Title :
Notice of Retraction
On Alpha trading strategy by Shanghai & Shenzhen 300 index futures
Author_Institution :
Department of Finance, Tianjin University of Finance and Economics, Tianjin, P.R. China
Abstract :
Notice of Retraction
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
The paper selects 20 main open-ended funds as research samples, making comprehensive analysis on all funds´ indices, including Alpha, downside & information ratio, getting a portfolio of 4 best performing funds by programmingly determining theoretical optimal weights, and finally modeling and checking the possibility of Alpha arbitrage through Shanghai and Shenzhen 300 index futures in assumed condition. Relying on study of transferable Alpha trading strategy, the paper suggests that extra profit could be realized by using transferable Alpha arbitrage in bear market or fluctuated market, and also higher investment profit in bull market.
Keywords :
Analytical models; Economics; Finance; Heating; Indexes; Mutual funds; Portfolios; Alpha Arbitrage; Stock Index Future; Tracking Error Transferable Alpha;
Conference_Titel :
E -Business and E -Government (ICEE), 2011 International Conference on
Conference_Location :
Shanghai, China
Print_ISBN :
978-1-4244-8691-5
DOI :
10.1109/ICEBEG.2011.5882393
