股指期货首日交易,由于期货合约价格较现货大幅溢价,市场原本大为期待的期货“价格发现”机制并未出现,不过交易者却是可以借此进行现货期货间套利,享受到“套利”机制带来的丰厚无风险收益。

期指大幅溢价高开

昨日9点15分,IF1005合约以3450点开盘,较基准价3399点跳空高开1.50%。而其他三个合约也出现不同程度的跳空高开,其中时间最长的IF1012合约更是以3618.8点开盘,较基准价高开达4.89%。“看来股指期货今天是不可能指导现货市场价格了”,这是一位市场人士在看到期指合约开盘价后的第一感受。

根据金融学的期货定价模型,以SHIBOR1年期2.363厘作为无风险收益,以周四3394.57点的收盘价作为现货价格,则昨日IF1005合约的合理定价是3402.37点,而时间较长的IF1010合约的合理定价也不过3449.16点。从宏观面和美股隔夜走势来看,前晚收盘后至昨日股市开盘前并无刺激股市能够大幅上升的因素,若仅根据股指期货价格发现机制,如此高开毫无道理可言。

9点30分现货市场的开盘价也确认了这点。昨日沪深300指数以3388.29点开盘,反而较前一日收盘价3394.57点低开0.185%,而当时IF1005合约价格为3447点,期货较现货溢价1.73%。

套利空间丰厚

虽然股指期货交易首日难以起到价格发现的作用,但对于冲着股指期货无风险套利机制而去的交易者,却是练手的大好时机。

依然以IF1005合约为例,全日较现货价格最大溢价2.75%,最小溢价1.77%,平均溢价为2.14%。这意味套利交易日在卖出IF1005合约的同时买入沪深300指数对应资产(如300只成分股组合、沪深300指数基金等),那么在不考虑交易成本和买卖滑价因素,至此合约到期日5月21日(5月第三个星期五),便可以获得这1.77%-2.75%不等的无风险套利。考虑到整个套利周期最长不过36日,其年化收益率可达17.7-27.5%。当然,由于这样的套利机会不可能始终存在,所以年化收益率不过存在在理论中,但是36天获得2%左右的收益依然是极为可观——尤其是大机构在使用拆借资金放大交易的话。

至于溢价率最高的IF1012合约,昨日报收3557.0点,较沪深300指数3356.33点收盘价溢价5.98%,这意味着若在IF1012合约上进行套利,则可以在8个月时间里获得5.98%的无风险收益率,虽然对应的年化收益率不过9.1%不如IF1005合约,但其可以确保的实际收益却更高,对于更为稳健的大资金反而更有吸引力。更何况,由于交投相对稀疏,IF1012合约开盘后一度最高上涨7.91%,为套利者提供了更丰厚的套利空间。

期指市场仍是小弟弟

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周二入市,通过ETF间接开了一个石油/天然气的长短仓。

比值交易,一直是一个我很感兴趣的交易手段,无需判断具体品种的绝对方向,而只需要判断两个品种的相对强弱趋势——后者往往区间震荡的味道浓厚,更容易把握。所以,之前写过如何从“二八分化”中淘金,谈的是从A股权重股和中小盘股的相对强弱中搜寻投资机会,这回则尝试天然气与石油。

下图是原油价格和天然气价格过去近20年比值的走势图。若纯粹从热能角度考虑,1桶石油的热能相当于5单位天然气,理论上这两者价格的比值也该是5:1。不过事实上,过去二十年两者比值的平均值是9.36:1,并且大多数时候在5-14倍之间徘徊。而近期,原油价格一路攀升,最近期的天然气价格却止步不前,一度将比值推高至最高19.24,接近于20倍的极端值。在这样的极端高区域,虽然很多人看好天然气价格直接做多,不过像我这样的胆小鬼,还是用长短仓策略,做多天然气做空原油来得安稳。我要做的的,就是耐心等待石油/天然气的比值回落到9.36的历史水平,甚至回到5左右的另一个极端水平。

clng

(点击看大图)

