市场呈现积极信号，但情绪修复基础尚不稳固

Quantitative Models and Construction Methods 1. Model Name: Continuous Hedging Strategy - Model Construction Idea: This strategy is based on the analysis of basis convergence factors and optimization strategies, as detailed in the Cinda derivatives research report series. Adjustments are made to the settings for continuous hedging[44] - Model Construction Process: - Backtesting Period: From July 22, 2022, to December 19, 2025[45] - Spot Side: Holding the total return index of the corresponding benchmark index[45] - Futures Side: - 70% of the funds are allocated to the spot side - The remaining 30% is used for shorting futures contracts of the same nominal principal (e.g., CSI 500, CSI 300, SSE 50, CSI 1000 index futures)[45] - After each rebalancing, the quantities of the spot and futures sides are recalculated based on the product's net value[45] - Rebalancing Rules: - Continuously hold quarterly/monthly contracts until the remaining time to maturity is less than two days - Close the position at the closing price on that day and simultaneously short the next quarterly/monthly contract at the closing price[45] - Assumptions: Equal principal allocation between the spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[45] 2. Model Name: Minimum Basis Strategy - Model Construction Idea: This strategy selects contracts with the smallest annualized basis discount for hedging, as described in the Cinda derivatives research report series[46] - Model Construction Process: - Backtesting Period: From July 22, 2022, to December 19, 2025[46] - Spot Side: Holding the total return index of the corresponding benchmark index[46] - Futures Side: - 70% of the funds are allocated to the spot side - The remaining 30% is used for shorting futures contracts of the same nominal principal (e.g., CSI 500, CSI 300, SSE 50, CSI 1000 index futures)[46] - After each rebalancing, the quantities of the spot and futures sides are recalculated based on the product's net value[46] - Rebalancing Rules: - Calculate the annualized basis for all tradable futures contracts on the day of rebalancing - Select the contract with the smallest basis discount for opening a position - Hold the same contract for eight trading days or until the remaining time to maturity is less than eight days, then select a new contract[46] - Assumptions: Equal principal allocation between the spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[46] --- Model Backtesting Results 1. Continuous Hedging Strategy - CSI 500 Index Futures: - Annualized Return: -3.42% (monthly), -2.58% (quarterly)[48] - Volatility: 3.79% (monthly), 4.69% (quarterly)[48] - Maximum Drawdown: -11.27% (monthly), -8.74% (quarterly)[48] - Net Value: 0.8886 (monthly), 0.9149 (quarterly)[48] - Annual Turnover: 12 (monthly), 4 (quarterly)[48] - 2025 YTD Return: -6.60% (monthly), -3.91% (quarterly)[48] - CSI 300 Index Futures: - Annualized Return: 0.33% (monthly), 0.69% (quarterly)[53] - Volatility: 2.89% (monthly), 3.23% (quarterly)[53] - Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly)[53] - Net Value: 1.0112 (monthly), 1.0236 (quarterly)[53] - Annual Turnover: 12 (monthly), 4 (quarterly)[53] - 2025 YTD Return: -1.21% (monthly), 0.37% (quarterly)[53] - SSE 50 Index Futures: - Annualized Return: 1.02% (monthly), 1.95% (quarterly)[57] - Volatility: 2.96% (monthly), 3.36% (quarterly)[57] - Maximum Drawdown: -4.22% (monthly), -3.75% (quarterly)[57] - Net Value: 1.0350 (monthly), 1.0679 (quarterly)[57] - Annual Turnover: 12 (monthly), 4 (quarterly)[57] - 2025 YTD Return: 0.42% (monthly), 1.85% (quarterly)[57] - CSI 1000 Index Futures: - Annualized Return: -6.48% (monthly), -4.82% (quarterly)[61] - Volatility: 4.73% (monthly), 5.75% (quarterly)[61] - Maximum Drawdown: -14.00% (monthly), -12.63% (quarterly)[61] - Net Value: 0.8319 (monthly), 0.8498 (quarterly)[61] - Annual Turnover: 12 (monthly), 4 (quarterly)[61] - 2025 YTD Return: -12.98% (monthly), -7.87% (quarterly)[61] 2. Minimum Basis Strategy - CSI 500 Index Futures: - Annualized Return: -1.93%[48] - Volatility: 4.49%[48] - Maximum Drawdown: -8.75%[48] - Net Value: 0.9361[48] - Annual Turnover: 16.78[48] - 2025 YTD Return: -4.27%[48] - CSI 300 Index Futures: - Annualized Return: 1.09%[53] - Volatility: 3.00%[53] - Maximum Drawdown: -4.06%[53] - Net Value: 1.0376[53] - Annual Turnover: 15.01[53] - 2025 YTD Return: 0.40%[53] - SSE 50 Index Futures: - Annualized Return: 1.58%[57] - Volatility: 2.97%[57] - Maximum Drawdown: -3.91%[57] - Net Value: 1.0548[57] - Annual Turnover: 15.60[57] - 2025 YTD Return: 1.36%[57] - CSI 1000 Index Futures: - Annualized Return: -4.42%[61] - Volatility: 5.50%[61] - Maximum Drawdown: -11.11%[61] - Net Value: 0.8693[61] - Annual Turnover: 15.73[61] - 2025 YTD Return: -8.19%[61] --- 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[63] - Factor Construction Process: - Based on overseas methodologies, adjusted for China's on-exchange options market[63] - Captures implied volatility from options pricing to reflect market sentiment[63] - Factor Values (as of December 19, 2025): - SSE 50 VIX: 15.85 - CSI 300 VIX: 17.10 - CSI 500 VIX: 26.35 - CSI 1000 VIX: 19.91[63] 2. Factor Name: Cinda-SKEW - Factor Construction Idea: Measures the skewness of implied volatility across different strike prices, capturing market concerns about tail risks[70] - Factor Construction Process: - Analyzes the slope of implied volatility curves for options with different strike prices[70] - Higher SKEW values indicate increased demand for out-of-the-money options, reflecting heightened tail risk concerns[70] - Factor Values (as of December 19, 2025): - SSE 50 SKEW: 101.20 - CSI 300 SKEW: 101.08 - CSI 500 SKEW: 102.87 - CSI 1000 SKE