Quantitative Models and Construction Methods Model Name: Continuous Hedging Strategy - Construction Idea: The strategy is based on the analysis of basis convergence factors and optimization strategies[43] - Construction Process: - Backtesting Parameters and Settings: - Backtesting Period: July 22, 2022, to June 27, 2025[44] - Spot End: Hold the total return index of the corresponding underlying index[44] - Futures End: Use 70% of the funds for the spot end, short the corresponding nominal principal amount of CSI 500 (CSI 300, SSE 50, CSI 1000) stock index futures contracts, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantity of the spot and futures ends based on the product's net value[44] - Rebalancing Rules: Continuously hold quarterly/monthly contracts until the remaining days to expiration are less than 2 days. On that day, close the position at the closing price and simultaneously short the next quarterly/monthly contract at the closing price[44] - Remarks: Allocate equal principal to the spot and futures ends, without considering transaction fees, impact costs, and the non-infinite divisibility of futures contracts[44] - Evaluation: The strategy is designed to optimize hedging by continuously adjusting positions based on basis convergence factors[43] Model Name: Minimum Basis Strategy - Construction Idea: The strategy selects the contract with the smallest annualized basis discount for hedging[45] - Construction Process: - Backtesting Parameters and Settings: - Backtesting Period: July 22, 2022, to June 27, 2025[45] - Spot End: Hold the total return index of the corresponding underlying index[45] - Futures End: Use 70% of the funds for the spot end, short the corresponding nominal principal amount of CSI 500 (CSI 300, SSE 50, CSI 1000) stock index futures contracts, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantity of the spot and futures ends based on the product's net value[45] - Rebalancing Rules: When rebalancing, calculate the annualized basis of all tradable futures contracts on the day and select the contract with the smallest annualized basis discount for opening a position. Hold the same contract for 8 trading days or until the remaining days to expiration are less than 2 days, then select a new contract (excluding futures contracts with less than 8 days to expiration). Even if the selection result is to hold the original contract unchanged, continue to hold for 8 trading days[45] - Remarks: Allocate equal principal to the spot and futures ends, without considering transaction fees, impact costs, and the non-infinite divisibility of futures contracts[45] - Evaluation: The strategy aims to minimize basis discount by selecting the optimal contract for hedging[45] Model Backtesting Results Continuous Hedging Strategy - CSI 500 Index Futures: - Annualized Return: -2.77% (monthly), -2.08% (quarterly), -0.98% (minimum basis)[47] - Volatility: 3.88% (monthly), 4.77% (quarterly), 4.69% (minimum basis)[47] - Maximum Drawdown: -8.15% (monthly), -8.34% (quarterly), -7.97% (minimum basis)[47] - Net Value: 0.9215 (monthly), 0.9405 (quarterly), 0.9718 (minimum basis)[47] - Annual Turnover: 12 (monthly), 4 (quarterly), 17.53 (minimum basis)[47] - 2025 YTD Return: -3.31% (monthly), -1.35% (quarterly), -0.69% (minimum basis)[47] - CSI 300 Index Futures: - Annualized Return: 0.58% (monthly), 0.77% (quarterly), 1.42% (minimum basis)[52] - Volatility: 3.02% (monthly), 3.37% (quarterly), 3.16% (minimum basis)[52] - Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly), -4.06% (minimum basis)[52] - Net Value: 1.0171 (monthly), 1.0226 (quarterly), 1.0418 (minimum basis)[52] - Annual Turnover: 12 (monthly), 4 (quarterly), 15.46 (minimum basis)[52] - 2025 YTD Return: -0.63% (monthly), 0.27% (quarterly), 0.82% (minimum basis)[52] - SSE 50 Index Futures: - Annualized Return: 1.07% (monthly), 2.04% (quarterly), 1.76% (minimum basis)[56] - Volatility: 3.14% (monthly), 3.57% (quarterly), 3.16% (minimum basis)[56] - Maximum Drawdown: -4.22% (monthly), -3.75% (quarterly), -3.91% (minimum basis)[56] - Net Value: 1.0315 (monthly), 1.0605 (quarterly), 1.0521 (minimum basis)[56] - Annual Turnover: 12 (monthly), 4 (quarterly), 15.81 (minimum basis)[56] - 2025 YTD Return: 0.07% (monthly), 1.11% (quarterly), 1.09% (minimum basis)[56] - CSI 1000 Index Futures: - Annualized Return: -6.00% (monthly), -4.44% (quarterly), -3.79% (minimum basis)[58] - Volatility: 4.73% (monthly), 5.78% (quarterly), 5.60% (minimum basis)[58] - Maximum Drawdown: -14.00% (monthly), -12.63% (quarterly), -11.11% (minimum basis)[58] - Net Value: 0.8523 (monthly), 0.8843 (quarterly), 0.9009 (minimum basis)[58] - Annual Turnover: 12 (monthly), 4 (quarterly), 16.02 (minimum basis)[58] - 2025 YTD Return: -8.76% (monthly), -4.36% (quarterly), -3.55% (minimum basis)[58] Quantitative Factors and Construction Methods Factor Name: Cinda-VIX - Construction Idea: Reflects the market's expectation of future volatility of the underlying asset[61] - Construction Process: - Algorithm: Based on the methodology in the report series "Exploring Market Sentiment Implied in the Options Market"[61] - Data: As of June 27, 2025, the 30-day VIX values for SSE 50, CSI 300, CSI 500, and CSI 1000 are 17.47, 16.92, 23.84, and 21.35, respectively[61] - Evaluation: The index accurately reflects the volatility expectations of the market for different time horizons[61] Factor Name: Cinda-SKEW - Construction Idea: Measures the skewness of implied volatility across different strike prices[69] - Construction Process: - Algorithm: Based on the methodology in the report series "Exploring Market Sentiment Implied in the Options Market"[69] - Data: As of June 27, 2025, the SKEW values for SSE 50, CSI 300, CSI 500, and CSI 1000 are 95.51, 97.95, 93.74, and 101.14, respectively[70] - Evaluation: The index provides valuable insights into market expectations of extreme events and tail risks[70] Factor Backtesting Results Cinda-VIX - SSE 50: 17.47[61] - CSI 300: 16.92[61] - CSI 500: 23.84[61] - CSI 1000: 21.35[61] Cinda-SKEW - SSE 50: 95.51[70] - CSI 300: 97.95[70] - CSI 500: 93.74[70] - CSI 1000: 101.14[70]
金工点评报告：贴水持续收窄，衍生品市场释放强回暖信号
Xinda Securities·2025-06-28 08:08