1. Index Trends - On June 30, the Shanghai Composite Index rose 0.59% to close at 3,444.43 points, with a trading volume of 567.137 billion yuan. The Shenzhen Component Index rose 0.83% to close at 10,465.12 points, with a trading volume of 919.72 billion yuan. [1] - The CSI 1000 Index rose 1.26% with a trading volume of 336.221 billion yuan. It opened at 6,297.08, closed at 6,356.18, with a high of 6,358.03 and a low of 6,292.51. [1] - The CSI 500 Index rose 0.88% with a trading volume of 226.517 billion yuan. It opened at 5,877.67, closed at 5,915.39, with a high of 5,918.31 and a low of 5,872.23. [1] - The SSE 50 Index rose 0.16% with a trading volume of 76.464 billion yuan. It opened at 2,702.12, closed at 2,711.99, with a high of 2,716.3 and a low of 2,695.42. [1] 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 79.24 points from the previous close. Sectors such as electronics, national defense and military industry, and computer significantly pulled the index up. [2] - The CSI 500 rose 51.66 points from the previous close. Sectors such as national defense and military industry, electronics, and media significantly pulled the index up. [2] - The SSE 300 rose 14.32 points from the previous close. Sectors such as electronics, power equipment, and national defense and military industry significantly pulled the index up. [2] - The SSE 50 rose 4.42 points from the previous close. Sectors such as electronics, pharmaceutical biology, and national defense and military industry significantly pulled the index up, while sectors such as non - ferrous metals and banks pulled the index down. [2] 3. Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 51.59, IM01 of - 114.33, IM02 of - 181.73, and IM03 of - 356.0. [12] - For IC contracts, IC00 had an average daily basis of - 38.42, IC01 of - 80.23, IC02 of - 127.59, and IC03 of - 247.16. [12] - For IF contracts, IF00 had an average daily basis of - 25.11, IF01 of - 37.67, IF02 of - 44.55, and IF03 of - 75.15. [12] - For IH contracts, IH00 had an average daily basis of - 20.28, IH01 of - 23.86, IH02 of - 24.19, and IH03 of - 23.5. [12] 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - For IM contracts, various roll - over point differences and their corresponding annualized costs were presented at different time points from 09:45 to 15:00. For example, at 09:45, IM00 - 01 was - 53.1193, IM00 - 02 was - 158.791, etc. [21] - For IC contracts, similar roll - over point differences and annualized costs were provided at different time intervals. For instance, at 09:45, IC00 - 01 was - 26.1467, IC00 - 02 was - 90.0318, etc. [23] - For IF contracts, at 09:45, IF00 - 01 was - 5.99267, IF00 - 02 was - 13.4098, etc., with roll - over point differences and annualized costs tracked throughout the day. [25] - For IH contracts, data such as at 09:45, IH00 - 01 was - 1.29644, IH00 - 02 was 1.559889, etc., were given for roll - over point differences and annualized costs. [27]

- The report introduces the dividend forecast for stock index futures contracts during their duration, predicting dividend points for CSI 500, CSI 300, SSE 50, and CSI 1000 indices as 73.53, 68.56, 52.96, and 65.86 respectively[9][11][16] - The dividend-adjusted annualized basis calculation is explained as: Annualized Basis = (Actual Basis + (Expected) Dividend Points) / Index Price × 360 / Remaining Days of Contract[20] - CSI 500 futures contract IC2507 predicts dividend points of 20.73, IC2509 predicts 30.13, and IC2512 predicts 30.13, with a dividend ratio of 0.53% during the next season contract duration[9] - CSI 300 futures contract IF2507 predicts dividend points of 34.94, IF2509 predicts 48.09, and IF2512 predicts 48.4, with a dividend ratio of 1.26% during the next season contract duration[11] - SSE 50 futures contract IH2507 predicts dividend points of 40.11, IH2509 predicts 44.54, and IH2512 predicts 44.97, with a dividend ratio of 1.68% during the next season contract duration[16] - CSI 1000 futures contract IM2507 predicts dividend points of 18.42, IM2509 predicts 22.63, and IM2512 predicts 22.73, with a dividend ratio of 0.38% during the next season contract duration[18] - CSI 500 futures contract IC's dividend-adjusted annualized basis rose to -8.70% from a weekly low of -9.76%[21] - CSI 300 futures contract IF's dividend-adjusted annualized basis fell to -2.54% from a weekly high of -1.77%[27] - SSE 50 futures contract IH's