贴水持续收敛，市场情绪延续乐观

Quantitative Models and Construction Methods - Model Name: Dividend Adjustment for Futures Basis Construction Idea: Adjust the futures basis by incorporating the expected dividend impact during the contract's lifespan[9][21] Construction Process: Futures basis is calculated as the difference between the futures contract closing price and the underlying index closing price. The adjustment accounts for dividends expected during the contract's lifespan, which are reflected in the futures price. The formula is: $ Annualized Basis = (Actual Basis + Expected Dividend Points) / Index Price × 360 / Remaining Days of Contract $[21] Evaluation: Provides a more accurate representation of the futures basis by accounting for dividend effects[21] - Model Name: Continuous Hedging Strategy Construction Idea: Optimize hedging by continuously rolling futures contracts based on expiration dates[44][45] Construction Process: - Hold the corresponding total return index for the spot side - Use 70% of funds for the spot side and 30% for shorting futures contracts - Roll futures contracts when the remaining days to expiration are less than 2 days, using the closing price for both closing and opening positions[45] Evaluation: Effective for maintaining consistent exposure but sensitive to transaction costs and market conditions[45] - Model Name: Minimum Basis Hedging Strategy Construction Idea: Select futures contracts with the smallest annualized basis for hedging[46] Construction Process: - Calculate the annualized basis for all available futures contracts - Open positions in the contract with the smallest basis - Hold the contract for 8 trading days or until the remaining days to expiration are less than 2 days[46] Evaluation: Reduces basis risk but requires frequent monitoring and adjustments[46] Quantitative Factors and Construction Methods - Factor Name: Cinda-VIX Construction Idea: Reflect market expectations of future volatility using a modified VIX calculation tailored to China's market[62] Construction Process: - Based on overseas VIX methodologies, adjusted for China's market conditions - Incorporates the term structure of volatility to capture expectations across different time horizons[62] Evaluation: Provides valuable insights into market sentiment and volatility expectations[62] - Factor Name: Cinda-SKEW Construction Idea: Measure the skewness in implied volatility across different strike prices to assess tail risk[67] Construction Process: - Analyze the implied volatility of options with varying strike prices - Higher SKEW values indicate increased tail risk expectations, while lower values suggest reduced concerns[67] Evaluation: Useful for understanding market sentiment regarding extreme events and tail risks[67] Model Backtesting Results - Dividend Adjustment for Futures Basis: - IC contract: Current basis -5.89%[22] - IF contract: Current basis -0.05%[27] - IH contract: Current basis +1.70%[32] - IM contract: Current basis -6.92%[37] - Continuous Hedging Strategy: - IC: Annualized return -3.07%, volatility 3.82%, max drawdown -9.27%, net value 0.9086[48] - IF: Annualized return 0.38%, volatility 2.97%, max drawdown -3.95%, net value 1.0116[53] - IH: Annualized return 0.97%, volatility 3.08%, max drawdown -4.22%, net value 1.0302[57] - IM: Annualized return -6.21%, volatility 4.72%, max drawdown -14.01%, net value 0.8345[59] - Minimum Basis Hedging Strategy: - IC: Annualized return -1.40%, volatility 4.60%, max drawdown -7.97%, net value 0.9577[48] - IF: Annualized return 1.18%, volatility 3.10%, max drawdown -4.06%, net value 1.0366[53] - IH: Annualized return 1.63%, volatility 3.09%, max drawdown -3.91%, net value 1.0511[57] - IM: Annualized return -4.04%, volatility 5.55%, max drawdown -11.11%, net value 0.8702[59] Factor Backtesting Results - Cinda-VIX: - 30-day volatility: - CSI 500: 32.58[62] - CSI 1000: 29.50[62] - HS 300: 22.97[62] - SSE 50: 24.31[62] - Cinda-SKEW: - 30-day skewness: - CSI 500: 98.22[68] - CSI 1000: 106.46[68] - HS 300: 104.77[68] - SSE 50: 99.82[68]