ETF Quantitative Investment Strateg Y's Realization On The DTS Platform

Financial engineering theory system is formed since 1980 s,resulting from the development of financial theory and electronic computing technology.Quantitative investment is now a common investment method for investors.A large number of complex financial derivatives promote developments in qua ntitative investment.In particular,the combination of quantitative investment with the existing financial instruments attracts great attention from investors in China.Many financial instruments are created in our market recently.With the creation of ETF and stock index futures,investors can operate quantitative investment more efficiently.ETF plays an important role in arbitrage because of its unique characteristics.The existing ETF arbitrage strategy in western countries consists of three types: arbitrage between the ETF primary and secondary market,arbitrage between ETF and stock index futures for basis and arbitrage between ETF and stock index futures for alphas.These theories also apply to our financial market.Specifically,investors in China can arbitrage between primary market and secondary market since the launch of the first ETF in 2004.And then after the launch of the CSI 300 stock index futures in 2010,investors used ETF as the replacement for the stock index,hedging portfolios from movements in the markets and obtaining the basis.But the arbitrage between ETF and stock index futures for alpha is not developed as well as the other two arbitrages because of rigorous requirements,such as the continuity of alpha and the combination of positive alpha and negative basis.However,ETF and stock index futures arbitrage method is developed in recent years as the market satisfies most of the requirements.For example,the number of ETF is increasing,ETF can be shorted and the computer technique is mature.These all promote the development of ETF and stock index futures arbitrage for alpha.This paper researches the arbitrage strategy between the ETF and stock index futures.First,this article discusses the systematic risk buried in the arbitrage strategy and the feasibility of application.Then,the paper tries to realize the strategy in the DTS platform and optimize the strategy based on the running results of historical data.