dividend-adjusted annualized basis rose to 0.91% from a weekly low of 0.40%[33] - CSI 1000 futures contract IM's dividend-adjusted annualized basis rose to -12.34% from a weekly low of -14.89%[40] - The continuous hedging strategy and minimum basis strategy are introduced, with parameters including holding corresponding total return indices for the spot side and shorting futures contracts with equal nominal principal for the hedging side[45][46][47] - CSI 500 futures hedging strategy results: Annualized returns for monthly continuous hedging, seasonal continuous hedging, and minimum basis strategy are -2.75%, -1.97%, and -0.95% respectively, with volatility of 3.89%, 4.78%, and 4.70%[48] - CSI 300 futures hedging strategy results: Annualized returns for monthly continuous hedging, seasonal continuous hedging, and minimum basis strategy are 0.60%, 0.88%, and 1.44% respectively, with volatility of 3.03%, 3.38%, and 3.17%[50][54] - SSE 50 futures hedging strategy results: Annualized returns for monthly continuous hedging, seasonal continuous hedging, and minimum basis strategy are 1.10%, 2.04%, and 1.76% respectively, with volatility of 3.15%, 3.58%, and 3.16%[55][58] - CSI 1000 futures hedging strategy results: Annualized returns for monthly continuous hedging, seasonal continuous hedging, and minimum basis strategy are -5.99%, -4.36%, and -3.68% respectively, with volatility of 4.74%, 5.78%, and 5.60%[59][60] - Cinda-VIX index reflects market volatility expectations, with 30-day VIX values for SSE 50, CSI 300, CSI 500, and CSI 1000 indices at 16.54, 17.01, 25.03, and 22.92 respectively[63][65] - Cinda-SKEW index captures implied volatility skew characteristics, with values for SSE 50, CSI 300, CSI 500, and CSI 1000 indices at 101.73, 106.09, 97.81, and 105.04 respectively[72][75]

Report Summary 1. Index Performance - On June 19th, the Shanghai Composite Index dropped by 0.79% to close at 3362.11 points, with a trading volume of 473.259 billion yuan; the Shenzhen Component Index fell 1.21% to 10051.97 points, trading 777.365 billion yuan [1]. - The CSI 1000 Index decreased by 1.42%, with a trading volume of 270.827 billion yuan, opening at 6127.94 and closing at 6048.22 [1]. - The CSI 500 Index declined by 1.2%, trading 162.658 billion yuan, opening at 5733.81 and closing at 5676.83 [1]. - The SSE 50 Index fell 0.54%, with a trading volume of 64.021 billion yuan, opening at 2678.36 and closing at 2665.52 [1]. 2. Sector Impact on Index - The CSI 1000 dropped 87.17 points, with the Computer and Pharmaceutical Biology sectors significantly dragging it down [2]. - The CSI 500 fell 69.04 points, affected by the Computer, Pharmaceutical Biology, and Non - Banking Finance sectors [2]. - The SSE 300 declined 31.88 points, pulled down by the Power Equipment and Non - Banking Finance sectors [2]. - The SSE 50 dropped 14.4 points, influenced by the Non - Banking Finance and Non - Ferrous Metals sectors [2]. 3. Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 7.72, IM01 of - 95.26, IM02 of - 258.62, and IM03 of - 437.34 [11]. - For IC contracts, IC00 had an average daily basis of - 6.6, IC01 of - 72.5, IC02 of - 184.11, and IC03 of - 308.25 [11]. - For IF contracts, IF00 had an average daily basis of - 5.07, IF01 of - 47.41, IF02 of - 77.64, and IF03 of - 107.61 [11]. - For IH contracts, IH00 had an average daily basis of - 6.22, IH01 of - 43.57, IH02 of - 45.65, and IH03 of - 47.67 [11]. 4. Futures Roll - over Point Differences and Annualized Costs - For IM contracts, various roll - over point differences and their corresponding annualized costs were presented, such as IM00 - 01 having different values at different times [21]. - For IC contracts, similar roll - over point differences and annualized costs were provided, like IC00 - 01 with values changing over time [23]. - For IF contracts, roll - over point differences and annualized costs were detailed, e.g., IF00 - 01 at different time points [23]. - For IH contracts, roll - over point differences and annualized costs were given, such as IH00 - 01 at various times [25]. Core View The report presents the performance of major stock indices on June 19th, including their price changes, trading volumes, and the impact of different sectors on these indices. It also provides data on the basis and roll - over costs of various stock index futures contracts, offering a comprehensive view of the market situation on that day.

