Cinda Securities(SH:601059) Xinda Securities·2025-06-07 08:11Quantitative Models and Construction Methods Model Name: IC Hedging Strategy - Model Construction Idea: The strategy is based on the analysis of basis convergence factors and optimization strategies as discussed in the Cinda Derivatives Research Report Series III[45] - Model Construction Process: - Backtesting Period: July 22, 2022, to June 6, 2025[46] - Spot End: Hold the total return index of the corresponding underlying index[46] - Futures End: Use 70% of the funds for the spot end and short the same nominal principal amount of CSI 500 index futures contracts, occupying the remaining 30% of the funds[46] - Rebalancing Rules: Continuously hold the quarterly/monthly contracts until the remaining days to maturity are less than 2 days, then close the position at the closing price of the day and short the next quarterly/monthly contract at the closing price of the day[46] - Model Evaluation: The strategy performed well with positive weekly returns due to the expansion of the basis discount[49] Model Name: IF Hedging Strategy - Model Construction Idea: Similar to the IC Hedging Strategy, based on basis convergence factors and optimization strategies[45] - Model Construction Process: - Backtesting Period: July 22, 2022, to June 6, 2025[50] - Spot End: Hold the total return index of the corresponding underlying index[50] - Futures End: Use 70% of the funds for the spot end and short the same nominal principal amount of CSI 300 index futures contracts, occupying the remaining 30% of the funds[50] - Rebalancing Rules: Continuously hold the quarterly/monthly contracts until the remaining days to maturity are less than 2 days, then close the position at the closing price of the day and short the next quarterly/monthly contract at the closing price of the day[50] - Model Evaluation: The strategy performed well with positive weekly returns due to the expansion of the basis discount[54] Model Name: IH Hedging Strategy - Model Construction Idea: Similar to the IC Hedging Strategy, based on basis convergence factors and optimization strategies[45] - Model Construction Process: - Backtesting Period: July 22, 2022, to June 6, 2025[55] - Spot End: Hold the total return index of the corresponding underlying index[55] - Futures End: Use 70% of the funds for the spot end and short the same nominal principal amount of SSE 50 index futures contracts, occupying the remaining 30% of the funds[55] - Rebalancing Rules: Continuously hold the quarterly/monthly contracts until the remaining days to maturity are less than 2 days, then close the position at the closing price of the day and short the next quarterly/monthly contract at the closing price of the day[55] - Model Evaluation: The strategy performed well with positive weekly returns due to the expansion of the basis discount[58] Model Name: IM Hedging Strategy - Model Construction Idea: Similar to the IC Hedging Strategy, based on basis convergence factors and optimization strategies[45] - Model Construction Process: - Backtesting Period: July 22, 2022, to June 6, 2025[59] - Spot End: Hold the total return index of the corresponding underlying index[59] - Futures End: Use 70% of the funds for the spot end and short the same nominal principal amount of CSI 1000 index futures contracts, occupying the remaining 30% of the funds[59] - Rebalancing Rules: Continuously hold the quarterly/monthly contracts until the remaining days to maturity are less than 2 days, then close the position at the closing price of the day and short the next quarterly/monthly contract at the closing price of the day[59] - Model Evaluation: The strategy performed well with positive weekly returns due to the expansion of the basis discount[60] Model Backtesting Results - IC Hedging Strategy: - Annualized Return: -2.65% (monthly continuous), -1.77% (quarterly continuous), -0.74% (minimum discount strategy)[49] - Volatility: 3.91% (monthly continuous), 4.81% (quarterly continuous), 4.73% (minimum discount strategy)[49] - Maximum Drawdown: -7.51% (monthly continuous), -8.34% (quarterly continuous), -7.97% (minimum discount strategy)[49] - Net Value: 0.9264 (monthly continuous), 0.9504 (quarterly continuous), 0.9792 (minimum discount strategy)[49] - Annual Turnover: 12 (monthly continuous), 4 (quarterly continuous), 17.55 (minimum discount strategy)[49] - 2025 YTD Return: -2.82% (monthly continuous), -0.36% (quarterly continuous), 0.04% (minimum discount strategy)[49] - IF Hedging Strategy: - Annualized Return: 0.63% (monthly continuous), 0.92% (quarterly continuous), 1.46% (minimum discount strategy)[54] - Volatility: 3.05% (monthly continuous), 3.40% (quarterly continuous), 3.19% (minimum discount strategy)[54] - Maximum Drawdown: -3.95% (monthly continuous), -4.03% (quarterly continuous), -4.06% (minimum discount strategy)[54] - Net Value: 1.0181 (monthly continuous), 1.0264 (quarterly continuous), 1.0421 (minimum discount strategy)[54] - Annual Turnover: 12 (monthly continuous), 4 (quarterly continuous), 15.10 (minimum discount strategy)[54] - 2025 YTD Return: -0.53% (monthly continuous), 0.65% (quarterly continuous), 0.85% (minimum discount strategy)[54] - IH Hedging Strategy: - Annualized Return: 1.17% (monthly continuous), 2.11% (quarterly continuous), 1.83% (minimum discount strategy)[58] - Volatility: 3.17% (monthly continuous), 3.59% (quarterly continuous), 3.18% (minimum discount strategy)[58] - Maximum Drawdown: -4.22% (monthly continuous), -3.75% (quarterly continuous), -3.91% (minimum discount strategy)[58] - Net Value: 1.0337 (monthly continuous), 1.0613 (quarterly continuous), 1.0529 (minimum discount strategy)[58] - Annual Turnover: 12 (monthly continuous), 4 (quarterly continuous), 16.15 (minimum discount strategy)[58] - 2025 YTD Return: 0.29% (monthly continuous), 1.19% (quarterly continuous), 1.17% (minimum discount strategy)[58] - IM Hedging Strategy: - Annualized Return: -5.86% (monthly continuous), -4.16% (quarterly continuous), -3.46% (minimum discount strategy)[60] - Volatility: 4.75% (monthly continuous), 5.80% (quarterly continuous), 5.61% (minimum discount strategy)[60] - Maximum Drawdown: -14.00% (monthly continuous), -12.63% (quarterly continuous), -11.11% (minimum discount strategy)[60] - Net Value: 0.8528 (monthly continuous), 0.8839 (quarterly continuous), 0.9006 (minimum discount strategy)[60] - Annual Turnover: 12 (monthly continuous), 4 (quarterly continuous), 16.02 (minimum discount strategy)[60] - 2025 YTD Return: -7.89% (monthly continuous), -2.89% (quarterly continuous), -1.81% (minimum discount strategy)[60] Quantitative Factors and Construction Methods Factor Name: Cinda-VIX - Factor Construction Idea: Reflects the market's expectation of future volatility of the underlying asset, with a term structure to reflect expectations over different periods[63] - Factor Construction Process: - Algorithm Basis: Based on the methodology discussed in the Cinda Derivatives Research Report Series IV[63] - Current Values: As of June 6, 2025, the 30-day VIX values for SSE 50, CSI 300, CSI 500, and CSI 1000 are 17.19, 16.45, 22.33, and 22.89, respectively[63] Factor Name: Cinda-SKEW - Factor Construction Idea: Measures the skewness of implied volatility (IV) of options with different strike prices, indicating market expectations of extreme events[68] - Factor Construction Process: - Algorithm Basis: Captures the skewness in IV to reflect market expectations of future returns distribution[68] - Current Values: As of June 6, 2025, the SKEW values for SSE