- Model Name: Continuous Hedging Strategy; Model Construction Idea: The strategy is based on the analysis of basis convergence factors and optimization strategies; Model Construction Process: The strategy involves holding the corresponding total return index on the spot side and shorting the corresponding stock index futures contracts on the futures side, with specific parameters and settings for backtesting, including the backtesting period, spot side, futures side, and rebalancing rules[44][45] - Model Name: Minimum Discount Strategy; Model Construction Idea: The strategy selects the futures contract with the smallest annualized basis discount for opening positions; Model Construction Process: The strategy involves holding the corresponding total return index on the spot side and shorting the corresponding stock index futures contracts on the futures side, with specific parameters and settings for backtesting, including the backtesting period, spot side, futures side, and rebalancing rules[44][46] - Factor Name: Cinda-VIX; Factor Construction Idea: The factor reflects the market's expectation of future volatility of the underlying asset; Factor Construction Process: The factor is based on the methodology from the research report series "Exploring Market Sentiment Implied in the Options Market" and reflects the volatility expectations of investors in the options market for different periods[62] - Factor Name: Cinda-SKEW; Factor Construction Idea: The factor captures the skewness of implied volatility (IV) of options with different strike prices; Factor Construction Process: The factor measures the degree of skewness in volatility, providing insights into market expectations of future returns distribution of the underlying asset[70][71] - Continuous Hedging Strategy, Annualized Return: -2.73% (monthly), -1.93% (quarterly), -0.95% (minimum discount); Volatility: 3.88% (monthly), 4.77% (quarterly), 4.68% (minimum discount); Maximum Drawdown: -8.15% (monthly), -8.34% (quarterly), -7.97% (minimum discount); Net Value: 0.9221 (monthly), 0.9446 (quarterly), 0.9725 (minimum discount); Annual Turnover: 12 (monthly), 4 (quarterly), 17.40 (minimum discount); 2025 YTD Return: -3.24% (monthly), -0.94% (quarterly), -0.63% (minimum discount)[48] - Continuous Hedging Strategy, Annualized Return: 0.54% (monthly), 0.80% (quarterly), 1.37% (minimum discount); Volatility: 3.02% (monthly), 3.36% (quarterly), 3.15% (minimum discount); Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly), -4.06% (minimum discount); Net Value: 1.0159 (monthly), 1.0237 (quarterly), 1.0406 (minimum discount); Annual Turnover: 12 (monthly), 4 (quarterly), 15.36 (minimum discount); 2025 YTD Return: -0.75% (monthly), 0.39% (quarterly), 0.70% (minimum discount)[53] - Continuous Hedging Strategy, Annualized Return: 1.07% (monthly), 2.04% (quarterly), 1.76% (minimum discount); Volatility: 3.13% (monthly), 3.56% (quarterly), 3.15% (minimum discount); Maximum Drawdown: -4.22% (monthly), -3.75% (quarterly), -3.91% (minimum discount); Net Value: 1.0316 (monthly), 1.0609 (quarterly), 1.0526 (minimum discount); Annual Turnover: 12 (monthly), 4 (quarterly), 16.04 (minimum discount); 2025 YTD Return: 0.08% (monthly), 1.15% (quarterly), 1.14% (minimum discount)[57] - Continuous Hedging Strategy, Annualized Return: -5.96% (monthly), -4.33% (quarterly), -3.76% (minimum discount); Volatility: 4.74% (monthly), 5.79% (quarterly), 5.60% (minimum discount); Maximum Drawdown: -14.00% (monthly), -12.63% (quarterly), -11.11% (minimum discount); Net Value: 0.8521 (monthly), 0.8849 (quarterly), 0.9009 (minimum discount); Annual Turnover: 12 (monthly), 4 (quarterly), 15.96 (minimum discount); 2025 YTD Return: -8.68% (monthly), -3.91% (quarterly), -3.47% (minimum discount)[59] - Cinda-VIX, 30-day VIX values: 17.29 (SSE 50), 15.95 (CSI 300), 23.13 (CSI 500), 21.70 (CSI 1000)[62] - Cinda-SKEW, 30-day SKEW values: 100.62 (SSE 50), 101.40 (CSI 300), 96.04 (CSI 500), 102.73 (CSI 1000)[71]