股指期货日度数据跟踪 2025-06-19 一、指数走势 06 月 18 日，上证综指涨跌幅 0.04%，收于 3388.81 点，成交额 4410.11 亿元，深成指数涨跌幅 0.24%，收于 10175.59 点，成交额 7500.56 亿元。 中证 1000 指数涨跌幅-0.1%，成交额 2564.64 亿元，其中开盘价 6126.18，收盘价 6135.39，当日最高价 6143.21，最低价 6086.69； 中证 500 指数涨跌幅-0.09%，成交额 1545.4 亿元，其中开盘价 5740.16，收盘价 5745.87，当日最高价 5753.71，最低价 5709.8； 沪深 300 指数涨跌幅 0.12%，成交额 2305.54 亿元，其中开盘价 3871.65，收盘价 3874.97，当日最高价 3881.35，最低价 3854.66； 上证 50 指数涨跌幅-0.15%，成交额 621.34 亿元，其中开盘价 2685.47，收盘价 2679.92，当日最高价 2690.9，最低价 2668.87。 图表 1：中证 1000、中证 500、沪深 300、上证 50 日内走势（%） 图表 ...

Index Trends - On June 11th, the Shanghai Composite Index rose 0.52% to close at 3402.32 points with a trading volume of 501.807 billion yuan; the Shenzhen Component Index rose 0.83% to close at 10246.02 points with a trading volume of 753.651 billion yuan [1]. - The CSI 1000 Index rose 0.4% with a trading volume of 243.671 billion yuan, opening at 6162.16, closing at 6186.51, with a daily high of 6221.2 and a low of 6162.16 [1]. - The CSI 500 Index rose 0.61% with a trading volume of 161.354 billion yuan, opening at 5758.53, closing at 5792.95, with a daily high of 5818.57 and a low of 5758.53 [1]. - The SSE 50 Index rose 0.59% with a trading volume of 66.528 billion yuan, opening at 2676.67, closing at 2692.14, with a daily high of 2704.45 and a low of 2676.67 [1]. - The SSE 50 Index rose 0.59% with a trading volume of 66.528 billion yuan, opening at 2676.67, closing at 2692.14, with a daily high of 2704.45 and a low of 2676.67 [1]. Impact of Sector Movements on Indexes - The CSI 1000 rose 24.82 points from the previous closing price. Sectors such as non - ferrous metals, media, and electronics significantly pulled the index up, while the pharmaceutical and biological sector pulled it down [3]. - The CSI 500 rose 34.96 points from the previous closing price. Sectors such as automobiles, non - bank finance, and power equipment significantly pulled the index up [3]. - The SSE 300 rose 29.16 points from the previous closing price. Sectors such as non - bank finance, power equipment, and non - ferrous metals significantly pulled the index up [3]. - The SSE 50 rose 15.74 points from the previous closing price. Sectors such as non - bank finance, banks, and non - ferrous metals significantly pulled the index up, while the electronics sector pulled it down [3]. Stock Index Futures Basis and Annualized Opening Costs - IM00 had an average daily basis of - 32.9, IM01 of - 126.39, IM02 of - 286.78, and IM03 of - 460.32 [14]. - IC00 had an average daily basis of - 24.61, IC01 of - 98.13, IC02 of - 204.24, and IC03 of - 327.04 [14]. - IF00 had an average daily basis of - 13.64, IF01 of - 52.63, IF02 of - 80.48, and IF03 of - 107.98 [14]. - IH00 had an average daily basis of - 11.11, IH01 of - 42.08, IH02 of - 47.99, and IH03 of - 48.09 [14]. Stock Index Futures Roll - over Point Differences and Annualized Costs - Data on the roll - over point differences and their annualized costs for IM, IC, IF, and IH futures at different time points are provided, including details such as IC00 - 01, IC00 - 02, etc. at 15 - minute intervals [24][26][27].

