Futures interest rate as one of the methods of independent capital management
Each of us, coming to the store, leaves there more and more money, but the quantity of goods in the basket not only does not change, but also decreases. "Pupils" pointedly exclaim: "Inflation!". Fighting inflation is easy for those who have little money. They immediately redeem their incomes and inflation by them. More difficult for those who earn more than they consume. How to dispose of free cash? How to protect them from depreciation?
The first thing that comes to mind is putting money in the bank. Reliably In the overwhelming majority of banks, interest on deposits for which you can replenish and withdraw money from them is lower than inflation. Thus, at present, with inflation at 8%, the average rate for the top 20 banks in the Russian Federation is 6.53%, according to banki.ru. Unprofitable!
Of course, you can place money in banks at 9-10% per annum. But these are deposits, as a rule, without the possibility of replenishing and withdrawing money without losing interest for a fixed period (from 6 months to 3 years, depending on the interest on the deposit). In addition, banks set a minimum money limit for opening such a deposit. Reliable banks raise such a limit to a million rubles and above.
You can, of course, take money into a consumer credit cooperative. Some of them offer a yield of 30% per annum. I only wonder where they should invest money so that they bring such an income? Buy stock companies? But dividends on shares fluctuate around 7-8% per annum, and then only at the most efficient enterprises. The exit was obviously prompted by Pakistani Syed Shah. After a business trip to Dubai, he convinced his neighbors that during the year of the business trip he was taught to manage money, and he can freely double the money in a week. To the first depositor he doubled the money at the expense of the second one and so on.
')
Easy money attract. In a year and a half, Shah already had 300,000 depositors who invested $ 900 million in this pyramid!
And the final is the same as that of the American billionaire Bernard Madoff. The founder went to jail, and investors were left without money.
It would seem a hopeless situation. Reliable ways to protect money from inflation below inflation itself. Highly profitable investments, most likely, it is a financial pyramid or a certain risk. But the question “where to invest money?” Cannot be found the right answer, not because there is no answer, but because the question itself is incorrectly posed.
In the case of protecting money from inflation, the majority trusts money in managing others. As a result, large capitals accumulate in management companies (banks, credit cooperatives, etc.). But the more capital, the harder it is to manage it and the lower the yield will be shown on the basis of management. Sberbank does not have the lowest interest rates on deposits, because it is “the most greedy,” but because it has such a volume of capital that it does not allow for large returns.
Another thing is modest capital. But no one wants to manage them, since management costs will be greater than the profitability from it.
Only one thing remains - if you want to protect your free cash from inflation, then learn to manage your money yourself. The article will cite one of these methods, which is suitable for beginners in this business.
In short, it is necessary to buy shares of leading Russian companies (for example, Sberbank, Gazprom, LUKOIL, etc.) and hedge their respective futures. The word "hedge" in this context is used as insurance against a fall in the share price. In simple terms, a contract is made to sell shares in the future at a predetermined price. If stocks, and futures along with them, become cheaper, then at the moment when the futures expire (called “futures expiration”) we sell shares at a price higher than the market. In practice, everything is simple. In order to conclude a futures contract for sale, it is necessary in the trading terminal to place an order for the sale of futures. If before this portfolio was 0 futures, after selling them will be a negative amount. Thus, when the price of the stock, and, consequently, of the futures, falls, the hedge will guarantee the sale of the shares at a favorable price to us on the day of expiration.
Now back to the financial circuitry. It is very important to follow a few rules.
If you follow these rules, you are guaranteed to earn. The peculiarity is that this income does not depend on how the price of a share changes - to grow or fall. The price of the futures follows the stock and is committed to it. If the stock rises in price, it will bring more profit than the loss from the sold futures. If the stock falls in value, then the sold futures will bring more profit than the loss from the purchased share.
However, "the sky is cloudless only in the desert", so you need to be understanding and calm about the fact that instead of profit, you sometimes get a short-term loss on your account. The reason for such short-term losses is as follows.
