来源：市场资讯 （来源：好买财富） 好买说 今年全球股市普遍上涨，美国、日本、德国等多国股市持续刷新历史新高，A股上证综指也再次站上4000点。AI科技革命带动新的资本开支周期，全球央 行维持货币宽松，投资者风险偏好提升，多重因素叠加，股票市场持续走高。 但是，随着美股AI科技行情进入第三年，市场估值逐步抬升，波动也逐渐加大。越来越多的投资者也开始产生焦虑，担心市场出现较大波动，犹豫该不 该调整资配布局。 为了帮助大家更深入的了解当前的市场环境和资配思路，更高效的做好全球配置，我们准备了"AI科技浪潮中的全球配置"系列文章。我们会先以全局视角 看看当前AI浪潮下的资配战术，再深度剖析具体资产的投资方法，最后我们从实践角度讲讲怎样落地资配方案。 进攻型资产 以科技股为矛 近期，随着美股不断刷新历史高点，越来越多的声音开始提示股市风险与潜在波动。看美国三大指数估值水平，均处近十年来的中高位。 从估值角度看，短期持续上涨过后，美股确实到了一个偏高估的点位。但从企业盈利角度看，美股业绩增速仍然较高。看美股最新披露的第三季度财报， 63%的上市公司实现了每股收益和收入双方面的超预期，业绩超预期的广度是2021年以来之最 ...

固收：年内债券投资思路 20251117 摘要 当前降息预期较低，长短端利率下行空间受限。市场通过挂钩资金或政 策利率的标的测算，短期内降息预期不高，导致长端（如 10 年期国 债）和短端利率（如一年期存单）难有明显下行空间，投资者需谨慎。 年底投资策略应关注机构配置意愿和权益市场表现。机构配置意愿增强 可能压缩国开与国债利差，权益市场春节行情或带动利率上升。绝对收 益考核组合宜选择稍低久期防守，相对收益考核组合可抓住利差压缩机 会，优先选择国开债。 信用债与国开利差较薄，与国债利差较阔。一年期信用债位置较低，三 至五年期仍有空间。二级资本债收益依赖国开调整，选择品种需考虑市 场环境，以确保稳定表现。 明年货币政策预计维持稳增长宽松取向，资金面收敛影响有限。全年经 济增长目标有支撑，年内宽松概率不大，但明年一季度央行可能提前布 局政策宽松，包括降息或降准，需密切关注。 绝对收益考核组合应选择低久期防守，等待加久期机会；相对收益考核 组合应抓住机会，如国开与国债利差压缩。关注赎回新规落地及基金买 入政金债力量变化，以及跨年配置行情的影响。 Q&A 年内债券投资策略的基本逻辑是什么？当前市场对利率的预期如何？ 年 ...

上市公司愈发青睐含权类（包含权益类资产）私募基金产品。私募排排网数据显示，截至11月12日，年 内共计10家上市公司在公告中披露了其投资私募证券基金的相关情况，认购总金额合计超8亿元。从产 品策略来看，主观和量化私募旗下含权类产品均备受青睐。 多位私募业人士透露，随着市场结构性行情演绎，基金业绩震荡向上，今年以来包括上市公司在内的投 资者对多头策略、对冲策略以及多策略产品愈发青睐，私募发行市场也持续回暖。接下来，增量资金入 场有望推动A股和港股结构性机会进一步演绎。 上市公司频频买私募产品 股票策略是私募发行主力军 多位业内人士称，今年以来权益市场机会丰富，相关私募产品业绩亮眼，不管是上市公司还是个人投资 者，都对含权类产品兴趣盎然。 第三方平台数据显示，今年10月，新备案的私募证券投资基金数量达994只（包含自主发行和担任投顾 的产品），较去年10月的325只同比增幅高达205.85%。分策略来看，股票策略牢牢占据备案主力地 位，10月共有679只相关私募产品完成备案，占比达68.31%；紧随其后的是多资产策略，新备案产品数 量为122只，占比达12.27%。但同期期货及衍生品策略、债券策略和组合基金策略私 ...