虽然可以直接入场NYMEX的期货,不过考虑到期货杠杆太高,所以还是转而通过ETF间接入场,选择的品种是跟随油价的USO和跟随天然气的UNG。做多UNG的价格是37.89美元,做空USO的价格是13.73美元,两者的数量按照1:3配置,两者涉及的资金大体相近,轻微的偏多UNG。

未来而言,石油和天然气本身的走势于我不重要,重要的是天然气要强势过油价,下面三种情况,我都可以赚钱:

石油涨,天然气涨,天然气涨幅高于石油,如此天然气做多上的盈利将超过石油做空的亏损;

石油跌,天然气涨,两个合约都赚钱;

石油跌,天然气也跌,天然气跌幅小于石油,如此石油做空的盈利将超过天然气做多上的亏损。

当然,考虑到做空的收益不如做多,所以天然气的价格还是上涨的好。


WisdomTree旗下的两只高息ETF,WisdomTree Dividend Top 100 Fund和WisdomTree International Dividend Top 100 Fund向美国证监会提交文件,将改变基金名称为WisdomTree Dividend ex-Financials FundWisdomTree International Dividend ex-Financials Fund,并将金融股从投资范畴中剔除。

如此做法可以理解。虽然金融股一度是高息股的重要来源,但进入次贷危机之后,大批美国金融机构出现巨大的财政问题,别说派息,连盈利都难保。而美国政府的大规模入股,尤其是高级优先股则决定了,即使未来扭亏为盈,也必须按照约定向美国政府派发高额股息,然后才轮到普通股股东。所以趁早将它们剔除,对于拯救相关ETF的表现大有好处。

申请文件:


The following information supplements the information in the current Prospectus.

Each of the WisdomTree Dividend Top 100 Fund (Ticker Symbol: DTN) and the WisdomTree International Dividend Top 100 Fund (Ticker Symbol: DOO) will change its investment objective and be renamed. These changes are expected to be implemented beginning in late April of 2009.

The WisdomTree Dividend Top 100 Fund will be renamed the WisdomTree Dividend ex-Financials Fund. The renamed Fund will seek to track the price and yield performance, before fees and expenses, of the WisdomTree Dividend ex-Financials Index. The WisdomTree Dividend ex-Financials Index measures the performance of high dividend-yielding stocks outside the financial sector. The Index consists primarily of large- and mid-capitalization companies listed on major U.S. stock exchanges that pass WisdomTree Investments’ market capitalization, liquidity and selection requirements. As of December 31, 2008, approximately 36% of the Index consisted of companies with market capitalizations over $10 billion and 64% of the Index consisted of companies with market capitalization between $2 billion and $10 billion. The top five sectors in the Index currently are consumer discretionary, industrials, materials, telecommunications, and utilities.

The WisdomTree International Dividend Top 100 Fund will be renamed the WisdomTree International Dividend ex-Financials Fund. The renamed Fund will seek to track the price and yield performance, before fees and expenses, of the WisdomTree International Dividend ex-Financials Index. The WisdomTree International Dividend ex-Financials Index measures the performance of high dividend-yielding international stocks outside the financial sector. The index consists primarily of large- and mid-capitalization companies incorporated in Europe, Japan, Australia, New Zealand, Hong Kong and Singapore that pass WisdomTree Investments’ market capitalization, liquidity and selection requirements. As of December 31, 2008, approximately 71% of the Index consisted of companies with market capitalizations over $10 billion and 29% of the Index consisted of companies with market capitalization between $2 billion and $10 billion. The top five international sectors in the Index currently are consumer discretionary, consumer staples, health care, telecommunications, and utilities.

WisdomTree does not believe that the planned changes to the Funds’ portfolios are likely to generate any negative tax consequences for current investors. Investors that believe the Funds’ new objectives meet their investment needs do not need to take any action and can simply hold onto their current positions.

Investors that wish to maintain exposure to dividend-paying stocks, including stocks in the financial sector, may want to consider moving their investment out of the Funds and into one of the other WisdomTree ETFs. If you sell shares of a Fund you may incur capital gains or losses upon the sale of your shares. We suggest that you consult a tax adviser to better understand how this might impact your specific tax situation.