First, since at the same time the price of buying / selling shares and futures in the market differ (they say there is a spread or the difference between the purchase price and the sale price), you can buy a share at the sale price and sell it at purchases. This is clearly shown in the figure below.
Immediately after the transaction, the selling price is lower than the purchase price by the amount of the spread, and a small loss is formed on the account, which is overcome in 2-3 days due to accumulated profit on the positions.
Secondly, the account size may change if the Bank of Russia key rate changes. It changes extremely rarely and usually at the very beginning of the "life" of futures.
Thirdly, if dividend payments to shareholders are near or, trivially, speculators have affected the market.
Now more. The figure below illustrates the process of changing the difference between the prices of Gazprom shares and futures during the life of the futures (3 months).
The top two charts (blue and black) are charts of stock and futures price changes in equal amounts. You can see how the process of price convergence takes place before expiration.
The red chart shows in absolute terms in rubles (Y-axis) what yield can be obtained by merging stock and futures prices by entering positions on the corresponding day (X-axis). Linear dependence is explained by the fundamental pricing mechanisms.
What is the yield in percent per annum (analogue of interest on a deposit in a bank) can be obtained from such an investment? Now, about 9-10% per annum on invested funds (as a rule, the yield is equal to the key rate of the Bank of Russia, or 10% at present).
But this price difference between futures and stocks does not remain constant, it may be higher. Our experience shows that to catch such a moment is quite real.
Very clearly, you can estimate the profitability of such investments at the so-called futures interest rate, the formula for which has already been cited above. It directly shows what kind of profitability (percent per annum) you get if you sell futures and buy shares of this company.
Due to the fact that the price of stocks and futures fluctuates, various situations can arise.
The above mentioned situation is when dividend information affects the futures interest rate. In the figure below we consider this situation (on the example of Gazprom).
At the beginning of the futures life, information was published about the upcoming dividends of Gazprom. Futures interest rate fell sharply and went into the negative zone. The difference in stock and futures prices was near zero, so there was no point in entering positions to earn a futures interest rate. Most likely, you would choose other securities. When the register was closed, prices returned to their levels, which determine the yield at the level of the Bank of Russia key rate.
The term “trade surfing” was also previously mentioned. Pay attention to the picture below (on the example of Gazprom). The situation when there is an opportunity to shift into other securities is considered.
In the middle of the futures life interval, a jump occurred. There may be many reasons, but more often - these are rumors about upcoming dividend payments. The rumor was not confirmed, and the prices returned to their levels. These jumps are not instantaneous, but last a few days in time, and this can be used - to take profits ahead of schedule and enter other instruments that offer a more favorable futures interest rate. Thus it is possible to increase the return on investment. To do this, follow the market.
There is another trick to double in the first year the yield on this method of investment. You can open an individual investment account (IIS) with a broker. In short, this is an account that opens for at least three years and is exempt from tax deductions. In our case, this will not give a noticeable effect, given that the yield on the futures interest rate is at the level of the Bank of Russia key rate. In other words, the gain compared with the usual brokerage account will be 1.3% (if we assume the yield of the futures interest rate of 10% per annum). For IIS there is another tax rebate - you can issue a tax deduction of 13% of the amount invested. If you choose such a tax break for IIS, then the tax on investment income will have to be paid, but even with this in mind, it turns out to be very profitable.
Consider an example. Brought to the account of IIS the maximum possible amount of 400t.r. Revenue for the year will be 10% or 40t.r. (at the level of the key rate of the Bank of Russia). Subtract 13% or 5,2t.r. income tax, we get 8,7% or 34,8t.r. Now add on the tax rebate 13% from 400t.r. - it turns out 52t.r. In order for this tax benefit to be, the account holder needs to be officially employed and have a salary of at least 33,334 rubles a month. As a result, we received an income of 86.8 tr. or 21.7% per annum.