衍生品避险信号三重共振：贴水扩大、VIX 抬升且 SKEW 高位 [Table_ReportTime] 2025 年 11 月 15 日 请阅读最后一页免责声明及信息披露 http://www.cindasc.com 1 [Table_FirstAuthor] 于明明 金融工程与金融产品首席分析师 执业编号：S1500521070001 联系电话：+86 18616021459 邮 箱：yumingming@cindasc.com 证券研究报告 金工研究 [T金工ableReportType] 点评报告 于明明 金融工程与金融产品 首席分析师 执业编号：S1500521070001 联系电话：+86 18616021459 邮 箱：yumingming@cindasc.com 崔诗笛 金融工程与金融产品 金融工程分析师 执业编号：S1500523080001 联系电话：+86 18516560686 邮 箱：cuishidi@cindasc.com 孙石 金融工程与金融产品 金融工程分析师 执业编号：S1500523080010 联系电话：+86 18817366228 邮 箱：sunshi@cindasc. ...

Core Insights - The article discusses investment strategies focusing on various government bonds, particularly highlighting opportunities in 30-year non-active bonds, 50-year bonds, and 5-10 year active bonds [1] Group 1: Investment Strategies - The article suggests monitoring the yield spread strategies for 30-year non-active bonds, 50-year bonds, and 5-10 year active bonds [1] - It recommends considering long-end credit configurations and waiting for a 5 basis point adjustment before making duration strategy decisions [1] - The 10-year government bond spread between 250016 and 250011 is currently around 5 basis points, with expectations of potential compression to 3 basis points under optimistic conditions [1] Group 2: Market Performance - As of October 30, 2025, the 5-10 year government bond active index (H21018) increased by 0.05%, while the government bond ETF for the same duration rose by 0.07%, marking three consecutive days of gains [1][2] - The 5-10 year government bond ETF reached a new high in scale at 1.589 billion yuan [3] - The ETF's latest share count reached 13.5325 million, also a six-month high, with a net inflow of 17.6132 million yuan [4] Group 3: Historical Performance - Over the past five years, the 5-10 year government bond ETF has seen a net value increase of 21.60%, ranking 34 out of 179 in index bond funds, placing it in the top 18.99% [4] - The ETF has a historical maximum monthly return of 2.58% and a longest consecutive monthly gain of 10 months, with a total gain of 5.81% [4] - The ETF has a 100% probability of profitability over three years, with a monthly profitability probability of 70.87% [4] Group 4: Risk and Fees - The maximum drawdown for the ETF over the past six months was 1.09%, with a relative benchmark drawdown of 0.46% [5] - The management fee for the ETF is 0.15%, and the custody fee is 0.05% [6] Group 5: Tracking Accuracy - The ETF has a tracking error of 0.028% over the past month, closely following the 5-10 year government bond active index [7]