Quantitative Models and Construction Methods Model Name: Continuous Hedging Strategy - **Construction Idea**: The strategy is based on the analysis of basis convergence factors and optimization strategies[43] - **Construction Process**: - **Backtesting Parameters and Settings**: - **Backtesting Period**: July 22, 2022, to June 27, 2025[44] - **Spot End**: Hold the total return index of the corresponding underlying index[44] - **Futures End**: Use 70% of the funds for the spot end, short the corresponding nominal principal amount of CSI 500 (CSI 300, SSE 50, CSI 1000) stock index futures contracts, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantity of the spot and futures ends based on the product's net value[44] - **Rebalancing Rules**: Continuously hold quarterly/monthly contracts until the remaining days to expiration are less than 2 days. On that day, close the position at the closing price and simultaneously short the next quarterly/monthly contract at the closing price[44] - **Remarks**: Allocate equal principal to the spot and futures ends, without considering transaction fees, impact costs, and the non-infinite divisibility of futures contracts[44] - **Evaluation**: The strategy is designed to optimize hedging by continuously adjusting positions based on basis convergence factors[43] Model Name: Minimum Basis Strategy - **Construction Idea**: The strategy selects the contract with the smallest annualized basis discount for hedging[45] - **Construction Process**: - **Backtesting Parameters and Settings**: - **Backtesting Period**: July 22, 2022, to June 27, 2025[45] - **Spot End**: Hold the total return index of the corresponding underlying index[45] - **Futures End**: Use 70% of the funds for the spot end, short the corresponding nominal principal amount of CSI 500 (CSI 300, SSE 50, CSI 1000) stock index futures contracts, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantity of the spot and futures ends based on the product's net value[45] - **Rebalancing Rules**: When rebalancing, calculate the annualized basis of all tradable futures contracts on the day and select the contract with the smallest annualized basis discount for opening a position. Hold the same contract for 8 trading days or until the remaining days to expiration are less than 2 days, then select a new contract (excluding futures contracts with less than 8 days to expiration). Even if the selection result is to hold the original contract unchanged, continue to hold for 8 trading days[45] - **Remarks**: Allocate equal principal to the spot and futures ends, without considering transaction fees, impact costs, and the non-infinite divisibility of futures contracts[45] - **Evaluation**: The strategy aims to minimize basis discount by selecting the optimal contract for hedging[45] Model Backtesting Results Continuous Hedging Strategy - **CSI 500 Index Futures**: - **Annualized Return**: -2.77% (monthly), -2.08% (quarterly), -0.98% (minimum basis)[47] - **Volatility**: 3.88% (monthly), 4.77% (quarterly), 4.69% (minimum basis)[47] - **Maximum Drawdown**: -8.15% (monthly), -8.34% (quarterly), -7.97% (minimum basis)[47] - **Net Value**: 0.9215 (monthly), 0.9405 (quarterly), 0.9718 (minimum basis)[47] - **Annual Turnover**: 12 (monthly), 4 (quarterly), 17.53 (minimum basis)[47] - **2025 YTD Return**: -3.31% (monthly), -1.35% (quarterly), -0.69% (minimum basis)[47] - **CSI 300 Index Futures**: - **Annualized Return**: 0.58% (monthly), 0.77% (quarterly), 1.42% (minimum basis)[52] - **Volatility**: 3.02% (monthly), 3.37% (quarterly), 3.16% (minimum basis)[52] - **Maximum Drawdown**: -3.95% (monthly), -4.03% (quarterly), -4.06% (minimum basis)[52] - **Net Value**: 1.0171 (monthly), 1.0226 (quarterly), 1.0418 (minimum basis)[52] - **Annual Turnover**: 12 (monthly), 4 (quarterly), 15.46 (minimum basis)[52] - **2025 YTD Return**: -0.63% (monthly), 0.27% (quarterly), 0.82% (minimum basis)[52] - **SSE 50 Index Futures**: - **Annualized Return**: 1.07% (monthly), 2.04% (quarterly), 1.76% (minimum basis)[56] - **Volatility**: 3.14% (monthly), 3.57% (quarterly), 3.16% (minimum basis)[56] - **Maximum Drawdown**: -4.22% (monthly), -3.75% (quarterly), -3.91% (minimum basis)[56] - **Net Value**: 1.0315 (monthly), 1.0605 (quarterly), 1.0521 (minimum basis)[56] - **Annual Turnover**: 12 (monthly), 4 (quarterly), 15.81 (minimum basis)[56] - **2025 YTD Return**: 0.07% (monthly), 1.11% (quarterly), 1.09% (minimum basis)[56] - **CSI 1000 Index Futures**: - **Annualized Return**: -6.00% (monthly), -4.44% (quarterly), -3.79% (minimum basis)[58] - **Volatility**: 4.73% (monthly), 5.78% (quarterly), 5.60% (minimum basis)[58] - **Maximum Drawdown**: -14.00% (monthly), -12.63% (quarterly), -11.11% (minimum basis)[58] - **Net Value**: 0.8523 (monthly), 0.8843 (quarterly), 0.9009 (minimum basis)[58] - **Annual Turnover**: 12 (monthly), 4 (quarterly), 16.02 (minimum basis)[58] - **2025 YTD Return**: -8.76% (monthly), -4.36% (quarterly), -3.55% (minimum basis)[58] Quantitative Factors and Construction Methods Factor Name: Cinda-VIX - **Construction Idea**: Reflects the market's expectation of future volatility of the underlying asset[61] - **Construction Process**: - **Algorithm**: Based on the methodology in the report series "Exploring Market Sentiment Implied in the Options Market"[61] - **Data**: As of June 27, 2025, the 30-day VIX values for SSE 50, CSI 300, CSI 500, and CSI 1000 are 17.47, 16.92, 23.84, and 21.35, respectively[61] - **Evaluation**: The index accurately reflects the volatility expectations of the market for different time horizons[61] Factor Name: Cinda-SKEW - **Construction Idea**: Measures the skewness of implied volatility across different strike prices[69] - **Construction Process**: - **Algorithm**: Based on the methodology in the report series "Exploring Market Sentiment Implied in the Options Market"[69] - **Data**: As of June 27, 2025, the SKEW values for SSE 50, CSI 300, CSI 500, and CSI 1000 are 95.51, 97.95, 93.74, and 101.14, respectively[70] - **Evaluation**: The index provides valuable insights into market expectations of extreme events and tail risks[70] Factor Backtesting Results Cinda-VIX - **SSE 50**: 17.47[61] - **CSI 300**: 16.92[61] - **CSI 500**: 23.84[61] - **CSI 1000**: 21.35[61] Cinda-SKEW - **SSE 50**: 95.51[70] - **CSI 300**: 97.95[70] - **CSI 500**: 93.74[70] - **CSI 1000**: 101.14[70]

Quantitative Models and Construction Methods 1. Model Name: Continuous Hedging Strategy - **Model Construction Idea**: The strategy is based on the convergence of basis factors in stock index futures and optimizes hedging through continuous adjustments[47] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to May 23, 2025[48] - **Spot Side**: Hold the total return index of the corresponding underlying index[48] - **Futures Side**: Use 70% of the funds for the spot side and short the futures side with the same nominal principal, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantities of the spot and futures sides based on the product's net value[48] - **Rebalancing Rules**: Continuously hold quarterly/monthly contracts until the remaining time to maturity is less than 2 days. Close the position at the closing price on that day and simultaneously short the next quarterly/monthly contract at the closing price[48] - **Assumptions**: Equal allocation of principal between the spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[48] 2. Model Name: Minimum Discount Hedging Strategy - **Model Construction Idea**: This strategy selects futures contracts with the smallest annualized basis discount for hedging, aiming to optimize returns[49] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to May 23, 2025[49] - **Spot Side**: Hold the total return index of the corresponding underlying index[49] - **Futures Side**: Use 70% of the funds for the spot side and short the futures side with the same nominal principal, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantities of the spot and futures sides based on the product's net value[49] - **Rebalancing Rules**: Calculate the annualized basis for all tradable futures contracts on the day of rebalancing and select the contract with the smallest discount for opening a position. Hold the same contract for 8 trading days or until the remaining time to maturity is less than 2 days before selecting a new contract. Even if the result is to hold the original contract, it must still be held for 8 trading days[49] - **Assumptions**: Equal allocation of principal between the spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[49] --- Model Backtesting Results 1. Continuous Hedging Strategy - **IC (CSI 500 Futures)**: - Annualized Return: -2.50% (monthly), -1.64% (quarterly)[51] - Volatility: 3.93% (monthly), 4.83% (quarterly)[51] - Maximum Drawdown: -7.51% (monthly), -8.34% (quarterly)[51] - Net Value: 0.9312 (monthly), 0.9545 (quarterly)[51] - Annual Turnover: 12 (monthly), 4 (quarterly)[51] - 2025 YTD Return: -2.34% (monthly), 