Thus, the benefits of investing in a futures interest rate using a conventional brokerage account are as follows:
To the benefits of investing in a futures interest rate, using an individual investment account, is added doubling the yield in the first year at the expense of tax incentives.
In order not to "inspire" enticing phrases, there is no easy money.
The article describes the experience gained by one company and dedicated to the futures interest rate. This method of money management is risk-free, but you still need to understand that there are always some risks and always (for example, a broker’s bankruptcy or technical failures on the stock exchange). Developed more interesting, but more complex capital management schemes, but more on that in the following articles.
The first thing that comes to mind is putting money in the bank. Reliably In the overwhelming majority of banks, interest on deposits for which you can replenish and withdraw money from them is lower than inflation. Thus, at present, with inflation at 8%, the average rate for the top 20 banks in the Russian Federation is 6.53%, according to banki.ru. Unprofitable!
Of course, you can place money in banks at 9-10% per annum. But these are deposits, as a rule, without the possibility of replenishing and withdrawing money without losing interest for a fixed period (from 6 months to 3 years, depending on the interest on the deposit). In addition, banks set a minimum money limit for opening such a deposit. Reliable banks raise such a limit to a million rubles and above.
You can, of course, take money into a consumer credit cooperative. Some of them offer a yield of 30% per annum. I only wonder where they should invest money so that they bring such an income? Buy stock companies? But dividends on shares fluctuate around 7-8% per annum, and then only at the most efficient enterprises. The exit was obviously prompted by Pakistani Syed Shah. After a business trip to Dubai, he convinced his neighbors that during the year of the business trip he was taught to manage money, and he can freely double the money in a week. To the first depositor he doubled the money at the expense of the second one and so on.
')
Easy money attract. In a year and a half, Shah already had 300,000 depositors who invested $ 900 million in this pyramid!
And the final is the same as that of the American billionaire Bernard Madoff. The founder went to jail, and investors were left without money.
It would seem a hopeless situation. Reliable ways to protect money from inflation below inflation itself. Highly profitable investments, most likely, it is a financial pyramid or a certain risk. But the question “where to invest money?” Cannot be found the right answer, not because there is no answer, but because the question itself is incorrectly posed.
In the case of protecting money from inflation, the majority trusts money in managing others. As a result, large capitals accumulate in management companies (banks, credit cooperatives, etc.). But the more capital, the harder it is to manage it and the lower the yield will be shown on the basis of management. Sberbank does not have the lowest interest rates on deposits, because it is “the most greedy,” but because it has such a volume of capital that it does not allow for large returns.
Another thing is modest capital. But no one wants to manage them, since management costs will be greater than the profitability from it.
Only one thing remains - if you want to protect your free cash from inflation, then learn to manage your money yourself. The article will cite one of these methods, which is suitable for beginners in this business.
In short, it is necessary to buy shares of leading Russian companies (for example, Sberbank, Gazprom, LUKOIL, etc.) and hedge their respective futures. The word "hedge" in this context is used as insurance against a fall in the share price. In simple terms, a contract is made to sell shares in the future at a predetermined price. If stocks, and futures along with them, become cheaper, then at the moment when the futures expire (called “futures expiration”) we sell shares at a price higher than the market. In practice, everything is simple. In order to conclude a futures contract for sale, it is necessary in the trading terminal to place an order for the sale of futures. If before this portfolio was 0 futures, after selling them will be a negative amount. Thus, when the price of the stock, and, consequently, of the futures, falls, the hedge will guarantee the sale of the shares at a favorable price to us on the day of expiration.
Now back to the financial circuitry. It is very important to follow a few rules.
- A pair of stock futures must be from one issuer. For example, if you bought a share of Gazprom, you must sell Gazprom futures. If you buy a share of Gazprom and sell Sberbank futures, then futures and shares will not strictly follow each other and there is a risk of loss under adverse conditions.