- The report introduces the **Cinda-VIX volatility index**, which reflects investors' expectations of future volatility in the options market. The index is based on methodologies from international practices and adjusted for the characteristics of China's options market. It includes a term structure to capture volatility expectations across different time horizons. As of October 17, 2025, the 30-day Cinda-VIX values for major indices are: 22.97 for SSE 50, 24.07 for CSI 300, 35.47 for CSI 500, and 30.70 for CSI 1000[61][62][63] - The report also discusses the **Cinda-SKEW index**, which measures the skewness of implied volatility across different strike prices of options. This index helps investors understand market expectations regarding the distribution of future returns and potential tail risks. Higher SKEW values indicate increased concerns about significant market downturns. As of October 17, 2025, the SKEW values for major indices are: 103.13 for SSE 50, 102.83 for CSI 300, 99.44 for CSI 500, and 99.76 for CSI 1000[68][72][74] - The report evaluates **four futures hedging strategies** based on CSI 500, CSI 300, SSE 50, and CSI 1000 indices. These strategies include "continuous monthly hedging," "continuous quarterly hedging," and "minimum discount hedging." The strategies are tested over the period from July 22, 2022, to October 17, 2025. Key metrics such as annualized return, volatility, maximum drawdown, net value, annual turnover, and year-to-date returns are analyzed for each strategy. For example, the minimum discount strategy for CSI 500 futures achieved an annualized return of -1.54%, a volatility of 4.60%, and a maximum drawdown of -7.97%[44][47][46] - The **annualized basis adjustment model** is introduced to account for the impact of dividend expectations on futures basis. The formula used is: $ Annualized\ Basis = (Actual\ Basis + (Expected\ Dividend\ Points))/Index\ Price \times 360/Days\ to\ Maturity $ This adjustment ensures that the basis reflects the dividend impact during the contract's lifetime[19][20][21] - The report provides **dividend point forecasts** for the next year for major indices: CSI 500 (81.96), CSI 300 (83.80), SSE 50 (68.34), and CSI 1000 (62.81). Additionally, the dividend points for specific contracts are estimated, such as 2.16 for IC2511, 3.95 for IF2511, 4.91 for IH2511, and 1.19 for IM2511[9][11][15][17] - The **performance of the hedging strategies** for each index is detailed. For example, the minimum discount strategy for CSI 300 futures achieved an annualized return of 1.23%, a volatility of 3.07%, and a maximum drawdown of -4.06%. For SSE 50 futures, the minimum discount strategy achieved an annualized return of 1.73%, a volatility of 3.05%, and a maximum drawdown of -3.91%. For CSI 1000 futures, the minimum discount strategy achieved an annualized return of -4.17%, a volatility of 5.55%, and a maximum drawdown of -11.11%[52][56][58]

Core Insights - The U.S. financial market is experiencing a subtle shift despite positive economic data, Federal Reserve rate cuts, and a near-high stock market [1] - Retail investors, previously seen as "dumb money," are leading a withdrawal from high-risk assets, signaling potential market vulnerability [6] Group 1: Market Trends - U.S. leveraged ETFs faced an outflow of approximately $7 billion this month, the highest level recorded since 2019 [1] - The digital currency market saw a loss of about $300 billion in market value, while major U.S. stock indices, including the S&P 500 and Nasdaq 100, recorded their first weekly decline in a month [1] Group 2: Retail Investor Behavior - The recent asset withdrawal is not a panic signal but rather a strategic move by investors to lock in profits after months of market exuberance [2] - For instance, the Direxion Daily Semiconductors Bull 3x Shares (SOXL) fund, despite a 31% increase this month, experienced over $2.3 billion in outflows [2] Group 3: Institutional Response - Professional asset management firms are adopting more cautious strategies in response to changing market sentiment [3] - Morgan Stanley's Andrew Slimmon noted that the market is overbought, particularly in speculative stocks, indicating a dangerous signal [4] - Lido Advisors is implementing hedging strategies, such as selling covered call options and buying put spreads for protection during market corrections [4] Group 4: Signals from Smart Money - The withdrawal led by retail investors may indicate a significant signal for market participants, as they have previously outperformed institutions in timing market movements [6] - The current cautious stance of retail investors could suggest increasing market fragility and the beginning of a quiet recalibration [6]