Group 1: Index Trends - On June 9th, the Shanghai Composite Index rose by 0.43% to close at 3399.77 points, with a trading volume of 511.88 billion yuan; the Shenzhen Component Index rose by 0.65% to close at 10250.14 points, with a trading volume of 774.512 billion yuan [1]. - The CSI 1000 Index rose by 1.07% with a trading volume of 255.785 billion yuan, opening at 6161.14, closing at 6218.96, with a daily high of 6226.38 and a low of 6158.9 [1]. - The CSI 500 Index rose by 0.76% with a trading volume of 171.482 billion yuan, opening at 5772.78, closing at 5805.65, with a daily high of 5823.9 and a low of 5765.35 [1]. - The SSE 50 Index fell by 0.08% with a trading volume of 65.216 billion yuan, opening at 2689.73, closing at 2686.83, with a daily high of 2698.36 and a low of 2681.69 [1]. - The SSE 300 Index rose by 0.29% with a trading volume of 262.024 billion yuan, opening at 3877.8, closing at 3885.25, with a daily high of 3894.65 and a low of 3871.99 [1]. Group 2: Impact of Sector Movements on Indexes - The CSI 1000 rose 66.12 points from the previous close, with sectors such as Medicine and Biology, and Electronics significantly pulling the index up [2]. - The CSI 500 rose 43.57 points from the previous close, with sectors such as Medicine and Biology, Power Equipment, and Non - Banking Finance significantly pulling the index up [2]. - The SSE 300 rose 11.27 points from the previous close, with sectors such as Non - Banking Finance, Medicine and Biology, and Agriculture, Forestry, Animal Husbandry and Fishery significantly pulling the index up, while sectors such as Automobile and Food and Beverage pulled the index down [2]. - The SSE 50 fell 2.02 points from the previous close, with sectors such as Non - Banking Finance, Medicine and Biology, and Banks significantly pulling the index up, while sectors such as Telecommunications, Non - Ferrous Metals, and Food and Beverage pulled the index down [2]. Group 3: Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 41.51, IM01 of - 133.92, IM02 of - 296.53, and IM03 of - 472.57 [12]. - For IC contracts, IC00 had an average daily basis of - 31.34, IC01 of - 101.99, IC02 of - 213.64, and IC03 of - 339.47 [12]. - For IF contracts, IF00 had an average daily basis of - 15.32, IF01 of - 51.84, IF02 of - 83.42, and IF03 of - 117.23 [12]. - For IH contracts, IH00 had an average daily basis of - 12.08, IH01 of - 43.25, IH02 of - 47.54, and IH03 of - 47.12 [12]. Group 4: Stock Index Futures Rollover Point Differences and Annualized Costs - Data on IM rollover point differences and their annualized costs were presented, including values at different time points such as 09:45, 10:00, etc., for various contract combinations (e.g., IM00 - 01, IM00 - 02) [23]. - Data on IC rollover point differences and their annualized costs were presented, including values at different time points such as 09:45, 10:00, etc., for various contract combinations (e.g., IC00 - 01, IC00 - 02) [25]. - Data on IF rollover point differences and their annualized costs were presented, including values at different time points such as 09:45, 10:00, etc., for various contract combinations (e.g., IF00 - 01, IF00 - 02) [25]. - Data on IH rollover point differences and their annualized costs were presented, including values at different time points such as 09:45, 10:00, etc., for various contract combinations (e.g., IH00 - 01, IH00 - 02) [27].

