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.)
假設9月30日到期的摩根新加坡指數期貨從1998年8月24日到8月31日的結算價格有如附表第3欄所示。
張三在8月24日以180.0點的價格買入該期貨一只。當天的結算價格182.4比買入價漲了2.4點，值480元。在每日結算制度下，張三保證金戶頭會增加480元。
假設張三在8月25日至28日這段時間里還是看漲新加坡股市，所以對該期貨沒有采取任何行動。根據交易所每日公布的結算價格，張三每天的損益點數就如附表第4欄所示，每天的損益金額則列于第5欄。
每天結算、把損益過帳到保證金戶頭后，只要保證金余額高于規定的“維持保證金”水平，盤口持有人就不會收到“補倉通知”(margin call)。張三的保證金戶頭在8月24、25、26日的結算后余額都在4000元以上，所以無需補倉；超出5000元的部分甚至可以提用（如做為其他合約的交易保證金）。
張三的盤口在8月27日遭受了1280元的損失，造成結算后的保證金余額只剩2760元，低于維持保證金4000元，所以需要補倉。每當補倉時，必須將保證金余額填到初始保證金5000元的水平，所以張三必須再拿出2240元。
假設過了周末之后，張三不再看漲新加坡股市，決定不再繼續冒險，他于是指示期貨經紀以165.2的價格賣出該期貨。換言之，張三“蓋盤”或“清盤”了。盤口一旦蓋掉了，就再也沒有損失的風險了，交易所及經紀商也就無須擔心張三賴帳了，所以張三可以取回保證金戶頭里的余額。
現在我們可以以三個角度來計算張三此番期貨投機未扣除交易成本前的損益。一、把附表第5欄的“每日損益金額”合計，共損失2960元。二、以180.0買進、165.2賣出，損失14.8點，每點200元，共損失2960元。三、開盤時支付初始保證金5000元，后來補倉2240元，共付出7240元；蓋盤后只取回4280元，凈損2960元。
這個損失相當于他動用到的資金7240元（5000元加上補倉2240元）的40.9%。在同一時間里，此指數期貨的價格從180.0點跌到165.2點，跌幅8.2%。這驗證了期貨“以小博大”的特性——注下對了的話，可以放大報酬率；注下錯了的話，也膨脹了損失率。
有了“后見之明”，我們當然知道了張三對股市走勢是看走了眼。由于他把賭注下錯了邊，所以賠了錢。如果他看對了，也就是他在8月24日預測股市將下滑，那么，他應該賣指數期貨，也就是開“賣空盤口”(short position)。
假如張三在8月24日以180.0點的價位賣出一只9月期貨，再于8月31日以165.2點買進清盤，他未扣除交易成本的投機利潤將是2960元。由于他不會接到任何補倉通知，他的投資就是初始保證金5000元。換句話說，在前后10天不到的時間里，他的報酬率將是2960÷5000＝59.2%。
從上面的例子里，我們可以清楚地看到股價指數期貨的一些優缺點。在缺點方面，第一、由于買賣者只需支付初始保證金及補倉，期貨具有比以按金交易(margin trading)買賣股票更高的杠桿作用。當賭注下錯邊時，它的殺傷力也更大。
第二個缺點是，不像股票，指數期貨是有到期日的，而且到期日多半很短，近的就在當月月底，遠的也不過就是一年又兩個月以后。（當然，如果此合約受到市場歡迎，只要有這方面的需求，交易所可推出更遠的合約。）當我們自資買進股票、股價卻不斷下跌時，“不服輸”（因此，不肯放手）的人可以把股票“收”起來，只要公司不倒，價格反彈的機會總是在的。期貨就不同了，到期日一到，就得來個輸贏總算帳。愿意繼續投機的投資者只能把目標轉到其他尚未到期的期貨去。
優點方面，第一、一個投資人只需有支付初始保證金的閑錢，就可以考驗一下自己的“慧眼”了。（只有“閑錢”才適合拿來投機；萬一賠了，雖然負報酬率的數字看來很大，金額并不是太大。新加坡國際金融交易所不論對業務量是多么地用心爭取，也不會希望有人因為盲目投機產生巨損而跳樓自盡。）
第二、只想搭“股市列車”的投資人無需花功夫從數百家掛牌公司中精挑細選出投資對象，節省了許多打探情報的時間與精力，也免去了必須辨別有關個別公司消息真偽的許多煩惱。
第三、期貨的交易費用與合約的價值無關，而是按買賣合約數目收費的。一般而言，期貨交易費用的低廉絕對是依交易值抽成取傭的股票交易無法望其項背的。
第四、由于所需資本及交易費用低，以股價指數期貨來進出股市是非常有彈性的。某君在這一刻對全盤股市看跌（漲），他可以立刻賣出（買進）指數期貨。如果他在五分鐘后改變了想法，他可以立刻買進（賣出）、把盤口給蓋了；除了價差，只是損失了一點交易費用。股票買賣就不同了，首先，在多半情況下，我們不能賣空股票；再者，由于傭金高昂，賣價得高出買價2.3%后，才能“損益兩平”。