● 茆懿心博士dr jennifer mao



　suppose the settlement prices for the simsci futures 

september contract over the period from the 24th to the 31st

of august are as shown in column (3) of the accompanying 

table. since mr tan buys one contract at 180.0 on 24 august 

and the settlement price at the close of that day's trading 

is 182.4, he makes a gain of 2.4 points. the profit of $480 

(being $200 x 2.4) will be credited to his margin account.



　suppose mr tan remains bullish on the singapore stock 

market and does not close out his position till 31 august. 

then, his daily gain (or loss) will be determined by the 

settlement price at the end of each day. this daily computation 

of profits and losses will be carried out until the position is

squared off by an offsetting trade. in the table, mr tan's 

daily gains (or losses) are shown in columns (4) and (5). 



　after each day's settlement, if the balance of his margin 

account is above the "maintenance margin" level of $4,000, 

mr tan will not get a "margin call". once the balance 

touches $4,000, however, mr tan must replenish his margin 

account to the initial margin level of $5,000 if he does not

want his position to be forced-closed. as such, in our 

example, tan will need to meet a margin call for $2,240 when

the index falls 6.4 points on 27 august and his margin 

account dips to $2,760.



　suppose mr tan finally decides to close out his position 

on 31august at a price of 165.2 points. after deducting his 

final day's loss of $960, he can withdraw the $4,280 left in

his margin account.



　over the eight-day period, tan loses a total of $2,960 (= 

$200 x (165.2-180.0)). this can be verified by his cash 

flows: altogether he pays $7,240, the sum of the initial 

margin $5,000 and a margin call of $2,240. however, at the 

end of the game, he only gets back $4,280.



　on total cash outflows of $7,240, the loss of $2,960 

amounts to a 40.9% loss while the index drops by a 

relatively small 8.2%. such is the power of "leverage" or 

"gearing", i.e., being able to bet on something worth 

$36,000 with only a capital of $7,240.



　when a speculator bets wrongly, gearing blows up the 

damage. if the bet is placed on the right side of the table,

the reward will be similarly magnified. if mr tan foresees 

the market downtrend correctly and sells the contract at 

180.0 on 24 august and buys it back at 165.2 on 31 august, 

his investment will be just $5,000 (since he will not face 

any margin calls). he will have a profit of $2,960, a 59.2% 

rate of return.



　first of all, as with all speculative financial 

activities, profits are made when the bet is proven right; 

losses result if the bet turns out to be wrong. to speculate

on broad market movements using sif, one must be aware of 

the blow-up effect of gearing mentioned above.



　compared with an actual investment in a basket of shares, 

taking a long position in sif has another shortcoming. when 

the market drops, both shares and the long position in sif 

will lose value. however, shares do not "expire" (unless the

company goes bankrupt and is liquidated) and if an investor 

with the holding power decides to hold on to the shares, he 

can always do so. this however does not apply to sif. each 

sif has a "maturity date" when any outstanding position in 

that contract must be closed. in other words, one can choose

not to realise paper losses when one invests in shares; but,

one will be forced to realise such losses with sif 

contracts. of course, investors still bullish or bearish on 

the broad market can always place their bets on other simsci

futures contracts still outstanding.



　first of all, as illustrated above, a bullish investor 

needs only a relatively small sum of money to bet on the 

broad trend of the 35 stocks included in the msci index. for

those who are bearish about the broad market movement, a 

short position in sif allows them to profit from this view 

if it turns out to be right.



　secondly, for investors who have a view on the broad 

market, but are not interested in picking specific counters,

sif is an ideal instrument.



　thirdly, the transaction costs for trading sif contracts 

will not be proportional to the contract value. instead, it 

will be a flat fee per contract for a round trip. there is 

no doubt that the actual cost figure will be significantly 

lower than the commissions and clearing fees incurred for 

ses stock trading.



　finally, with the low required capital and transaction 

costs, an investor can get in and out of the market easily 

and cheaply. if there is good liquidity of simsci futures to

start with, a virtuous circle can set in to draw in more 

hedgers and speculators, leading to even lower transaction 

costs and higher liquidity.



(part two of two)



(the writer is senior lecturer of the department of finance 

and accounting, nus & a resource panellist of sph's chinese 

newspapers.)





如何以股价指数期货投机？



　　假设9月30日到期的摩根新加坡指数期货从1998年8月24日到8月

31日的结算价格有如附表第3栏所示。



　　张三在8月24日以180.0点的价格买入该期货一只。当天的结算价

格182.4比买入价涨了2.4点，值480元。在每日结算制度下，张三保

证金户头会增加480元。



　　假设张三在8月25日至28日这段时间里还是看涨新加坡股市，所

以对该期货没有采取任何行动。根据交易所每日公布的结算价格，张

三每天的损益点数就如附表第4栏所示，每天的损益金额则列于第5栏。



　　每天结算、把损益过帐到保证金户头后，只要保证金余额高于规

定的“维持保证金”水平，盘口持有人就不会收到“补仓通知”