Core Viewpoint - Despite the solid foundation of the AI-driven bull market in the U.S. stock market, significant downside risks have accumulated, and abandoning hedging strategies is deemed dangerous [1][3][18] Group 1: Market Dynamics - The current bull market is supported by multiple factors, including a shift in the Federal Reserve's focus from combating inflation to monitoring the labor market, which has created a dovish outlook [7] - Ongoing fiscal stimulus and large-scale deficit spending in the U.S. and globally continue to bolster the market [7] - High-income consumers in the U.S. are driving consumption, supported by a favorable financial environment characterized by a weaker dollar and narrow corporate credit spreads [7] - The "AI halo" effect from large tech companies is a core theme driving market risk appetite, with strong cash flows supporting capital expenditures and unprecedented stock buybacks [7] Group 2: Investor Behavior and Sentiment - Investors are currently exhibiting a strong bullish sentiment, as evidenced by a sharp increase in demand for call options relative to put options, indicating a strong inclination towards upward market movement [5][12] - Despite the potential risks, investors are increasing leverage and pursuing high-beta, high-volatility stocks, reflecting a disregard for underlying vulnerabilities [10][12] Group 3: Warning Signals - The emergence of a concerning "circular investment" model among tech giants, where substantial funds are cycled between companies for capital restructuring, raises alarms about market sustainability [8] - The current market structure is extremely fragile, with a significant accumulation of long gamma positions near at-the-money options, which suppresses short-term volatility and creates a "slow grind" upward [14][16] - Systematic capital flows are preparing for asymmetric selling pressure, with a sell-to-buy demand ratio nearing 2:1, indicating substantial deleveraging liquidity risks [16]

Core Viewpoint - The current AI-driven bull market in the U.S. stock market is solid, but significant downside risks have accumulated, making it dangerous to abandon hedging strategies [1][15]. Group 1: Market Dynamics - The market is experiencing an "AI-induced frenzy," creating a positive feedback loop that drives indices to new historical highs, forcing previously skeptical investors to buy in [1]. - There is a sharp decline in the skew of the options market, with a significant increase in demand for call options relative to put options, indicating strong bullish sentiment [3][11]. - Systematic capital flows are preparing for "asymmetric selling," increasing the market's vulnerability to corrections [3]. Group 2: Support for the Bull Market - Multiple factors support the current bull market, including a shift in the Federal Reserve's focus from combating inflation to monitoring the labor market, providing a dovish outlook [5]. - Ongoing fiscal stimulus and large-scale deficit spending in the U.S. and globally continue to bolster the market [5]. - High-income consumers in the U.S. are driving consumption, supported by a loose financial environment characterized by a weak dollar and narrow corporate credit spreads [5]. Group 3: Concerns and Risks - There are unsettling signs in the market, such as a dangerous cycle of "AI revenue/capital expenditure" among tech giants, reminiscent of the late internet bubble [7]. - The current market structure has become extremely fragile, with significant long gamma exposure accumulated by market makers, suppressing short-term volatility [12]. - Investors are increasing leverage and chasing high-beta, high-volatility stocks, despite potential risks [9]. Group 4: Importance of Hedging - The warning from analysts emphasizes that maintaining hedging strategies is crucial due to the extreme positioning in the market and potential downside convexity [15]. - The combined rebalancing of options and leveraged ETF markets indicates a significant liquidity risk due to a near 2:1 ratio of potential selling pressure to buying demand [17].

Group 1 - Hedge funds are betting on the continued calmness of the market by shorting the VIX volatility index at the highest level since September 2022, with a net short position of approximately 92,786 contracts as of August 19 [2] - The significant shorting of VIX may indicate either confidence or complacency in the market, as noted by Chris Murphy, who warns that excessive positioning could lead to unexpected volatility spikes [2] - Historical patterns suggest that extreme positions in low volatility often precede market turmoil, as seen in February when the S&P 500 peaked amid rising trade conflict concerns [2] Group 2 - The CFTC data does not account for positions in exchange-traded products or those using hedging strategies, yet the VIX remains below 15, with a recent drop to its lowest point of the year following expectations of a rate cut by the Federal Reserve [3] - Many strategists recommend using S&P 500 put options and newly popularized resettable puts for short-term market fluctuations, while buying VIX call options is notably absent from common hedging strategies [3] - The implied volatility of VIX call options has risen relative to S&P 500 put options, suggesting that standard S&P 500 puts may be a more reliable hedging method in the current market environment [3]