股指期货日度数据跟踪 2025-06-05 一、指数走势 06 月 04 日，上证综指涨跌幅 0.42%，收于 3376.2 点，成交额 4468.45 亿元，深成指数涨跌幅 0.87%，收于 10144.58 点，成交额 7062.03 亿元。 中证 1000 指数涨跌幅 0.88%，成交额 2320.4 亿元，其中开盘价 6067.83，收盘价 6123.17，当日最高价 6124.7，最低价 6067.83； 中证 500 指数涨跌幅 0.78%，成交额 1503.15 亿元，其中开盘价 5696.57，收盘价 5739.01，当日最高价 5744.45，最低价 5696.57； 沪深 300 指数涨跌幅 0.43%，成交额 2117.36 亿元，其中开盘价 3855.49，收盘价 3868.74，当日最高价 3875.86，最低价 3855.49； 上证 50 指数涨跌幅 0.13%，成交额 511.09 亿元，其中开盘价 2688.74，收盘价 2690.82，当日最高价 2699.67，最低价 2687.3。 数据来源：Wind，光期研究所 数据来源：Wind，光期研究所 二、板块涨跌对指数影响 ...

1. Index Trends - On May 29th, the Shanghai Composite Index rose 0.7% to close at 3363.45 points, with a trading volume of 453.741 billion yuan; the Shenzhen Component Index rose 1.24% to close at 10127.2 points, with a trading volume of 731.681 billion yuan [1]. - The CSI 1000 Index rose 1.76% with a trading volume of 232.576 billion yuan, opening at 5980.86, closing at 6089.58, with a daily high of 6091.96 and a low of 5980.86 [1]. - The CSI 500 Index rose 1.47% with a trading volume of 148.095 billion yuan, opening at 5637.06, closing at 5719.91, with a daily high of 5724.52 and a low of 5637.06 [1]. - The SSE 50 Index rose 0.29% with a trading volume of 53.28 billion yuan, opening at 2684.49, closing at 2690.89, with a daily high of 2703.99 and a low of 2677.81 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 105.12 points from the previous close, with sectors such as Computer, Electronics, and Medicine & Biology significantly pulling the index up [2]. - The CSI 500 rose 82.67 points from the previous close, with Electronics, Medicine & Biology, and Computer sectors significantly pulling the index up [2]. - The SSE 50 rose 7.83 points from the previous close, with Electronics, Non - Banking Finance, and Medicine & Biology sectors pulling the index up, while Food & Beverage, Utilities, and Banking sectors pulling it down [2]. 3. Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 66.97, IM01 of - 157.35, IM02 of - 309.74, and IM03 of - 475.64 [13]. - For IC contracts, IC00 had an average daily basis of - 53.15, IC01 of - 123.11, IC02 of - 229.29, and IC03 of - 349.52 [13]. - For IF contracts, IF00 had an average daily basis of - 22.88, IF01 of - 60.63, IF02 of - 90.54, and IF03 of - 127.91 [13]. - For IH contracts, IH00 had an average daily basis of - 15.56, IH01 of - 46.26, IH02 of - 51.34, and IH03 of - 52.09 [13]. 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - For IM contracts, data on roll - over point differences and their annualized costs at different times (e.g., at 09:45, IM00 - 01 was - 53.1193, etc.) are provided [22]. - For IC contracts, data on roll - over point differences and their annualized costs at different times (e.g., at 09:45, IC00 - 01 was - 26.1467, etc.) are provided [23]. - For IF contracts, data on roll - over point differences and their annualized costs at different times (e.g., at 09:45, IF00 - 01 was - 5.99267, etc.) are provided [23]. - For IH contracts, data on roll - over point differences and their annualized costs at different times (e.g., at 09:45, IH00 - 01 was - 1.29644, etc.) are provided [27].

