市场降温VIX全面下移，警惕中证500尾部风险

Quantitative Models and Construction Methods - Model Name: Continuous Hedging Strategy Construction Idea: The strategy is based on the convergence of futures basis and optimized hedging methods, as detailed in the report series "Research on Futures Basis Convergence and Hedging Optimization Strategy" by Cinda Securities[44] Construction Process: - Backtesting Period: July 22, 2022, to March 28, 2025[45] - Spot Side: Hold the total return index of the corresponding underlying index[45] - Futures Side: Use 70% of funds for the spot side and allocate the same nominal principal to short futures contracts (e.g., CSI 500, CSI 1000, SSE 50, CSI 300 futures contracts), occupying the remaining 30% of funds[45] - Rebalancing Rules: Continuously hold quarterly/monthly contracts until the remaining days to expiration are less than 2 days. Close positions at the closing price and open positions in the next quarterly/monthly contract at the same closing price[45] Evaluation: Provides a systematic approach to hedging but does not account for transaction costs or market impact[45] - Model Name: Minimum Basis Strategy Construction Idea: Select contracts with the smallest annualized basis discount to optimize hedging performance[46] Construction Process: - Backtesting Period: July 22, 2022, to March 28, 2025[46] - Spot Side: Hold the total return index of the corresponding underlying index[46] - Futures Side: Use 70% of funds for the spot side and allocate the same nominal principal to short futures contracts (e.g., CSI 500, CSI 1000, SSE 50, CSI 300 futures contracts), occupying the remaining 30% of funds[46] - Rebalancing Rules: Calculate the annualized basis for all tradable futures contracts daily and select the contract with the smallest basis discount for opening positions. Hold the selected contract for 8 trading days or until the remaining days to expiration are less than 2 days[46] Evaluation: Offers flexibility in contract selection but requires frequent rebalancing, increasing operational complexity[46] Model Backtesting Results - Continuous Hedging Strategy - CSI 500 Futures: - Annualized Return: -2.01% (monthly), -1.77% (quarterly), -0.84% (minimum basis)[48] - Volatility: 4.00% (monthly), 4.91% (quarterly), 4.82% (minimum basis)[48] - Maximum Drawdown: -7.51% (monthly), -8.34% (quarterly), -7.97% (minimum basis)[48] - Net Value: 0.9473 (monthly), 0.9534 (quarterly), 0.9778 (minimum basis)[48] - Annual Turnover: 12 (monthly), 4 (quarterly), 18.39 (minimum basis)[48] - 2025 YTD Return: -0.73% (monthly), -0.06% (quarterly), -0.10% (minimum basis)[48] - CSI 300 Futures: - Annualized Return: 0.94% (monthly), 0.85% (quarterly), 1.40% (minimum basis)[53] - Volatility: 2.85% (monthly), 3.22% (quarterly), 3.01% (minimum basis)[53] - Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly), -4.06% (minimum basis)[53] - Net Value: 1.0254 (monthly), 1.0228 (quarterly), 1.0377 (minimum basis)[53] - Annual Turnover: 12 (monthly), 4 (quarterly), 15.77 (minimum basis)[53] - 2025 YTD Return: 0.20% (monthly), 0.29% (quarterly), 0.41% (minimum basis)[53] - SSE 50 Futures: - Annualized Return: 1.33% (monthly), 2.01% (quarterly), 1.70% (minimum basis)[55] - Volatility: 3.09% (monthly), 3.48% (quarterly), 3.04% (minimum basis)[55] - Maximum Drawdown: -4.22% (monthly), -3.75% (quarterly), -3.91% (minimum basis)[55] - Net Value: 1.0359 (monthly), 1.0545 (quarterly), 1.0459 (minimum basis)[55] - Annual Turnover: 12 (monthly), 4 (quarterly), 17.27 (minimum basis)[55] - 2025 YTD Return: 0.51% (monthly), 0.51% (quarterly), 0.48% (minimum basis)[55] - CSI 1000 Futures: - Annualized Return: -4.90% (monthly), -4.02% (quarterly), -3.48% (minimum basis)[58] - Volatility: 4.25% (monthly), 5.29% (quarterly), 5.16% (minimum basis)[58] - Maximum Drawdown: -13.84% (monthly), -12.63% (quarterly), -11.11% (minimum basis)[58] - Net Value: 0.8748 (monthly), 0.8965 (quarterly), 0.9101 (minimum basis)[58] - Annual Turnover: 12 (monthly), 4 (quarterly), 16.89 (minimum basis)[58] - 2025 YTD Return: -1.22% (monthly), -0.34% (quarterly), -0.25% (minimum basis)[58] Quantitative Factors and Construction Methods - Factor Name: Cinda-VIX Construction Idea: Reflects market expectations of future volatility based on option pricing, with adjustments for China's market characteristics[61] Construction Process: - Algorithm derived from the report series "Exploring Market Sentiment Embedded in Options"[61] - VIX values are calculated for different time horizons (e.g., 30, 60, 90, 120 days)[61] Evaluation: Provides insights into market sentiment and volatility expectations across different timeframes[61] - Factor Name: Cinda-SKEW Construction Idea: Measures the skewness of implied volatility across different strike prices, capturing market sentiment on tail risks[70] Construction Process: - Derived from the relative differences in implied volatility between out-of-the-money call and put options[70] - Higher SKEW values indicate increased concerns about tail risks[71] Evaluation: Useful for identifying market fears of extreme events, often referred to as the "Black Swan Index"[71] Factor Backtesting Results - Cinda-VIX: - 30-day VIX values as of March 28, 2025: - SSE 50: 17.09[61] - CSI 300: 16.53[61] - CSI 500: 24.95[61] - CSI 1000: 24.14[61] - Cinda-SKEW: - SKEW values as of March 28, 2025: - SSE 50: 95.03[71] - CSI 300: 98.13[71] - CSI 500: 103.33[71] - CSI 1000: 98.94[71]