
The crash of CSI500 index has some relationship with the limiting electricity policy as there're many energy, chemical ...
How to view the quant trading and stock trading volume surge in China market objectively?
https://www.gelonghui.com/p/485832
No efficient securities lending shorting, the longs can contr...
It has been exactly one year since insurance institutions entered the market of government bond futures.
Although not long, insurance institutions have entered the stock index futur...
What environment is conducive to the small-cap market and what environment is conducive to the large-cap market?
First, the environment that is conducive to the large-cap blue-chip stocks: ① The ma...
After undergoing a sharp adjustment in the previous week, the A-share market ushered in an oversold rebound last week. Recently, the discount of IF2108, IH2108 are near historical high. Market pa...
Market participants believe that the recent market style switching is not smooth. On the one hand, funds have begun to withdraw from the previous hot sectors. On the other hand, financial and other lo...
From zero to one, from small to large, from weak to strong, why can China's futures market succeed?
This year is the 100th anniversary of the founding of the Communist Party of China, and China's f...
The SSE 50 Index hit a new low this year. Is there an opportunity for buying at the bottom?
Traditional industries represented by banks and real estate performed sluggishly during t...
2021 is the 100th anniversary of the founding of the Communist Party of China. In the past 100 years, the financial industry under the leadership of the Communist Party of China has achieved leapfrog ...
Upgrade of cross-border supervision and law enforcement cooperation in capital markets
The "Opinions on Strictly Cracking Down on Illegal Securities Activities According to Law" (hereinafter referr...
Look at financial derivatives realistically
When I started writing, I remembered the story of the CEO of a listed company telling me about their use of derivatives more than 10 years ago. He said t...
Snowball product scale estimation
The market size of "Snowball" products is estimated to be about 182.3 billion yuan
Snowball products can be registered in income...
How far can the "snowball" roll?
In the era of low interest rates, investment banks and asset management businesses continue to innovate, and summing up relevant experience can prov...
CCDC supports the first RQFII to participate in bonds pledged as futures margin
ChinaBond reported that on April 29, CCDC successfully supported the first RQFII to operate bonds ple...
Fang Xinghai: If foreign accounts cause major fluctuations in the stock market, we can suspend its trading
Fang Xinghai, vice chairman of the China Securities Regulatory Commission, stated at...
1. Index Futures
Rolling Data for Short Hedging during the Statistical Period
The optimal rolling contract is IF2103, and the annualized rolling cost is 2.08% to 2.90%;
The opt...
ndex Futures
(1)Rolling Data for Short Hedging during the Statistical Period
The optimal rolling contract is IF2103, and the annualized rolling cost is 1.30% to 2.67%;
The optimal r...