Index arbitrage on the Ukrainian Exchange

The idea is the purchase of shares included in the Index and sale of futures on the Index. Anticipated profit is spread between the Index and futures at the moment of creating arbitration portfolio.

1 000 000 UAH
amount of investment
1 month
period of investment
40% per/year
expected return
45% per/year
realized yield
135 0 134 0 132 0 131 0 130 0 129 0 128 0 127 0 126 0 1 2 3 4 5 6 7 8 october spread 55 points futures index
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121 0 119 0 117 0 115 0 113 0 111 0 98 0 96 0 94 0 5 6 7 8 9 10 11 14 13 12 october spread 0 point futures index

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