IH重回全面贴水，尾部风险预期持续升高

• The report discusses the construction and performance of various quantitative models and factors related to stock index futures and options markets[2][4][6] Quantitative Models and Construction Methods 1. Model Name: Stock Index Futures Basis Adjustment Model - Model Construction Idea: The model aims to adjust the basis of stock index futures by considering the impact of dividends during the contract period[9] - Model Construction Process: - The basis is defined as the difference between the futures contract closing price and the underlying index closing price - The formula for the expected dividend-adjusted basis is: $ \text{Expected Dividend-Adjusted Basis} = \text{Actual Basis} + \text{Expected Dividends during the Contract Period} $ - The annualized basis is calculated as: $ \text{Annualized Basis} = (\text{Actual Basis} + \text{Expected Dividend Points}) / \text{Index Price} \times 360 / \text{Remaining Days of the Contract} $[21] - Model Evaluation: The model effectively adjusts the basis by accounting for the impact of dividends, providing a more accurate measure of the futures contract's value[21] 2. Model Name: Continuous Hedging Strategy - Model Construction Idea: The strategy aims to hedge the spot index by continuously holding futures contracts and adjusting positions based on the contract's expiration[44] - Model Construction Process: - The strategy involves holding the total return index of the corresponding underlying index on the spot side - On the futures side, 70% of the funds are used for the spot side, and the same nominal principal amount is used for short hedging with stock index futures contracts - The positions are adjusted continuously by holding the quarterly/monthly contracts until the remaining days to expiration are less than 2 days, then rolling over to the next contract[45] - Model Evaluation: The strategy provides a systematic approach to hedging, reducing the impact of market fluctuations on the portfolio[45] 3. Model Name: Minimum Discount Strategy - Model Construction Idea: The strategy selects futures contracts with the smallest annualized basis discount for hedging[46] - Model Construction Process: - The strategy involves holding the total return index of the corresponding underlying index on the spot side - On the futures side, 70% of the funds are used for the spot side, and the same nominal principal amount is used for short hedging with stock index futures contracts - The positions are adjusted by selecting the futures contract with the smallest annualized basis discount and holding it for 8 trading days or until the remaining days to expiration are less than 2 days[46] - Model Evaluation: The strategy aims to optimize the hedging performance by selecting contracts with the least discount, potentially improving returns[46] Model Backtesting Results 1. IC Hedging Strategy - Annualized Return: -2.87% (Monthly Continuous Hedging), -1.87% (Quarterly Continuous Hedging), -1.12% (Minimum Discount Strategy), 0.18% (Index Performance) - Volatility: 3.83%, 4.72%, 4.61%, 20.97% - Maximum Drawdown: -8.65%, -8.34%, -7.97%, -31.46% - Net Value: 0.9155, 0.9443, 0.9665, 1.0054 - Annual Turnover: 12, 4, 17.15 - 2025 YTD Return: -3.90%, -0.97%, -1.22%, 14.02%[48] 2. IF Hedging Strategy - Annualized Return: 0.55% (Monthly Continuous Hedging), 0.78% (Quarterly Continuous Hedging), 1.36% (Minimum Discount Strategy), -1.05% (Index Performance) - Volatility: 2.97%, 3.32%, 3.10%, 17.08% - Maximum Drawdown: -3.95%, -4.03%, -4.06%, -25.59% - Net Value: 1.0169, 1.0239, 1.0417, 0.9686 - Annual Turnover: 12, 4, 15.17 - 2025 YTD Return: -0.65%, 0.40%, 0.80%, 7.45%[51] 3. IH Hedging Strategy - Annualized Return: 1.11% (Monthly Continuous Hedging), 2.04% (Quarterly Continuous Hedging), 1.77% (Minimum Discount Strategy), -0.69% (Index Performance) - Volatility: 3.08%, 3.50%, 3.10%, 16.29% - Maximum Drawdown: -4.22%, -3.76%, -3.91%, -22.96% - Net Value: 1.0340, 1.0630, 1.0548, 0.9792 - Annual Turnover: 12, 4, 15.83 - 2025 YTD Return: 0.32%, 1.36%, 1.36%, 6.85%[54] 4. IM Hedging Strategy - Annualized Return: -6.07% (Monthly Continuous Hedging), -4.44% (Quarterly Continuous Hedging), -3.88% (Minimum Discount Strategy), -0.49% (Index Performance) - Volatility: 4.72%, 5.76%, 5.56%, 25.72% - Maximum Drawdown: -14.01%, -12.63%, -11.11%, -41.60% - Net Value: 0.8346, 0.8629, 0.8725, 0.9185 - Annual Turnover: 12, 4, 15.85 - 2025 YTD Return: -9.60%, -4.77%, -4.37%, 17.96%[59] Quantitative Factors and Construction Methods 1. Factor Name: Cinda-VIX - Factor Construction Idea: The Cinda-VIX index reflects the market's expectation of future volatility of the underlying asset based on option prices[61] - Factor Construction Process: - The index is constructed by adjusting the methodology used in international markets to suit the Chinese market - It captures the implied volatility of options on major indices over different time horizons[61] - Factor Evaluation: The Cinda-VIX index provides valuable insights into market sentiment and expected volatility, aiding in risk management and investment decisions[61] 2. Factor Name: Cinda-SKEW - Factor Construction Idea: The Cinda-SKEW index measures the skewness of implied volatility across different strike prices, indicating market expectations of tail risk[67] - Factor Construction Process: - The index captures the skewness in implied volatility by analyzing the differences in implied volatility for options with different strike prices - A higher SKEW index indicates greater concern about potential market downturns[67] - Factor Evaluation: The Cinda-SKEW index is a useful tool for assessing market sentiment regarding tail risks and potential extreme events[67] Factor Backtesting Results 1. Cinda-VIX - 30-day VIX values as of August 8, 2025: 18.48 (SSE 50), 18.32 (CSI 300), 23.46 (CSI 500), 23.00 (CSI 1000)[61] 2. Cinda-SKEW - SKEW values as of August 8, 2025: 102.35 (SSE 50), 109.58 (CSI 300), 105.49 (CSI 500), 114.07 (CSI 1000)[68]