IH恢复升水格局，警惕中证500尾部风险

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 optimizes hedging by continuously rolling over contracts[47] - Model Construction Process: - Backtesting Period: From July 22, 2022, to July 18, 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 quarterly/monthly contracts until the remaining days to maturity are less than 2, 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 Discount Hedging 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: From July 22, 2022, to July 18, 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 discount for all tradable futures contracts and select the one with the smallest discount. Contracts are held for 8 trading days or until the remaining days to maturity are less than 8[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: -2.86% (monthly), -2.06% (quarterly)[51] - Volatility: 3.86% (monthly), 4.75% (quarterly)[51] - Maximum Drawdown: -8.40% (monthly), -8.34% (quarterly)[51] - Net Value: 0.9173 (monthly), 0.9400 (quarterly)[51] - Annual Turnover: 12 (monthly), 4 (quarterly)[51] - IF (CSI 300 Futures): - Annualized Return: 0.50% (monthly), 0.75% (quarterly)[56] - Volatility: 3.00% (monthly), 3.35% (quarterly)[56] - Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly)[56] - Net Value: 1.0149 (monthly), 1.0225 (quarterly)[56] - Annual Turnover: 12 (monthly), 4 (quarterly)[56] - IH (SSE 50 Futures): - Annualized Return: 1.04% (monthly), 1.99% (quarterly)[60] - Volatility: 3.11% (monthly), 3.53% (quarterly)[60] - Maximum Drawdown: -4.22% (monthly), -3.76% (quarterly)[60] - Net Value: 1.0314 (monthly), 1.0603 (quarterly)[60] - Annual Turnover: 12 (monthly), 4 (quarterly)[60] - IM (CSI 1000 Futures): - Annualized Return: -6.06% (monthly), -4.43% (quarterly)[64] - Volatility: 4.73% (monthly), 5.78% (quarterly)[64] - Maximum Drawdown: -14.01% (monthly), -12.63% (quarterly)[64] - Net Value: 0.8411 (monthly), 0.8718 (quarterly)[64] - Annual Turnover: 12 (monthly), 4 (quarterly)[64] 2. Minimum Discount Hedging Strategy - IC (CSI 500 Futures): - Annualized Return: -1.08%[51] - Volatility: 4.65%[51] - Maximum Drawdown: -7.97%[51] - Net Value: 0.9683[51] - Annual Turnover: 17.50[51] - IF (CSI 300 Futures): - Annualized Return: 1.32%[56] - Volatility: 3.13%[56] - Maximum Drawdown: -4.06%[56] - Net Value: 1.0397[56] - Annual Turnover: 15.48[56] - IH (SSE 50 Futures): - Annualized Return: 1.72%[60] - Volatility: 3.13%[60] - Maximum Drawdown: -3.91%[60] - Net Value: 1.0521[60] - Annual Turnover: 16.15[60] - IM (CSI 1000 Futures): - Annualized Return: -3.85%[64] - Volatility: 5.58%[64] - Maximum Drawdown: -11.11%[64] - Net Value: 0.8839[64] - Annual Turnover: 16.02[64] --- 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[66] - Factor Construction Process: - Based on methodologies from international markets, adjusted for China's options market[66] - Tracks volatility expectations for major indices (e.g., SSE 50, CSI 300, CSI 500, CSI 1000)[66] - Factor Evaluation: Provides insights into market sentiment and risk expectations[66] 2. Factor Name: Cinda-SKEW - Factor Construction Idea: Measures the skewness of implied volatility across different strike prices, capturing market expectations of extreme events[71] - Factor Construction Process: - Analyzes the slope of implied volatility curves for options with varying strike prices[71] - Higher SKEW values indicate increased concerns about tail risks[71] - Factor Evaluation: Useful for identifying market fears of extreme downside risks[72] --- Factor Backtesting Results 1. Cinda-VIX - 30-Day VIX Values: - SSE 50: 18.43[66] - CSI 300: 17.92[66] - CSI 500: 27.44[66] - CSI 1000: 21.58[66] 2. Cinda-SKEW - SKEW Values: - SSE 50: 99.29[72] - CSI 300: 101.47[72] - CSI 500: 102.11[72] - CSI 1000: 103.83[72]