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Blue Titans Vietnam All-Stars Protective Fund
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IntrIntroduction
The Vietnam Superstar Protective Index is a capital‑protected equity index designed to provide investors with exposure to Vietnam’s growth while managing market volatility. It tracks a concentrated basket of the Top 10 most liquid and largest‑capitalization Vietnamese stocks, selected based on free‑float market capitalization, liquidity, and foreign ownership availability. The index objective is to achieve equity‑linked growth with the explicit aim of avoiding losses over any rolling 12‑month period.
To achieve this protective profile, the index allocates approximately 80% of its value to the equity basket and reserves 20% for systematic hedging using VN30 Index Futures. This hedging mechanism is intended to reduce downside risk during periods of market stress while preserving upside participation during favorable market conditions. As a result, the Vietnam Superstar Protective Index is well suited for institutional and international investors seeking a balanced, risk‑controlled approach to participating in Vietnam’s equity market.
Key features
Hedging Principle
One of the fund’s primary objectives is to ensure no loss over any 12‑month period. To achieve this, only 80% of the capital is allocated to the equities basket, while the remaining 20% is reserved exclusively for hedging through VN30 Index Futures, providing downside protection and stabilizing the fund’s overall performance.
VN30 Index Futures Contract
- Size: 100,000 VND
- Maturities: 2 Monthly, 2 Quarterly expiries
- Margin: 13%
Delta neutral Strategy using Futures
To protect the stock portfolio against losses, the delta‑neutral strategy involves selling VN30 Index Futures. The optimal number of contracts is determined by the following formula:
Number of contacts =Value of the Portfolio . BetaVN30 Futures price x 100,000Number of contacts =Value of the Portfolio . BetaVN30 Futures price x 100,000
Hedging implementation with Superstar Top 10 Index Fund
Specifications
- The total portfolio value amounts to EUR 111,000, equivalent to approximately VND 3,365,322,480.
- Of this amount, 80% is invested in the fund’s equity basket, representing an adjusted exposure of VND 2,657,520,000, while the remaining 20%—equivalent to VND 707,802,480—is held in cash and reserved for risk management purposes.
- When the Fund Manager anticipates a strongly bearish market environment for the following trading day, this cash allocation will be actively deployed to implement a delta‑neutral hedge through the sale of VN30 Index Futures, thereby protecting the equity portfolio from potential downside risk.
During intraday trading, two scenarios may occur:
- Downtrend Confirmation:
If the downward trend is confirmed, the futures position is maintained and closed at market close.
- Trend Reversal:
If market conditions reverse intraday, the futures position is closed earlier to limit unnecessary exposure and lock in gains or reduce losses.
Operations
Determination of the Number of Contracts to Sell
The optimal number of VN30 Index Futures contracts to sell is calculated using the fund’s delta‑neutral hedge ratio.
Execution Rules
- Opening the Hedge: Initiate the short hedge at market open using a market‑price sell order.
- Closing the Hedge: Close the position at market close using a market‑price buy order, ensuring the hedge is fully unwound before the session ends.
Case study 1: Downtrend Confirmation, 2026-03-03
Data
- Value of the Stock Portfolio, V = 2,648,350,000 VND
- Beta of the Portfolio, b = 0.80
- Futures Price used is the Settlement price of VN30 (previous day), F = 2,015.0 pts
The number of contracts, calculated and round to the upper integer, N = 20
Executions
- The short position was initiated at the market open at 2,017.0
- At the close of the market, the position is closed with a buy order at 1,952.0.
Performance of the hedge
The hedge result is:
20 x 100,000 x 2,017 – 20 x 100,000 x 1,952
= 4,034,000,000 – 3,904,000,000 = 130,000,000 VND
Conclusion
With hedging
The 80% allocated to the stock portfolio recorded a decline of –2.74%, equivalent to -72,646,266 VND. However, the VN30 Index Futures hedge generated a gain of +130,000,000 VND, which partially offset the loss.
Combined daily result:
-72,646,266 + 130,000,000 = 57,353,734 VND
Thus, the hedge was approximately 179% effective.
Without Hedging
If the entire portfolio value had been fully invested in equities, the loss would have been:
−2.74%× 3,365,331,650 = −92,210,087 VND
Hedge benefit: + 57,353,734 VND (gain in profit)
The final combined return is not perfectly equal to zero, as theoretical hedge calculations may differ from real‑world execution. In practice, the actual number of futures contracts and market prices can diverge from the model assumptions.
This discrepancy arises because:
- Beta is estimated using historical price data, which may not accurately reflect current market dynamics.
- Futures prices and spot index movements can diverge, particularly during periods of market stress.
- Extreme volatility or crisis conditions often lead to rapid changes in correlations and betas, reducing hedge precision.
As a result, while the delta‑neutral framework significantly mitigates downside risk, perfect offsetting cannot be guaranteed, especially in highly volatile or dislocated market environments.
Case study 2: Reversal Trend, 2026-03-04
Data
- Value of the Stock Portfolio, V = 2,657,520,000 VND
- Beta of the Portfolio, b = 1.90
- Futures Price used is the Settlement price of VN30 (previous day), F = 1952.0 pts
The number of contracts, calculated and round to the upper integer, N = 26
Executions
- The short position was initiated at the market open at 1,942.00
- At the close of the market, the position is closed with a buy order at 1,933.9.
Performance of the hedge
The hedge result is:
26 x 100,000 x 1,942 – 26 x 100,000 x 1,933.9
5,049,200,000 – 5,028,140,000 = 21,060,000 VND
Conclusion
With hedging
The 80% allocated to the stock portfolio recorded a decline of –0.33%, equivalent to –8,691,363 VND. However, the VN30 Index Futures hedge generated a gain of + 21,060,000 VND, which partially offset the loss.
Combined daily result:
–8,691,363 + 21,060,000 = 12,368,637 VND
Thus, the hedge was approximately 242.31% effective.
Without Hedging
If the entire portfolio value had been fully invested in equities, the loss would have been:
−0.33%× 3,365,322,480 = −11,105,564 VND
Hedge benefit: +12,368,637 VND (gain in profit)
The final combined return is not perfectly equal to zero, as theoretical hedge calculations may differ from real‑world execution. In practice, the actual number of futures contracts and market prices can diverge from the model assumptions.
This discrepancy arises because:
- Beta is estimated using historical price data, which may not accurately reflect current market dynamics.
- Futures prices and spot index movements can diverge, particularly during periods of market stress.
- Extreme volatility or crisis conditions often lead to rapid changes in correlations and betas, reducing hedge precision.
As a result, while the delta‑neutral framework significantly mitigates downside risk, perfect offsetting cannot be guaranteed, especially in highly volatile or dislocated market environments.
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