金工点评报告：波动率市场表里不一，短期VIX躁动难掩SKEW冷静

Quantitative Models and Construction Methods 1. Model Name: Continuous Hedging Strategy - Model Construction Idea: This strategy is based on the analysis of basis convergence factors and optimization strategies, as detailed in the Cinda Securities derivatives research report series. It aims to minimize the impact of basis fluctuations through continuous adjustments to hedging positions [40] - Model Construction Process: - Backtesting Period: July 22, 2022, to March 14, 2025 - Spot Side: Hold the total return index of the corresponding underlying index - Futures Side: Use 70% of the funds for the spot side and allocate the remaining 30% to short futures contracts of the same nominal principal (e.g., CSI 500, CSI 300, SSE 50, CSI 1000 index futures) - Rebalancing Rules: Continuously hold quarterly/monthly contracts until the remaining days to maturity are less than 2. Close the position at the closing price on that day and simultaneously short the next quarterly/monthly contract at the closing price [41] - Model Evaluation: This strategy provides a systematic approach to managing basis risks but does not account for transaction costs or market impact [41] 2. Model Name: Minimum Basis Strategy - Model Construction Idea: This strategy selects futures contracts with the smallest annualized basis discount to optimize hedging performance [42] - Model Construction Process: - Backtesting Period: July 22, 2022, to March 14, 2025 - Spot Side: Hold the total return index of the corresponding underlying index - Futures Side: Use 70% of the funds for the spot side and allocate the remaining 30% to short futures contracts of the same nominal principal - Rebalancing Rules: Calculate the annualized basis for all tradable futures contracts on the rebalancing day and select the contract with the smallest basis discount. Hold the selected contract for 8 trading days or until the remaining days to maturity are less than 2, then rebalance [42] - Model Evaluation: This strategy dynamically adjusts positions based on basis changes, potentially improving hedging efficiency [42] --- Model Backtesting Results 1. Continuous Hedging Strategy - CSI 500 Futures: - Annualized Return: -2.01% (monthly), -1.82% (quarterly) - Volatility: 4.02% (monthly), 4.94% (quarterly) - Maximum Drawdown: -7.51% (monthly), -8.34% (quarterly) - Net Value: 0.9480 (monthly), 0.9529 (quarterly) - IR: Not provided [44] - CSI 300 Futures: - Annualized Return: 0.89% (monthly), 0.76% (quarterly) - Volatility: 2.87% (monthly), 3.24% (quarterly) - Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly) - Net Value: 1.0236 (monthly), 1.0202 (quarterly) - IR: Not provided [49] - SSE 50 Futures: - Annualized Return: 1.27% (monthly), 1.97% (quarterly) - Volatility: 3.11% (monthly), 3.50% (quarterly) - Maximum Drawdown: -4.22% (monthly), -3.75% (quarterly) - Net Value: 1.0337 (monthly), 1.0525 (quarterly) - IR: Not provided [54] - CSI 1000 Futures: - Annualized Return: -4.87% (monthly), -4.02% (quarterly) - Volatility: 4.26% (monthly), 5.30% (quarterly) - Maximum Drawdown: -13.84% (monthly), -12.63% (quarterly) - Net Value: 0.8773 (monthly), 0.8981 (quarterly) - IR: Not provided [57] 2. Minimum Basis Strategy - CSI 500 Futures: - Annualized Return: -0.93% - Volatility: 4.84% - Maximum Drawdown: -7.97% - Net Value: 0.9759 - IR: Not provided [44] - CSI 300 Futures: - Annualized Return: 1.31% - Volatility: 3.03% - Maximum Drawdown: -4.06% - Net Value: 1.0348 - IR: Not provided [49] - SSE 50 Futures: - Annualized Return: 1.68% - Volatility: 3.06% - Maximum Drawdown: -3.91% - Net Value: 1.0446 - IR: Not provided [54] - CSI 1000 Futures: - Annualized Return: -3.49% - Volatility: 5.17% - Maximum Drawdown: -11.11% - Net Value: 0.9109 - IR: Not provided [57] --- Quantitative Factors and Construction Methods 1. Factor Name: Cinda-VIX - Factor Construction Idea: Reflects investors' expectations of future volatility in the options market, with a term structure to capture different time horizons [60] - Factor Construction Process: - Based on the methodology outlined in the Cinda Securities derivatives research report series, adjusted for the Chinese market - Calculated using implied volatility from options prices [60] - Factor Evaluation: Provides insights into market sentiment and volatility expectations [60] 2. Factor Name: Cinda-SKEW - Factor Construction Idea: Measures the skewness of implied volatility across different strike prices, capturing market expectations of extreme events [66] - Factor Construction Process: - Derived from the implied volatility of out-of-the-money options - Positive values indicate higher demand for call options, while negative values reflect higher demand for put options [66] - Factor Evaluation: Useful for assessing tail risk and market sentiment regarding extreme events [67] --- Factor Backtesting Results 1. Cinda-VIX - 30-Day VIX Values: - SSE 50: 21.35 - CSI 300: 19.86 - CSI 500: 26.42 - CSI 1000: 26.01 [60] 2. Cinda-SKEW - SKEW Values: - SSE 50: 97.72 - CSI 300: 99.44 - CSI 500: 98.05 - CSI 1000: 102.75 [67]