0.05% (quarterly)[51] - **IF (CSI 300 Futures)**: - Annualized Return: 0.72% (monthly), 0.99% (quarterly)[56] - Volatility: 3.07% (monthly), 3.41% (quarterly)[56] - Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly)[56] - Net Value: 1.0204 (monthly), 1.0281 (quarterly)[56] - Annual Turnover: 12 (monthly), 4 (quarterly)[56] - 2025 YTD Return: -0.30% (monthly), 0.83% (quarterly)[56] - **IH (SSE 50 Futures)**: - Annualized Return: 1.18% (monthly), 2.14% (quarterly)[60] - Volatility: 3.18% (monthly), 3.61% (quarterly)[60] - Maximum Drawdown: -4.22% (monthly), -3.75% (quarterly)[60] - Net Value: 1.0336 (monthly), 1.0612 (quarterly)[60] - Annual Turnover: 12 (monthly), 4 (quarterly)[60] - 2025 YTD Return: 0.28% (monthly), 1.18% (quarterly)[60] - **IM (CSI 1000 Futures)**: - Annualized Return: -5.76% (monthly), -4.12% (quarterly)[62] - Volatility: 4.76% (monthly), 5.81% (quarterly)[62] - Maximum Drawdown: -14.00% (monthly), -12.63% (quarterly)[62] - Net Value: 0.8595 (monthly), 0.8909 (quarterly)[62] - Annual Turnover: 12 (monthly), 4 (quarterly)[62] - 2025 YTD Return: -7.32% (monthly), -2.55% (quarterly)[62] 2. Minimum Discount Hedging Strategy - **IC (CSI 500 Futures)**: - Annualized Return: -0.61%[51] - Volatility: 4.75%[51] - Maximum Drawdown: -7.97%[51] - Net Value: 0.9829[51] - Annual Turnover: 17.78[51] - 2025 YTD Return: 0.42%[51] - **IF (CSI 300 Futures)**: - Annualized Return: 1.56%[56] - Volatility: 3.20%[56] - Maximum Drawdown: -4.06%[56] - Net Value: 1.0445[56] - Annual Turnover: 14.94[56] - 2025 YTD Return: 1.09%[56] - **IH (SSE 50 Futures)**: - Annualized Return: 1.85%[60] - Volatility: 3.19%[60] - Maximum Drawdown: -3.91%[60] - Net Value: 1.0528[60] - Annual Turnover: 16.36[60] - 2025 YTD Return: 1.16%[60] - **IM (CSI 1000 Futures)**: - Annualized Return: -3.45%[62] - Volatility: 5.62%[62] - Maximum Drawdown: -11.11%[62] - Net Value: 0.9068[62] - Annual Turnover: 16.12[62] - 2025 YTD Return: -1.64%[62] --- 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[65] - **Factor Construction Process**: - Based on methodologies from international markets, adjusted for China's options market[65] - Captures implied volatility from options prices to reflect market sentiment[65] - **Factor Values**: - 30-day VIX values as of May 23, 2025: - SSE 50: 18.91 - CSI 300: 17.52 - CSI 500: 24.78 - CSI 1000: 26.65[65][66][67] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, capturing market expectations of extreme risks[72] - **Factor Construction Process**: - Analyzes the slope of implied volatility curves to assess market sentiment on tail risks[72] - Higher SKEW values indicate increased concerns about extreme downside risks[73] - **Factor Values**: - SKEW values as of May 23, 2025: - SSE 50: 107.30 - CSI 300: 108.20 - CSI 500: 101.41 - CSI 1000: 110.79[73][74][79]

Market Overview - The A-share market is experiencing structural adjustments, with small-cap indices leading the decline; the CSI 500 and CSI 1000 fell by 1.19% and 1.04% respectively this week[2] - The VIX index has shown a mild increase, indicating rising risk aversion, while the overall market sentiment remains optimistic[2] Derivatives Market Insights - The SKEW for CSI 300 and CSI 1000 remains stable within the historical 35-55% range, suggesting an overall optimistic market sentiment[4] - Conversely, the near-term SKEW for CSI 500 is above the 80% threshold, indicating heightened expectations for significant downside risks in the short term[4] Dividend Forecasts - For the year ahead, the predicted dividend points for CSI 500, CSI 300, SSE 50, and CSI 1000 are 80.96, 80.99, 65.01, and 64.64 respectively[4] - The CSI 500 is expected to have no dividends in the current contract but forecasts dividends of 4.93, 47.11, and 80.54 in subsequent contracts[9] Risk Factors - The results presented are based on historical data and modeling, which may be subject to failure risks due to market volatility uncertainties[5]

