Quantitative Models and Construction Methods 1. Model Name: Continuous Hedging Strategy - Model Construction Idea: The strategy is based on the convergence of basis factors in stock index futures and optimizes hedging through continuous adjustments[47] - Model Construction Process: - Backtesting Period: From July 22, 2022, to May 23, 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 short the futures side with the same nominal principal, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantities of the spot and futures sides based on the product's net value[48] - Rebalancing Rules: Continuously hold quarterly/monthly contracts until the remaining time to maturity is less than 2 days. Close the position at the closing price on that day and simultaneously short the next quarterly/monthly contract at the closing price[48] - Assumptions: Equal allocation of principal between the spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[48] 2. Model Name: Minimum Discount Hedging Strategy - Model Construction Idea: This strategy selects futures contracts with the smallest annualized basis discount for hedging, aiming to optimize returns[49] - Model Construction Process: - Backtesting Period: From July 22, 2022, to May 23, 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 short the futures side with the same nominal principal, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantities of the spot and futures sides based on the product's net value[49] - Rebalancing Rules: Calculate the annualized basis for all tradable futures contracts on the day of rebalancing and select the contract with the smallest discount for opening a position. Hold the same contract for 8 trading days or until the remaining time to maturity is less than 2 days before selecting a new contract. Even if the result is to hold the original contract, it must still be held for 8 trading days[49] - Assumptions: Equal allocation of principal between the spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[49] --- Model Backtesting Results 1. Continuous Hedging Strategy - IC (CSI 500 Futures): - Annualized Return: -2.50% (monthly), -1.64% (quarterly)[51] - Volatility: 3.93% (monthly), 4.83% (quarterly)[51] - Maximum Drawdown: -7.51% (monthly), -8.34% (quarterly)[51] - Net Value: 0.9312 (monthly), 0.9545 (quarterly)[51] - Annual Turnover: 12 (monthly), 4 (quarterly)[51] - 2025 YTD Return: -2.34% (monthly), 0.05% (quarterly)[51] - IF (CSI 300 Futures): - Annualized Return: 0.72% (monthly), 0.99% (quarterly)[56] - Volatility: 3.07% (monthly), 3.41% (quarterly)[56] - Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly)[56] - Net Value: 1.0204 (monthly), 1.0281 (quarterly)[56] - Annual Turnover: 12 (monthly), 4 (quarterly)[56] - 2025 YTD Return: -0.30% (monthly), 0.83% (quarterly)[56] - IH (SSE 50 Futures): - Annualized Return: 1.18% (monthly), 2.14% (quarterly)[60] - Volatility: 3.18% (monthly), 3.61% (quarterly)[60] - Maximum Drawdown: -4.22% (monthly), -3.75% (quarterly)[60] - Net Value: 1.0336 (monthly), 1.0612 (quarterly)[60] - Annual Turnover: 12 (monthly), 4 (quarterly)[60] - 2025 YTD Return: 0.28% (monthly), 1.18% (quarterly)[60] - IM (CSI 1000 Futures): - Annualized Return: -5.76% (monthly), -4.12% (quarterly)[62] - Volatility: 4.76% (monthly), 5.81% (quarterly)[62] - Maximum Drawdown: -14.00% (monthly), -12.63% (quarterly)[62] - Net Value: 0.8595 (monthly), 0.8909 (quarterly)[62] - Annual Turnover: 12 (monthly), 4 (quarterly)[62] - 2025 YTD Return: -7.32% (monthly), -2.55% (quarterly)[62] 2. Minimum Discount Hedging Strategy - IC (CSI 500 Futures): - Annualized Return: -0.61%[51] - Volatility: 4.75%[51] - Maximum Drawdown: -7.97%[51] - Net Value: 0.9829[51] - Annual Turnover: 17.78[51] - 2025 YTD Return: 0.42%[51] - IF (CSI 300 Futures): - Annualized Return: 1.56%[56] - Volatility: 3.20%[56] - Maximum Drawdown: -4.06%[56] - Net Value: 1.0445[56] - Annual Turnover: 14.94[56] - 2025 YTD Return: 1.09%[56] - IH (SSE 50 Futures): - Annualized Return: 1.85%[60] - Volatility: 3.19%[60] - Maximum Drawdown: -3.91%[60] - Net Value: 1.0528[60] - Annual Turnover: 16.36[60] - 2025 YTD Return: 1.16%[60] - IM (CSI 1000 Futures): - Annualized Return: -3.45%[62] - Volatility: 5.62%[62] - Maximum Drawdown: -11.11%[62] - Net Value: 0.9068[62] - Annual Turnover: 16.12[62] - 2025 YTD Return: -1.64%[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 options market[65] - Captures implied volatility from options prices to reflect market sentiment[65] - Factor Values: - 30-day VIX values as of May 23, 2025: - SSE 50: 18.91 - CSI 300: 17.52 - CSI 500: 24.78 - CSI 1000: 26.65[65][66][67] 2. Factor Name: Cinda-SKEW - Factor Construction Idea: Measures the skewness of implied volatility across different strike prices, capturing market expectations of extreme risks[72] - Factor Construction Process: - Analyzes the slope of implied volatility curves to assess market sentiment on tail risks[72] - Higher SKEW values indicate increased concerns about extreme downside risks[73] - Factor Values: - SKEW values as of May 23, 2025: - SSE 50: 107.30 - CSI 300: 108.20 - CSI 500: 101.41 - CSI 1000: 110.79[73][74][79]
VIX低位调整，SKEW急涨预警极端风险
Xinda Securities·2025-05-24 10:08