金工策略周报

Quantitative Models and Construction Methods Intertemporal Arbitrage Strategy - Momentum Factor - Factor Name: Momentum Factor - Construction Idea: The factor is based on the return of intertemporal arbitrage portfolios over the past k trading days[33] - Construction Process: - For IH, a one-year momentum factor is used - For IF and IC, equal-weighted momentum factors are constructed for 10, 20, 30, 40, 60, 80, 120, and 250 trading days - Multi-period momentum strategies are built based on these factors - Rebalancing is done at the closing price, with a single-side transaction cost of 0.05%[33] - Evaluation: The factor effectively captures intertemporal arbitrage opportunities, with varying performance across different indices[33] Intertemporal Arbitrage Strategy - Annualized Basis Rate Factor - Factor Name: Annualized Basis Rate Factor - Construction Idea: The factor identifies arbitrage opportunities by comparing the annualized basis rates of different contracts[39] - Construction Process: - At 14:45 each day, the annualized basis rates of contracts (excluding dividends) are calculated - Long positions are taken on contracts with the lowest annualized basis rates, and short positions on those with the highest - Contracts with less than 10 days to expiration are excluded - Rebalancing is done at the closing price, with a single-side transaction cost of 0.05%[39] - Evaluation: The factor demonstrates strong performance in identifying profitable arbitrage opportunities, particularly for IC and IM contracts[39] --- Model Backtesting Results Momentum Factor - IH: Cumulative return 21.0%, annualized return 5.9%, annualized volatility 7.6%, Sharpe ratio 0.77, maximum drawdown -7.6%, Calmar ratio 0.77, monthly win rate 58%, profit-loss ratio 1.564[34] - IF: Cumulative return 8.8%, annualized return 2.6%, annualized volatility 5.5%, Sharpe ratio 0.46, maximum drawdown -7.0%, Calmar ratio 0.37, monthly win rate 49%, profit-loss ratio 1.560[34] - IC: Cumulative return 7.9%, annualized return 2.3%, annualized volatility 9.6%, Sharpe ratio 0.24, maximum drawdown -15.2%, Calmar ratio 0.15, monthly win rate 49%, profit-loss ratio 1.303[34] Annualized Basis Rate Factor - IH: Cumulative return 2.4%, annualized return 1.7%, annualized volatility 4.8%, Sharpe ratio 0.36, maximum drawdown -2.8%, Calmar ratio 0.61, monthly win rate 56%, profit-loss ratio 1.14[40] - IF: Cumulative return 10.9%, annualized return 7.8%, annualized volatility 5.7%, Sharpe ratio 1.37, maximum drawdown -2.9%, Calmar ratio 2.67, monthly win rate 67%, profit-loss ratio 1.61[40] - IC: Cumulative return 15.1%, annualized return 10.7%, annualized volatility 8.5%, Sharpe ratio 1.26, maximum drawdown -8.8%, Calmar ratio 1.22, monthly win rate 72%, profit-loss ratio 0.75[40] - IM: Cumulative return 11.8%, annualized return 8.4%, annualized volatility 8.7%, Sharpe ratio 0.97, maximum drawdown -7.9%, Calmar ratio 1.07, monthly win rate 56%, profit-loss ratio 1.06[40]