VIX冲高回落，短期波动警报尚未解除

Quantitative Models and Construction Methods 1. Model Name: Continuous Hedging Strategy - Model Construction Idea: This strategy is based on the convergence of basis in stock index futures and aims to optimize hedging performance by continuously rolling over contracts[44][45] - Model Construction Process: - Backtesting Period: July 22, 2022, to April 11, 2025[45] - Spot Side: Hold the total return index of the corresponding underlying index[45] - Futures Side: Use 70% of the funds for the spot side and allocate the same nominal principal to short futures contracts, occupying the remaining 30% of the funds[45] - Rebalancing Rules: Continuously hold quarterly/monthly contracts until the remaining maturity is less than 2 days, then close the position at the closing price and roll over to the next contract[45] - Assumptions: No transaction fees, impact costs, or indivisibility of futures contracts are considered[45] 2. Model Name: Minimum Discount Hedging Strategy - Model Construction Idea: This strategy selects contracts with the smallest annualized basis discount to optimize hedging performance[46] - Model Construction Process: - Backtesting Period: July 22, 2022, to April 11, 2025[46] - Spot Side: Hold the total return index of the corresponding underlying index[46] - Futures Side: Use 70% of the funds for the spot side and allocate the same nominal principal to short futures contracts, occupying the remaining 30% of the funds[46] - Rebalancing Rules: Calculate the annualized basis for all tradable futures contracts daily and select the contract with the smallest discount. Hold the selected contract for 8 trading days or until the remaining maturity is less than 2 days before reselecting[46] - Assumptions: No transaction fees, impact costs, or indivisibility of futures contracts are considered[46] --- Backtesting Results of Models 1. Continuous Hedging Strategy - IC (CSI 500 Futures): - Annualized Return: -2.08% (monthly), -1.71% (quarterly)[48] - Volatility: 3.98% (monthly), 4.89% (quarterly)[48] - Maximum Drawdown: -7.51% (monthly), -8.34% (quarterly)[48] - Net Value: 0.9449 (monthly), 0.9544 (quarterly)[48] - Annual Turnover: 12 (monthly), 4 (quarterly)[48] - YTD Return (2025): -0.97% (monthly), 0.04% (quarterly)[48] - IF (CSI 300 Futures): - Annualized Return: 1.01% (monthly), 1.06% (quarterly)[53] - Volatility: 3.12% (monthly), 3.46% (quarterly)[53] - Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly)[53] - Net Value: 1.0275 (monthly), 1.0288 (quarterly)[53] - Annual Turnover: 12 (monthly), 4 (quarterly)[53] - YTD Return (2025): 0.42% (monthly), 0.89% (quarterly)[53] - IH (SSE 50 Futures): - Annualized Return: 1.42% (monthly), 2.20% (quarterly)[57] - Volatility: 3.23% (monthly), 3.66% (quarterly)[57] - Maximum Drawdown: -4.22% (monthly), -3.75% (quarterly)[57] - Net Value: 1.0389 (monthly), 1.0604 (quarterly)[57] - Annual Turnover: 12 (monthly), 4 (quarterly)[57] - YTD Return (2025): 0.80% (monthly), 1.10% (quarterly)[57] - IM (CSI 1000 Futures): - Annualized Return: -4.95% (monthly), -3.96% (quarterly)[59] - Volatility: 4.39% (monthly), 5.48% (quarterly)[59] - Maximum Drawdown: -13.84% (monthly), -12.63% (quarterly)[59] - Net Value: 0.8718 (monthly), 0.8965 (quarterly)[59] - Annual Turnover: 12 (monthly), 4 (quarterly)[59] - YTD Return (2025): -1.53% (monthly), -0.34% (quarterly)[59] 2. Minimum Discount Hedging Strategy - IC (CSI 500 Futures): - Annualized Return: -0.83%[48] - Volatility: 4.80%[48] - Maximum Drawdown: -7.97%[48] - Net Value: 0.9778[48] - Annual Turnover: 18.14[48] - YTD Return (2025): -0.09%[48] - IF (CSI 300 Futures): - Annualized Return: 1.60%[53] - Volatility: 3.24%[53] - Maximum Drawdown: -4.06%[53] - Net Value: 1.0439[53] - Annual Turnover: 15.55[53] - YTD Return (2025): 1.03%[53] - IH (SSE 50 Futures): - Annualized Return: 1.86%[57] - Volatility: 3.23%[57] - Maximum Drawdown: -3.91%[57] - Net Value: 1.0510[57] - Annual Turnover: 17.03[57] - YTD Return (2025): 0.98%[57] - IM (CSI 1000 Futures): - Annualized Return: -3.44%[59] - Volatility: 5.34%[59] - Maximum Drawdown: -11.11%[59] - Net Value: 0.9098[59] - Annual Turnover: 16.66[59] - YTD Return (2025): -0.27%[59] --- Quantitative Factors and Construction Methods 1. Factor Name: Cinda-VIX - Factor Construction Idea: Reflects market expectations of future volatility based on option pricing, with adjustments for the Chinese market[62] - Factor Construction Process: - Derived from option prices to measure expected volatility over different time horizons[62] - Includes term structures to capture volatility expectations for different maturities[62] - Factor Evaluation: Provides insights into market sentiment and risk expectations[62] 2. Factor Name: Cinda-SKEW - Factor Construction Idea: Measures the skewness in implied volatility across different strike prices, indicating market expectations of extreme events[68] - Factor Construction Process: - Captures the slope of implied volatility across strike prices[68] - Higher values indicate greater concern for tail risks[68] - Factor Evaluation: Useful for assessing market concerns about extreme downside risks[68] --- Backtesting Results of Factors 1. Cinda-VIX - 30-Day VIX Values: - SSE 50: 22.26[62] - CSI 300: 22.97[62] - CSI 500: 31.73[62] - CSI 1000: 32.42[62] 2. Cinda-SKEW - SKEW Values: - SSE 50: 100.46[69] - CSI 300: 101.54[69] - CSI 500: 101.32[69] - CSI 1000: 100.09[69]