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 Securities derivatives research report series. It aims to minimize the impact of basis fluctuations through continuous adjustments to hedging positions [40] - **Model Construction Process**: - **Backtesting Period**: July 22, 2022, to March 14, 2025 - **Spot Side**: Hold the total return index of the corresponding underlying index - **Futures Side**: Use 70% of the funds for the spot side and allocate the remaining 30% to short futures contracts of the same nominal principal (e.g., CSI 500, CSI 300, SSE 50, CSI 1000 index futures) - **Rebalancing Rules**: Continuously hold quarterly/monthly contracts until the remaining days to maturity are less than 2. Close the position at the closing price on that day and simultaneously short the next quarterly/monthly contract at the closing price [41] - **Model Evaluation**: This strategy provides a systematic approach to managing basis risks but does not account for transaction costs or market impact [41] 2. Model Name: Minimum Basis Strategy - **Model Construction Idea**: This strategy selects futures contracts with the smallest annualized basis discount to optimize hedging performance [42] - **Model Construction Process**: - **Backtesting Period**: July 22, 2022, to March 14, 2025 - **Spot Side**: Hold the total return index of the corresponding underlying index - **Futures Side**: Use 70% of the funds for the spot side and allocate the remaining 30% to short futures contracts of the same nominal principal - **Rebalancing Rules**: Calculate the annualized basis for all tradable futures contracts on the rebalancing day and select the contract with the smallest basis discount. Hold the selected contract for 8 trading days or until the remaining days to maturity are less than 2, then rebalance [42] - **Model Evaluation**: This strategy dynamically adjusts positions based on basis changes, potentially improving hedging efficiency [42] --- Model Backtesting Results 1. Continuous Hedging Strategy - **CSI 500 Futures**: - Annualized Return: -2.01% (monthly), -1.82% (quarterly) - Volatility: 4.02% (monthly), 4.94% (quarterly) - Maximum Drawdown: -7.51% (monthly), -8.34% (quarterly) - Net Value: 0.9480 (monthly), 0.9529 (quarterly) - IR: Not provided [44] - **CSI 300 Futures**: - Annualized Return: 0.89% (monthly), 0.76% (quarterly) - Volatility: 2.87% (monthly), 3.24% (quarterly) - Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly) - Net Value: 1.0236 (monthly), 1.0202 (quarterly) - IR: Not provided [49] - **SSE 50 Futures**: - Annualized Return: 1.27% (monthly), 1.97% (quarterly) - Volatility: 3.11% (monthly), 3.50% (quarterly) - Maximum Drawdown: -4.22% (monthly), -3.75% (quarterly) - Net Value: 1.0337 (monthly), 1.0525 (quarterly) - IR: Not provided [54] - **CSI 1000 Futures**: - Annualized Return: -4.87% (monthly), -4.02% (quarterly) - Volatility: 4.26% (monthly), 5.30% (quarterly) - Maximum Drawdown: -13.84% (monthly), -12.63% (quarterly) - Net Value: 0.8773 (monthly), 0.8981 (quarterly) - IR: Not provided [57] 2. Minimum Basis Strategy - **CSI 500 Futures**: - Annualized Return: -0.93% - Volatility: 4.84% - Maximum Drawdown: -7.97% - Net Value: 0.9759 - IR: Not provided [44] - **CSI 300 Futures**: - Annualized Return: 1.31% - Volatility: 3.03% - Maximum Drawdown: -4.06% - Net Value: 1.0348 - IR: Not provided [49] - **SSE 50 Futures**: - Annualized Return: 1.68% - Volatility: 3.06% - Maximum Drawdown: -3.91% - Net Value: 1.0446 - IR: Not provided [54] - **CSI 1000 Futures**: - Annualized Return: -3.49% - Volatility: 5.17% - Maximum Drawdown: -11.11% - Net Value: 0.9109 - IR: Not provided [57] --- 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 [60] - **Factor Construction Process**: - Based on the methodology outlined in the Cinda Securities derivatives research report series, adjusted for the Chinese market - Calculated using implied volatility from options prices [60] - **Factor Evaluation**: Provides insights into market sentiment and volatility expectations [60] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, capturing market expectations of extreme events [66] - **Factor Construction Process**: - Derived from the implied volatility of out-of-the-money options - Positive values indicate higher demand for call options, while negative values reflect higher demand for put options [66] - **Factor Evaluation**: Useful for assessing tail risk and market sentiment regarding extreme events [67] --- Factor Backtesting Results 1. Cinda-VIX - **30-Day VIX Values**: - SSE 50: 21.35 - CSI 300: 19.86 - CSI 500: 26.42 - CSI 1000: 26.01 [60] 2. Cinda-SKEW - **SKEW Values**: - SSE 50: 97.72 - CSI 300: 99.44 - CSI 500: 98.05 - CSI 1000: 102.75 [67]