(margin call)。张三的保证金户头在8月24、25、26日的结算后余额

都在4000元以上，所以无需补仓；超出5000元的部分甚至可以提用（

如做为其他合约的交易保证金）。



　　张三的盘口在8月27日遭受了1280元的损失，造成结算后的保证

金余额只剩2760元，低于维持保证金4000元，所以需要补仓。每当补

仓时，必须将保证金余额填到初始保证金5000元的水平，所以张三必

须再拿出2240元。



　　假设过了周末之后，张三不再看涨新加坡股市，决定不再继续冒

险，他于是指示期货经纪以165.2的价格卖出该期货。换言之，张三

“盖盘”或“清盘”了。盘口一旦盖掉了，就再也没有损失的风险了

，交易所及经纪商也就无须担心张三赖帐了，所以张三可以取回保证

金户头里的余额。



　　现在我们可以以三个角度来计算张三此番期货投机未扣除交易成

本前的损益。一、把附表第5栏的“每日损益金额”合计，共损失

2960元。二、以180.0买进、165.2卖出，损失14.8点，每点200元，

共损失2960元。三、开盘时支付初始保证金5000元，后来补仓2240元

，共付出7240元；盖盘后只取回4280元，净损2960元。



　　这个损失相当于他动用到的资金7240元（5000元加上补仓2240元

）的40.9%。在同一时间里，此指数期货的价格从180.0点跌到165.2

点，跌幅8.2%。这验证了期货“以小博大”的特性——注下对了的话

，可以放大报酬率；注下错了的话，也膨胀了损失率。



　　有了“后见之明”，我们当然知道了张三对股市走势是看走了眼

。由于他把赌注下错了边，所以赔了钱。如果他看对了，也就是他在

8月24日预测股市将下滑，那么，他应该卖指数期货，也就是开“卖

空盘口”(short position)。



　　假如张三在8月24日以180.0点的价位卖出一只9月期货，再于8月

31日以165.2点买进清盘，他未扣除交易成本的投机利润将是2960元

。由于他不会接到任何补仓通知，他的投资就是初始保证金5000元。

换句话说，在前后10天不到的时间里，他的报酬率将是2960÷5000＝

59.2%。



　　从上面的例子里，我们可以清楚地看到股价指数期货的一些优缺

点。在缺点方面，第一、由于买卖者只需支付初始保证金及补仓，期

货具有比以按金交易(margin trading)买卖股票更高的杠杆作用。当

赌注下错边时，它的杀伤力也更大。



　　第二个缺点是，不像股票，指数期货是有到期日的，而且到期日

多半很短，近的就在当月月底，远的也不过就是一年又两个月以后。

（当然，如果此合约受到市场欢迎，只要有这方面的需求，交易所可

推出更远的合约。）当我们自资买进股票、股价却不断下跌时，“不

服输”（因此，不肯放手）的人可以把股票“收”起来，只要公司不

倒，价格反弹的机会总是在的。期货就不同了，到期日一到，就得来

个输赢总算帐。愿意继续投机的投资者只能把目标转到其他尚未到期

的期货去。



　　优点方面，第一、一个投资人只需有支付初始保证金的闲钱，就

可以考验一下自己的“慧眼”了。（只有“闲钱”才适合拿来投机；

万一赔了，虽然负报酬率的数字看来很大，金额并不是太大。新加坡

国际金融交易所不论对业务量是多么地用心争取，也不会希望有人因

为盲目投机产生巨损而跳楼自尽。）



　　第二、只想搭“股市列车”的投资人无需花功夫从数百家挂牌公

司中精挑细选出投资对象，节省了许多打探情报的时间与精力，也免

去了必须辨别有关个别公司消息真伪的许多烦恼。



　　第三、期货的交易费用与合约的价值无关，而是按买卖合约数目

收费的。一般而言，期货交易费用的低廉绝对是依交易值抽成取佣的

股票交易无法望其项背的。



　　第四、由于所需资本及交易费用低，以股价指数期货来进出股市

是非常有弹性的。某君在这一刻对全盘股市看跌（涨），他可以立刻

卖出（买进）指数期货。如果他在五分钟后改变了想法，他可以立刻

买进（卖出）、把盘口给盖了；除了价差，只是损失了一点交易费用

。股票买卖就不同了，首先，在多半情况下，我们不能卖空股票；再

者，由于佣金高昂，卖价得高出买价2.3%后，才能“损益两平”。

（下）



（作者是新加坡国立大学企业管理学院高级讲师与华文报咨询团成员）

附表：期货逐日结算制 the mark-to-market system

初始保证金 initial margin=$5000
维持保证金 maintenance margin=$4000

日期 备注 交易或
结算价格 本日损益 gain(loss) 补仓前
保证金余额 补仓 补仓后
保证金余额 date remark transaction or settlement price 点数 in points 金额 amount pre-margin call balance margin call post-margin call balance 24/8 买进 buy 180.0 -- -- -- 5000 5000 24/8 -- 182.4 2.4 480 5480 -- 5480 25/8 -- 181.0 (1.4) (280) 5200 -- 5200 26/8 -- 175.2 (5.8) (1160) 4040 -- 4040 27/8 -- 168.8 (6.4) (1280) 2760 2240 5000 28/8 -- 170.0 1.2 240 5240 -- 5240 31/8 卖出 sell 165.2 (4.8) (960) 4280 -- 4280 31/8 清盘
square off -- -- -- -- (4280) -- -- 合计 total -- (14.8) (2960) -- (2960) --