IM对冲策略周度收益0.92%，中证500风险偏高

Group 1 - The report indicates that the IM hedging strategy achieved a weekly return of 0.92%, while the risk associated with the CSI 500 index is considered high [2][3] - The widening basis spread across various contracts this week resulted in positive returns for the hedging strategy, with the VIX rising significantly, particularly for the CSI 500 and CSI 1000 indices [3][3] - As of November 22, 2024, the predicted dividend points for the next year for the CSI 500, CSI 300, SSE 50, and CSI 1000 indices are 86.46, 85.88, 69.94, and 65.13 respectively [3][9] Group 2 - The report highlights that the basis for the IC, IF, IH, and IM contracts has been adjusted, with annualized basis spreads of 6.00%, -0.12%, 1.00%, and -9.55% respectively [3][3] - The report notes that the dividend distributions from index constituent stocks have a significant impact on the basis of the far-month contracts, with specific dividends affecting the index points [3][9] - The report provides a detailed analysis of the performance of various hedging strategies, indicating that the IC hedging strategy has shown a return of -1.71% over the backtesting period from July 22, 2022, to November 22, 2024 [3][59] Group 3 - The report outlines the backtesting results for the IF hedging strategy, which achieved an annualized return of 1.00% during the same period, indicating a positive performance in the current market conditions [3][63] - The IH hedging strategy also demonstrated a positive return of 1.34%, despite the overall basis being in a state of premium [3][67] - The IM hedging strategy's performance was analyzed, showing a return of 1.00% over the backtesting period, reflecting the effectiveness of the strategy in the current market environment [3][71]