Group 1: Index Trends - On May 28th, the Shanghai Composite Index had a change of -0.02%, closing at 3339.93 points with a trading volume of 389.341 billion yuan; the Shenzhen Component Index had a change of -0.26%, closing at 10003.27 points with a trading volume of 620.609 billion yuan [1]. - The CSI 1000 Index had a change of -0.4%, with a trading volume of 191.733 billion yuan, an opening price of 6006.89, a closing price of 5984.46, a daily high of 6023.82, and a daily low of 5972.18 [1]. - The CSI 500 Index had a change of -0.26%, with a trading volume of 119.96 billion yuan, an opening price of 5651.88, a closing price of 5637.24, a daily high of 5660.47, and a daily low of 5628.42 [1]. - The SSE 300 Index had a change of -0.08%, with a trading volume of 162.496 billion yuan, an opening price of 3843.07, a closing price of 3836.24, a daily high of 3849.74, and a daily low of 3833.96 [1]. - The SSE 50 Index had a change of -0.08%, with a trading volume of 44.83 billion yuan, an opening price of 2686.73, a closing price of 2683.06, a daily high of 2691.48, and a daily low of 2681.86 [1]. Group 2: Impact of Sector Movements on Indexes - The CSI 1000 Index decreased by 24.0 points compared to the previous closing price, with sectors such as Computer, Electronics, and Medicine & Biology significantly dragging down the index [3]. - The CSI 500 Index decreased by 14.91 points compared to the previous closing price, with the Food & Beverage sector significantly boosting the index, while sectors such as National Defense & Military Industry, Automobile, and Computer significantly dragging it down [3]. - The SSE 300 Index decreased by 3.16 points compared to the previous closing price, with sectors such as Transportation, Household Appliances, and Communication significantly boosting the index, while sectors such as Electronics, Power Equipment, and Automobile significantly dragging it down [3]. - The SSE 50 Index decreased by 2.22 points compared to the previous closing price, with sectors such as Petroleum & Petrochemical, Public Utilities, and Coal significantly boosting the index, while sectors such as Automobile, Electronics, and Banking significantly dragging it down [3]. Group 3: Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, the average daily basis for IM00 was -96.74, IM01 was -188.82, IM02 was -344.92, and IM03 was -518.57 [14]. - For IC contracts, the average daily basis for IC00 was -78.15, IC01 was -152.25, IC02 was -265.01, and IC03 was -391.8 [14]. - For IF contracts, the average daily basis for IF00 was -32.25, IF01 was -71.05, IF02 was -102.95, and IF03 was -142.39 [14]. - For IH contracts, the average daily basis for IH00 was -18.32, IH01 was -49.61, IH02 was -55.82, and IH03 was -58.14 [14]. Group 4: Stock Index Futures Roll - over Point Differences and Annualized Costs - For IM contracts, various roll - over point differences and their corresponding annualized costs are presented, such as at 09:45, IM00 - 01 was -53.1193, IM00 - 02 was -158.791, etc. [25]. - For IC contracts, at 09:45, IC00 - 01 was -26.1467, IC00 - 02 was -90.0318, etc., along with their annualized costs [26]. - For IF contracts, at 09:45, IF00 - 01 was -5.99267, IF00 - 02 was -13.4098, etc., and their annualized costs are provided [26]. - For IH contracts, at 09:45, IH00 - 01 was -1.29644, IH00 - 02 was 1.559889, etc., with corresponding annualized costs [28].

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]