IH保持全面升水，大盘指数预期乐观

Quantitative Models and Construction Methods 1. Model Name: Dividend-Adjusted Basis Model - Model Construction Idea: The model adjusts the futures basis by incorporating the expected dividend impact during the contract's life, ensuring a more accurate representation of the basis[20] - Model Construction Process: The formula for the adjusted basis is: $ Adjusted\ Basis = Actual\ Basis + Expected\ Dividend\ Points $ The annualized basis is calculated as: $ Annualized\ Basis = \frac{(Actual\ Basis + Expected\ Dividend\ Points)}{Index\ Price} \times \frac{360}{Days\ to\ Maturity} $ This adjustment accounts for the dividend points expected during the contract's life, which are subtracted from the index level but reflected in the futures price[20][21][27] 2. Model Name: Continuous Hedging Strategy - Model Construction Idea: This strategy involves continuously holding futures contracts to hedge the spot index, adjusting positions as contracts approach expiration[46] - Model Construction Process: - Hedging Setup: - Spot: Hold the total return index of the underlying - Futures: Use 70% of the capital for the spot and the remaining 30% for shorting futures contracts - Rebalancing Rule: - Hold the current month/quarter futures contract until 2 days before expiration - Close the expiring contract and open a new position in the next month/quarter contract at the closing price - Assumptions: No transaction costs, no slippage, and equal capital allocation between spot and futures[47] 3. Model Name: Minimum Discount Hedging Strategy - Model Construction Idea: This strategy selects futures contracts with the smallest annualized discount to minimize basis risk[48] - Model Construction Process: - Hedging Setup: - Spot: Hold the total return index of the underlying - Futures: Use 70% of the capital for the spot and the remaining 30% for shorting futures contracts - Selection Rule: - Calculate the annualized basis for all available futures contracts - Select the contract with the smallest discount for hedging - Hold the selected contract for 8 trading days or until 2 days before expiration, whichever comes first - Assumptions: No transaction costs, no slippage, and equal capital allocation between spot and futures[48] --- Model Backtesting Results 1. Dividend-Adjusted Basis Model - IC Futures: Current basis discount at -7.79%, improved from a weekly low of -8.57%[21] - IF Futures: Current basis discount at -1.74%, improved from a weekly low of -2.33%[27] - IH Futures: Current basis premium at 0.52%, down from a weekly high of 0.94%[32] - IM Futures: Current basis discount at -10.13%, improved from a weekly low of -11.86%[39] 2. Continuous Hedging Strategy - IC Futures: - Annualized Return: -2.87% (current month), -2.11% (quarterly)[50] - Volatility: 3.85% (current month), 4.74% (quarterly)[50] - Maximum Drawdown: -8.65% (current month), -8.34% (quarterly)[50] - IF Futures: - Annualized Return: 0.52% (current month), 0.69% (quarterly)[55] - Volatility: 2.99% (current month), 3.34% (quarterly)[55] - Maximum Drawdown: -3.95% (current month), -4.03% (quarterly)[55] - IH Futures: - Annualized Return: 1.08% (current month), 2.00% (quarterly)[59] - Volatility: 3.10% (current month), 3.52% (quarterly)[59] - Maximum Drawdown: -4.22% (current month), -3.76% (quarterly)[59] - IM Futures: - Annualized Return: -6.09% (current month), -4.50% (quarterly)[61] - Volatility: 4.73% (current month), 5.78% (quarterly)[61] - Maximum Drawdown: -14.01% (current month), -12.63% (quarterly)[61] 3. Minimum Discount Hedging Strategy - IC Futures: - Annualized Return: -1.09%[50] - Volatility: 4.64%[50] - Maximum Drawdown: -7.97%[50] - IF Futures: - Annualized Return: 1.33%[55] - Volatility: 3.12%[55] - Maximum Drawdown: -4.06%[55] - IH Futures: - Annualized Return: 1.75%[59] - Volatility: 3.12%[59] - Maximum Drawdown: -3.91%[59] - IM Futures: - Annualized Return: -3.89%[61] - Volatility: 5.58%[61] - Maximum Drawdown: -11.11%[61] --- Quantitative Factors and Construction Methods 1. Factor Name: Cinda-VIX - Factor Construction Idea: Reflects the market's expectation of future volatility for the underlying asset, with a term structure to capture different time horizons[64] - Factor Construction Process: - Derived from the implied volatility of options on the underlying index - Adjusted to reflect the characteristics of the Chinese market[64] - Current Values: - 30-day VIX: 21.24 (SSE 50), 20.56 (CSI 300), 28.18 (CSI 500), 25.00 (CSI 1000)[64] 2. Factor Name: Cinda-SKEW - Factor Construction Idea: Measures the skewness of implied volatility across different strike prices, capturing market sentiment on tail risks[74] - Factor Construction Process: - Calculated based on the implied volatility of out-of-the-money options - Higher values indicate greater concern for downside risks[74][75] - Current Values: - SKEW: 97.47 (SSE 50), 98.01 (CSI 300), 100.61 (CSI 500), 102.81 (CSI 1000)[75] --- Factor Backtesting Results 1. Cinda-VIX - 30-day VIX: - SSE 50: 21.24[64] - CSI 300: 20.56[64] - CSI 500: 28.18[64] - CSI 1000: 25.00[64] 2. Cinda-SKEW - SKEW: - SSE 50: 97.47[75] - CSI 300: 98.01[75] - CSI 500: 100.61[75] - CSI 1000: 102.81[75]