How to find an arbitrage strategy for Shanghai and Shenzhen 300 Stock Index futures?

Shanghai and Shenzhen 300 Index Futures are in expectation, so is the future-spot arbitrage. Institutional and individual investors are busy with their own researches and plans, having their own expectations respectively. Then how to find a corresponding tool in spot market for arbitrage - physical match suitable for Shanghai and Shenzhen 300 Index Futures.

An analyst of derivatives and financial engineering told ¡°The First Financial Daily¡± that if only the correlation between the assets of a portfolio and Shanghai and Shenzhen 300 Index is high enough, with other requirements satisfied, the index futures can be used to perform arbitrage, such as some equities trust plans aiming at big cap stocks and proper combination of several close funds. ¡°According to these currently underlying assets, the best portfolio may be the combination of China 50 ETF and Shenzhen SI100ETF, both of which have better liquidity.¡±

Shanghai and Shenzhen 300 Index Fund

Whether the Shanghai and Shenzhen 300 index futures¡¯ ¡°counterpart¡± - Shanghai and Shenzhen 300 Index Fund have the best arbitrage opportunity?

Generally, the most simply underlying asset should be underlying index of index futures. But in the current situation, the existing Harvest Shanghai Shenzhen 300 Index Fund and DaCheng Shanghai & Shenzhen 300 Index Investment Fund cannot reach the best. 

(Email£ºxufan@cifco.net.cn)