- The amount of shares purchased must be equal to the volume of futures sold. As a rule, on one futures accounts for 10 lots of shares. Please note that the number of shares in the lot may be different. For example, Sberbank has 10 shares in 1 lot, Lukoil has only one, and VTB has ten thousand. If the volumes of shares and futures are unbalanced, then again futures and shares will not strictly follow each other and there is a risk of losses under adverse conditions.
- The market price of futures must be greater than the price of shares (including adjusted volumes). A sure sign of this - the futures interest rate is positive.
- It is advisable that the futures interest rate be greater than the key rate of the Bank of Russia. Then you can safely enter the position.
- How to calculate the value of the futures interest rate? It is calculated by the formula:
where, GO futures is the security of the futures (approximately 1/7 of the futures price, and this value is determined by the broker); K - coefficient equalizing the volume of shares and futures (usually equal to 10); Broker's commission is a few rubles, for rough calculations it can be neglected.
If you follow these rules, you are guaranteed to earn. The peculiarity is that this income does not depend on how the price of a share changes - to grow or fall. The price of the futures follows the stock and is committed to it. If the stock rises in price, it will bring more profit than the loss from the sold futures. If the stock falls in value, then the sold futures will bring more profit than the loss from the purchased share.
However, "the sky is cloudless only in the desert", so you need to be understanding and calm about the fact that instead of profit, you sometimes get a short-term loss on your account. The reason for such short-term losses is as follows.
First, since at the same time the price of buying / selling shares and futures in the market differ (they say there is a spread or the difference between the purchase price and the sale price), you can buy a share at the sale price and sell it at purchases. This is clearly shown in the figure below.
Immediately after the transaction, the selling price is lower than the purchase price by the amount of the spread, and a small loss is formed on the account, which is overcome in 2-3 days due to accumulated profit on the positions.Secondly, the account size may change if the Bank of Russia key rate changes. It changes extremely rarely and usually at the very beginning of the "life" of futures.
Thirdly, if dividend payments to shareholders are near or, trivially, speculators have affected the market.
Now more. The figure below illustrates the process of changing the difference between the prices of Gazprom shares and futures during the life of the futures (3 months).
The top two charts (blue and black) are charts of stock and futures price changes in equal amounts. You can see how the process of price convergence takes place before expiration.
The red chart shows in absolute terms in rubles (Y-axis) what yield can be obtained by merging stock and futures prices by entering positions on the corresponding day (X-axis). Linear dependence is explained by the fundamental pricing mechanisms.
What is the yield in percent per annum (analogue of interest on a deposit in a bank) can be obtained from such an investment? Now, about 9-10% per annum on invested funds (as a rule, the yield is equal to the key rate of the Bank of Russia, or 10% at present).
But this price difference between futures and stocks does not remain constant, it may be higher. Our experience shows that to catch such a moment is quite real.
Very clearly, you can estimate the profitability of such investments at the so-called futures interest rate, the formula for which has already been cited above. It directly shows what kind of profitability (percent per annum) you get if you sell futures and buy shares of this company.
Due to the fact that the price of stocks and futures fluctuates, various situations can arise.
- Futures interest rate is higher than the key rate of the Bank of Russia. You can safely open positions. If the positions are already open, and they were opened with a lower futures interest rate, then a very insignificant drawdown may be observed on the account, which will eventually grow into income. Another similar situation may arise when the Bank of Russia raises the key rate. The math is simple - you entered when the rate was 7% per annum, but suddenly it became 10% on the same papers. You will receive 10% per annum, but at the moment a drawdown is formed on the account at the rate of minus 3% per annum. This is quite a regular situation, which often occurs when working with bonds. But unlike bonds, where expiration dates can last for dozens of years, in our case, three-month futures are most popular. This type of investment has a competitive advantage over bonds.
