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SSE50 index enhancement strategy

Fang submitted 2018-03-27 15:32:41

Majority of market neutral strategies, like those index enhancement strategy in China market, usually use HS300 and CSI500 as the index. They seldom used SSE50 as the index.
One reason is that most shares in SSE50 are those of the leading firms in their sectors. So most fund managers considered the negative basis in SSE50 futures can bring them absolute return. And such strategy did performed well in Feb 2018. It’s a vivid example that the market neutral strategy can serve as a good defense in the period of fear in the market.


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