An Empirical Study On The Effectiveness Of Treasury Futures Hedging

As China’s economic development has entered into new normal,along with GDP growth slowed sharply and deflation pressure is on the rise,bond market welcomed a long bull market,which brought development opportunities for bond fund market in the meantime.As of the end of Dec 2015,the value of China’s bond fund market rose to RMB 700 billion.Bond fund products’ main risks are market interest rates changes.As a result,how to avoid market interest rate risks,how to operate and what is the practical result? With these questions,this paper summarized the current situation of China bond fund products and risks.Secondly,analyzed the advantages of government bond futures in interest rate risk management practice compare with the other derivatives in current China.Thirdly,randomly selected bond fund product Guangfajuxin A(000118)from Hexun.com fund supermarkets,calculated the hedging ratios of Guan gfajuxin A’s four main open positions and validated its practical result bas e on the method of modified duration and basis point value with listed 5-year and 10-year Treasury bond futures respectively.Finally,through the validation of hedging result,giving valuable advice in how to choose the most suitable government bond futures to meet hedging demand of bond f und products.