国君晨报1111|宏观、策略、海外策略、金融工程、计算机、公用事业、军工
Guotai Junan Securities·2024-11-11 02:03
- The report discusses the construction of a quantitative model for predicting index component adjustments and arbitrage strategies[22][23][24] - The model's construction involves detailed sample selection and financial loss identification rules, incorporating a suspect securities review mechanism[23] - The model's historical testing shows high accuracy and coverage rates for index component adjustments, with the average prediction accuracy and coverage rates for the CSI 300 index being 89% and 91%, respectively[23] - The model evaluates the investment opportunities inherent in index component adjustment events, revealing significant Alpha return characteristics during different periods of the prediction and announcement phases[24] - The arbitrage strategy research indicates substantial absolute and long-short returns for single and annual adjustments of the CSI 300 and CSI 500 indices since the second half of 2019[25] - The quantitative model for predicting index component adjustments shows high accuracy and coverage rates, indicating its effectiveness in forecasting index changes[23] - The model's evaluation of index adjustment events reveals significant Alpha return characteristics, suggesting potential investment opportunities[24] - The arbitrage strategy research demonstrates substantial returns, highlighting the model's practical application in generating profits from index adjustments[25] - CSI 300 index adjustment prediction accuracy: 89%[23] - CSI 300 index adjustment prediction coverage rate: 91%[23] - CSI 300 single adjustment absolute return: 14.19%[25] - CSI 300 single adjustment long-short return: 17.02%[25] - CSI 300 annual adjustment absolute return: 30.39%[25] - CSI 300 annual adjustment long-short return: 35.97%[25] - CSI 500 single adjustment absolute return: 9.63%[25] - CSI 500 single adjustment long-short return: 14.08%[25] - CSI 500 annual adjustment absolute return: 20.18%[25] - CSI 500 annual adjustment long-short return: 28.89%[25]