Quantitative Models and Construction Methods 1. Model Name: Continuous Hedging Strategy - **Model Construction Idea**: This strategy is based on the convergence of basis in stock index futures and aims to optimize hedging performance by continuously rolling over contracts[47][48] - **Model Construction Process**: - **Backtesting Period**: July 22, 2022, to May 16, 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 the remaining 30% for shorting futures contracts with the same nominal principal[48] - **Rebalancing Rules**: Continuously hold the current month/quarter contracts until two days before expiration, then roll over to the next contract at the closing price[48] - **Assumptions**: No transaction fees, impact costs, or indivisibility of futures contracts are considered[48] 2. Model Name: Minimum Basis Strategy - **Model Construction Idea**: This strategy selects futures contracts with the smallest annualized basis discount to optimize hedging performance[49] - **Model Construction Process**: - **Backtesting Period**: July 22, 2022, to May 16, 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 the remaining 30% for shorting futures contracts with the same nominal principal[49] - **Rebalancing Rules**: Calculate the annualized basis for all tradable futures contracts and select the one with the smallest discount. Contracts are held for at least eight trading days or until two days before expiration[49] - **Assumptions**: No transaction fees, impact costs, or indivisibility of futures contracts are considered[49] --- Model Backtesting Results 1. Continuous Hedging Strategy - **IC (CSI 500 Futures)**: - Annualized Return: -2.45% (current month), -1.66% (quarterly), -0.66% (minimum basis)[51] - Volatility: 3.94% (current month), 4.85% (quarterly), 4.76% (minimum basis)[51] - Maximum Drawdown: -7.51% (current month), -8.34% (quarterly), -7.97% (minimum basis)[51] - Net Value: 0.9331 (current month), 0.9543 (quarterly), 0.9818 (minimum basis)[51] - **IF (CSI 300 Futures)**: - Annualized Return: 0.76% (current month), 1.01% (quarterly), 1.59% (minimum basis)[56] - Volatility: 3.08% (current month), 3.42% (quarterly), 3.21% (minimum basis)[56] - Maximum Drawdown: -3.95% (current month), -4.03% (quarterly), -4.06% (minimum basis)[56] - Net Value: 1.0212 (current month), 1.0286 (quarterly), 1.0450 (minimum basis)[56] - **IH (SSE 50 Futures)**: - Annualized Return: 1.20% (current month), 2.13% (quarterly), 1.84% (minimum basis)[60] - Volatility: 3.19% (current month), 3.62% (quarterly), 3.21% (minimum basis)[60] - Maximum Drawdown: -4.22% (current month), -3.75% (quarterly), -3.91% (minimum basis)[60] - Net Value: 1.0339 (current month), 1.0605 (quarterly), 1.0521 (minimum basis)[60] - **IM (CSI 1000 Futures)**: - Annualized Return: -5.28% (current month), -3.88% (quarterly), -3.23% (minimum basis)[62] - Volatility: 4.35% (current month), 5.45% (quarterly), 5.31% (minimum basis)[62] - Maximum Drawdown: -14.36% (current month), -12.63% (quarterly), -11.11% (minimum basis)[62] - Net Value: 0.8595 (current month), 0.8953 (quarterly), 0.9124 (minimum basis)[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 on-exchange options market[65] - Calculated using implied volatilities from options with different maturities[65] - **Factor Evaluation**: Provides insights into market sentiment and volatility expectations[65] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness in implied volatility across different strike prices, capturing market expectations of extreme tail risks[74] - **Factor Construction Process**: - Analyzes the slope of implied volatility curves for options with varying strike prices[74] - Higher SKEW values indicate increased demand for out-of-the-money options, reflecting heightened tail risk concerns[75] - **Factor Evaluation**: Useful for assessing market sentiment and potential "black swan" events[75] --- Factor Backtesting Results 1. Cinda-VIX - **30-Day VIX Values**: - SSE 50: 19.24[65] - CSI 300: 19.19[65] - CSI 500: 22.56[65] - CSI 1000: 26.89[65] 2. Cinda-SKEW - **SKEW Values**: - SSE 50: 100.71[75] - CSI 300: 103.73[75] - CSI 500: 98.73[75] - CSI 1000: 107.96[75]