In light of recent market events, some clients have expressed an interest in achieving exposure to dividend paying stocks without having exposure to the financial sector. The planned changes to the Funds are designed to provide investors with the tools to do this. The planned changes do not impact any of the forty other WisdomTree Equity ETFs. WisdomTree remains fully committed to our fundamental approach that uses dividends as a primary metric of value to generate income and achieve long-term investment goals across all sectors. Once the changes are implemented WisdomTree investors will have the ability to invest in an array of fundamentally-weighted ETFs that provide broad market exposure, as well as ETFs that provide specific sector exposure or that eliminate exposure to the financial sector.

Additional information about the Funds and the other WisdomTree ETFs is available at www.wisdomtree.com

from SEC

看了一下美林发布的美国高息企业债(其实就是投资级别以下的垃圾债券)指数,近阶段的息差竟然高达19厘。

是的,次贷危机中,许多企业是比较糟糕,尤其是金融类企业以及汽车类企业。但是19厘的息差,该足以弥补这块的风险了吧?

要捕捉这样的机会,ETF无疑是比较省心的方法。查了一下,目前有两个美国高息企业债ETF,一个是iBoxx $ High Yield Corporate Bond Fund(HYG),还有一个是SPDR Lehman High Yield Bond ETF (JNK)。

比较了一下,JNK的优势在于年管理费为0.4%,比HYG的0.5%低,同时到期收益率为19.36%,高于HYG的17.94%。至于说劣势,JNK的规模目前为4.5亿美元,仅为HYG8.8亿美元的一半多一点——当然,对我等小散户,这点流动性差别不大。

虽然就基金本身不好做决断,但是价格却为我们做出了判断。

HYG截至11月28日净值为63.52美元,市价则为66.25美元,溢价4.30%;而JNK截至11月28日净值为27.81美元,市价为28.39美元,溢价2.09%。债券投资本身就是锱铢必较的事情,自然挑选溢价率低且到期收益率高的JNK买了。

这段日子,由于美元、日元的大幅升值,携带交易(carry trade)日子不好过。

所谓携带交易,按照INVESTOPEDIA的解释,即:

A strategy in which an investor sells a certain currency with a relatively low interest rate and uses the funds to purchase a different currency yielding a higher interest rate. A trader using this strategy attempts to capture the difference between the rates, which can often be substantial, depending on the amount of leverage the investor chooses to use.

用中文简单说,就是借入低息货币,买入高息货币,在两者汇率稳定的情况下,两者的息差就归携带交易者所有——若高息货币走强,那么还将有汇率上的额外收益。

时代进步,携带交易早已不是大型对冲基金的专利了。Powershare联合德意志银行于2006年9月18日推出了Powershares DB G10 Currency Harvest ETF(DBV),便是希望为普通ETF投资者提供一种简单进行携带交易的载体。

DBV的策略很简单,在G10货币中,通过期货市场做多利率最高的三个,同时做空利率最低的三个,同时通过持有3月期美债来为这些期货合约提供足额的保证金。

下图是DBV所跟踪的G10 CFH指数与S&P 500指数相比2000年迄今的走势图,我们可以看出在2000年至2007年这七年中,此策略表现很是不错,不仅年化9.01%的回报大幅跑赢S&P 500指数的1.75%,而且一路几乎是单边向上,当初至出现过很小的波折——回报高波动小,实在是很完美的策略。

当然,最近数月,此策略遭受重挫,谁让其做空美股、日元,做多澳元、纽元。7月1日至11月21日,G10 CFH指数大跌28.71%,DBV基金的跌幅也达到27.98%,不过,同期S&P 500指数跌幅更达到37.74%。以今年迄今回报来看,DBV基金29.48%的跌幅同样依然大幅跑赢S&P 500指数45.52%的跌幅。从更长期的尺度来看,2000年迄今G10 CFH指数仍有49.13%的累计涨幅,而S&P 500指数则下跌34.06%,两者差距极为可观。

问题就是,近期美元、日元的走强,不过是在一堆差货币中选一个次差的,而且如此如此大的变动充满了不理智的成分。

也许,在未来数年中,继续坚持携带交易,赌美元、日元打回原形也许是个不错的策略。

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