Cinda Securities(SH:601059) Xinda Securities·2025-05-17 08:02Quantitative 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[47][48] - Model Construction Process: - Backtesting Period: July 22, 2022, to May 16, 2025[48] - Spot Side: Hold the total return index of the corresponding underlying index[48] - Futures Side: Use 70% of the funds for the spot side and the remaining 30% for shorting futures contracts with the same nominal principal[48] - Rebalancing Rules: Continuously hold the current month/quarter contracts until two days before expiration, then roll over to the next contract at the closing price[48] - Assumptions: No transaction fees, impact costs, or indivisibility of futures contracts are considered[48] 2. Model Name: Minimum Basis Strategy - Model Construction Idea: This strategy selects futures contracts with the smallest annualized basis discount to optimize hedging performance[49] - Model Construction Process: - Backtesting Period: July 22, 2022, to May 16, 2025[49] - Spot Side: Hold the total return index of the corresponding underlying index[49] - Futures Side: Use 70% of the funds for the spot side and the remaining 30% for shorting futures contracts with the same nominal principal[49] - Rebalancing Rules: Calculate the annualized basis for all tradable futures contracts and select the one with the smallest discount. Contracts are held for at least eight trading days or until two days before expiration[49] - Assumptions: No transaction fees, impact costs, or indivisibility of futures contracts are considered[49] --- Model Backtesting Results 1. Continuous Hedging Strategy - IC (CSI 500 Futures): - Annualized Return: -2.45% (current month), -1.66% (quarterly), -0.66% (minimum basis)[51] - Volatility: 3.94% (current month), 4.85% (quarterly), 4.76% (minimum basis)[51] - Maximum Drawdown: -7.51% (current month), -8.34% (quarterly), -7.97% (minimum basis)[51] - Net Value: 0.9331 (current month), 0.9543 (quarterly), 0.9818 (minimum basis)[51] - IF (CSI 300 Futures): - Annualized Return: 0.76% (current month), 1.01% (quarterly), 1.59% (minimum basis)[56] - Volatility: 3.08% (current month), 3.42% (quarterly), 3.21% (minimum basis)[56] - Maximum Drawdown: -3.95% (current month), -4.03% (quarterly), -4.06% (minimum basis)[56] - Net Value: 1.0212 (current month), 1.0286 (quarterly), 1.0450 (minimum basis)[56] - IH (SSE 50 Futures): - Annualized Return: 1.20% (current month), 2.13% (quarterly), 1.84% (minimum basis)[60] - Volatility: 3.19% (current month), 3.62% (quarterly), 3.21% (minimum basis)[60] - Maximum Drawdown: -4.22% (current month), -3.75% (quarterly), -3.91% (minimum basis)[60] - Net Value: 1.0339 (current month), 1.0605 (quarterly), 1.0521 (minimum basis)[60] - IM (CSI 1000 Futures): - Annualized Return: -5.28% (current month), -3.88% (quarterly), -3.23% (minimum basis)[62] - Volatility: 4.35% (current month), 5.45% (quarterly), 5.31% (minimum basis)[62] - Maximum Drawdown: -14.36% (current month), -12.63% (quarterly), -11.11% (minimum basis)[62] - Net Value: 0.8595 (current month), 0.8953 (quarterly), 0.9124 (minimum basis)[62] --- 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[65] - Factor Construction Process: - Based on methodologies from international markets, adjusted for China's on-exchange options market[65] - Calculated using implied volatilities from options with different maturities[65] - Factor Evaluation: Provides insights into market sentiment and volatility expectations[65] 2. Factor Name: Cinda-SKEW - Factor Construction Idea: Measures the skewness in implied volatility across different strike prices, capturing market expectations of extreme tail risks[74] - Factor Construction Process: - Analyzes the slope of implied volatility curves for options with varying strike prices[74] - Higher SKEW values indicate increased demand for out-of-the-money options, reflecting heightened tail risk concerns[75] - Factor Evaluation: Useful for assessing market sentiment and potential "black swan" events[75] --- Factor Backtesting Results 1. Cinda-VIX - 30-Day VIX Values: - SSE 50: 19.24[65] - CSI 300: 19.19[65] - CSI 500: 22.56[65] - CSI 1000: 26.89[65] 2. Cinda-SKEW - SKEW Values: - SSE 50: 100.71[75] - CSI 300: 103.73[75] - CSI 500: 98.73[75] - CSI 1000: 107.96[75]