Group 1 - Multiple funds have issued risk warnings regarding premium rates, with significant activity in the cross-border ETF market leading to a surge in premium rates. Fund companies have issued numerous risk warning announcements, with notable examples including Guotai Fund's S&P 500 ETF and Invesco Great Wall Fund's S&P Consumer ETF, which have issued six warnings since the May Day holiday and 21 warnings in April alone [1][2] Group 2 - The scale of bond ETFs has surpassed 250 billion RMB, reaching 253.65 billion RMB as of May 12. This represents an increase of nearly 80 billion RMB in 2023, marking a growth rate of 45.8%. New bond ETFs have been a significant contributor to this growth, with eight new funds raising a total of 21.71 billion RMB this year [3] Group 3 - Several hedge strategy funds have set limits on their scale during the open period to maintain stability for fund shareholders. For instance, Huaxia Antai Hedge Strategy Fund has a cap of 2.3 billion RMB for its upcoming open period, while Invesco Great Wall's fund has a cap of 3 billion RMB [4] Group 4 - The North Exchange's thematic funds have shown positive returns in 2025, with the top five funds achieving returns exceeding 60%. The highest return was from the Penghua Carbon Neutrality Theme Fund, which exceeded 69% [5] Group 5 - A total of 20 FOF funds have been established this year, raising a combined total of 23.03 billion RMB, significantly surpassing the 11.3 billion RMB raised in all of 2024. Notable successful funds include Qianhai Kaiyuan's FOF, which raised over 2 billion RMB, and Southern's FOF, which exceeded 3.6 billion RMB [6][7] Group 6 - Ma Long has officially joined Tianhong Fund, focusing on fixed income research and fund management. He brings nearly 16 years of experience in bond research and nearly 11 years in public fund management, having previously managed funds with a peak size close to 90 billion RMB [8] Group 7 - The market saw a rise on May 14, driven by financial stocks, with the ChiNext index leading the gains. Sectors such as insurance and logistics performed well, while solar equipment and precious metals faced declines [9][10] Group 8 - Solar-related ETFs experienced a collective decline, with the highest drop at 1.35%. The solar industry is currently at a cyclical low, and stricter regulations on new capacity are expected to impact production levels, potentially leading to a recovery in profitability as supply-side adjustments take place [11]

- The report includes the construction of dividend points for stock index futures contracts, predicting the dividend points for the next year for indices such as CSI 500, CSI 300, SSE 50, and CSI 1000[10][12][16][18] - The construction process involves estimating the dividend points for the contract's duration, adjusting the basis by removing the impact of dividends, and annualizing the basis[20] - The basis adjustment formula is: Expected dividend-adjusted basis = Actual basis + Expected dividends during the contract period[20] - The annualized basis formula is: Annualized basis = (Actual basis + (Expected) dividend points) / Index price × 360 / Remaining days of the contract[20] - The evaluation of the basis adjustment indicates that the basis for IC, IF, IH, and IM contracts has generally increased, with the basis for IC and IM contracts showing a narrowing discount, while IF and IH contracts show a slight increase in premium[21][27][32][38] Model Backtesting Results - IC contract: Annualized basis discount narrowed to 7.58%[21] - IF contract: Annualized basis discount narrowed to 2.07%[27] - IH contract: Annualized basis premium increased to 0.83%[32] - IM contract: Annualized basis discount narrowed to 10.35%[38] Quantitative Factors and Construction - Cinda-VIX: Reflects the expected future volatility of the underlying asset in the options market, with a term structure indicating different volatility expectations for different periods[63] - Cinda-SKEW: Measures the skewness of implied volatility across different strike prices, capturing market expectations of extreme events and potential risks[72] Factor Backtesting Results - Cinda-VIX values as of April 25, 2025: SSE 50VIX 19.21, CSI 300VIX 19.66, CSI 500VIX 29.03, CSI 1000VIX 28.66[64] - Cinda-SKEW values as of April 25, 2025: SSE 50SKEW 102.81, CSI 300SKEW 104.47, CSI 500SKEW 102.76, CSI 1000SKEW 103.65[72] Evaluation of Models and Factors - The basis adjustment model effectively accounts for the impact of dividends on futures contracts, providing a more accurate basis measurement[20] - The Cinda-VIX and Cinda-SKEW indices offer valuable insights into market sentiment and potential risks, with high SKEW values indicating increased concern over extreme negative events[72]

Grace Ong LSEG企业解决方案主管 步入2025年，全球经济波动正深刻影响着各行业。地缘政治紧张局势、货币政策转向及供应链中断，既为 企业带来严峻挑战，也孕育着新的发展机遇。 本文将剖析全球经济波动背后的关键驱动因素，以及企业可 以用来应对的策略。 2025年第一季度，经济波动持续塑造全球经济格局，对各行业的企业产生深刻影响。地缘政治紧张、货币 政策转变与供应链中断的相互作用，为管理全球运营及资本流动的企业带来严峻挑战，也孕育着新的发展机 遇。 尽管市场波动看似常态，但近期趋势为利率和外汇市场增添了新的复杂层面。在本文中，我们将探讨这种波 动性产生的原因及其影响，包括地缘政治与经济因素、利率决策与货币影响、企业战略，以及贸易融资与供 应链所起的作用。 地缘政治与经济： 全球紧张局势影响加剧 全球地缘政治格局正不断变化，尤其是美国在关税和贸易政策上的调整，为全球带来了不确定性。各国正采 取贸易壁垒作为反制措施，并运用货币政策来维持经济稳定，避免商业活动受到干扰。 近期美国通胀数据呈现混杂信号：2月消费者物价指数（CPI）同比上涨3.1%，生产者物价指数（PPI）同比 上涨3.4%，两者均低于市场预期， ...