- The futures rate is significantly lower than the Bank of Russia key rate. If there are no positions, then it is better to wait until prices return to acceptable levels. Sometimes this happens, for example, before paying dividends to shareholders. If, on the contrary, they managed to enter a position at a high futures rate, and it became lower, then a profit is formed on the account ahead of time, which can be fixed by leaving positions and shifting to other most profitable papers. A similar situation happens when the Bank of Russia lowers the key rate. This effect lies in the principle of trading, when, without risking, you can overtake the Central Bank in terms of profitability.
The above mentioned situation is when dividend information affects the futures interest rate. In the figure below we consider this situation (on the example of Gazprom).
At the beginning of the futures life, information was published about the upcoming dividends of Gazprom. Futures interest rate fell sharply and went into the negative zone. The difference in stock and futures prices was near zero, so there was no point in entering positions to earn a futures interest rate. Most likely, you would choose other securities. When the register was closed, prices returned to their levels, which determine the yield at the level of the Bank of Russia key rate.
The term “trade surfing” was also previously mentioned. Pay attention to the picture below (on the example of Gazprom). The situation when there is an opportunity to shift into other securities is considered.
In the middle of the futures life interval, a jump occurred. There may be many reasons, but more often - these are rumors about upcoming dividend payments. The rumor was not confirmed, and the prices returned to their levels. These jumps are not instantaneous, but last a few days in time, and this can be used - to take profits ahead of schedule and enter other instruments that offer a more favorable futures interest rate. Thus it is possible to increase the return on investment. To do this, follow the market.
There is another trick to double in the first year the yield on this method of investment. You can open an individual investment account (IIS) with a broker. In short, this is an account that opens for at least three years and is exempt from tax deductions. In our case, this will not give a noticeable effect, given that the yield on the futures interest rate is at the level of the Bank of Russia key rate. In other words, the gain compared with the usual brokerage account will be 1.3% (if we assume the yield of the futures interest rate of 10% per annum). For IIS there is another tax rebate - you can issue a tax deduction of 13% of the amount invested. If you choose such a tax break for IIS, then the tax on investment income will have to be paid, but even with this in mind, it turns out to be very profitable.
Consider an example. Brought to the account of IIS the maximum possible amount of 400t.r. Revenue for the year will be 10% or 40t.r. (at the level of the key rate of the Bank of Russia). Subtract 13% or 5,2t.r. income tax, we get 8,7% or 34,8t.r. Now add on the tax rebate 13% from 400t.r. - it turns out 52t.r. In order for this tax benefit to be, the account holder needs to be officially employed and have a salary of at least 33,334 rubles a month. As a result, we received an income of 86.8 tr. or 21.7% per annum.
Thus, the benefits of investing in a futures interest rate using a conventional brokerage account are as follows:
- zero risks of losing capital (like bonds, but having advantages over them);
- yield at the level of the best offers of banks on deposits without additional. conditions;
- You can replenish your account or withdraw money at any time without losing interest;
- as you gain experience and knowledge, you can increase profitability while maintaining risk control.
To the benefits of investing in a futures interest rate, using an individual investment account, is added doubling the yield in the first year at the expense of tax incentives.
In order not to "inspire" enticing phrases, there is no easy money.
- It is necessary to acquire a minimum set of economic knowledge: what is a stock, what is futures, what is expiration of futures;
- To purchase shares and sell futures, you must enter into a contract with a brokerage company and open a brokerage account. Pay attention to the amount of commissions. For each transaction, the broker “plucks” a small piece of the profit (usually several rubles);
- You will need to make money on the stock market. If this is done through a broker's bank, then commission will not be charged for depositing and withdrawing money. This is an important point, which will save a fraction of percent of the total profit;
- It is important not to forget to close positions in time, otherwise the broker will do it himself, but will take extra commission for this.
The article describes the experience gained by one company and dedicated to the futures interest rate. This method of money management is risk-free, but you still need to understand that there are always some risks and always (for example, a broker’s bankruptcy or technical failures on the stock exchange). Developed more interesting, but more complex capital management schemes, but more on that in the following articles.
Source: https://habr.com/ru/post/398619/
All Articles