ETF 规模扰动提前透支了 A500 主线行情预期，量化策略风险敞口边际进一步收紧空 间有限，2026 年 1 月微盘股复苏节奏有望比往年提前。从 IM 基差维度来看，对冲策 略有望节后重新建仓，其将是小微盘复苏的重要催化。 ❑ 如何理解微盘股 4 季度的震荡行情？ 对冲策略年末保收益，资金面形成蓄力。12 月末私募基金需要根据当年收益来 计提业绩报酬，而 2025 年量化产品在上下半年呈现两极分化的表现，上半年平 均 500 指增超额年化 22.7%，大幅领先其他权益类产品。而下半年，尤其是 8 月 上旬至 9 月中旬，量化策略普遍跑输市场，对冲类产品更是受基差影响，平均回 撤 3%-5%左右。因此，年末私募产品对风险的敏感度比往年更高，从基差变化 可以看出，期货空头力量频繁变化，IM 年化基差在 18%-5%之间大幅波动，截 至 12 月 31 日，IM 年化基差收敛至 5%附近。即使是指增多头类策略，面对 A500 带来的权重股强势行情，风险敞口亦大幅收紧。对此，我们认为转机有望 在元旦后出现，对冲产品批量建仓，量化敞口的放开，都将为小微盘带来结构性 资金流入。 ❑ 如何理解 A 股微型股长期牛市？ 微 ...

Summary of Conference Call on Long-term Bonds Industry Overview - The conference call focuses on the long-term bond market, particularly the super long bonds, which are currently experiencing volatility due to supply expectations and weak demand [1][2]. Key Points and Arguments 1. **Market Sentiment and Interest Rates** - The sentiment in the super long bond market is negatively impacted by supply expectations and weak demand, leading to rising interest rates, especially for super long bonds [1][2]. - A short-term rebound opportunity exists, but long-term factors such as allocation strength and interest rate cut expectations limit this rebound potential [1][3]. 2. **Future Monetary Policy Expectations** - It is anticipated that monetary policy may become more accommodative in 2026, with clearer easing expectations emerging around March-April, while January-February may show less clarity [1][4]. 3. **Current Bond Recommendations** - Liquid super long bonds currently include T6, T2, and 25 ordinary government bonds [1][5]. - The 30-year old bonds, such as 25 special 5 and 25 special 6, show a yield spread of over 10 basis points, indicating holding value, but the compression speed of this spread may be slow [1][5]. 4. **Investment Strategies** - Suggested strategies include a low-duration defensive approach combined with a coupon strategy, focusing on two-year credit bonds and the potential rebound of 30-year government bonds [3][10]. - For short-term high-frequency trading, the most liquid bond is 25 special 6, while 2,502 bonds are recommended for slightly longer-term holds [8][9]. 5. **Liquidity and Future Issuance of Bonds** - The future liquidity of 2,502 bonds is uncertain, with potential issuance in 2026 estimated to reach between 250 billion to 300 billion, which could enhance its status as an active bond [6][7]. 6. **Short-term Investment Strategies** - Current market conditions favor short-term investments in three-month certificates of deposit due to favorable coupon rates [9]. - A combination of three-month and one-year certificates is recommended for better value [9]. 7. **Credit and Local Government Bonds** - For local government bonds, focus on new bonds with an implied tax rate above 4%, and for credit bonds, consider three-year secondary capital bonds and the spread with three-year national development bonds [12]. 8. **Floating Rate Bonds and Hedging Strategies** - Floating rate bonds are currently overpriced, but specific types like 25 Longfa XFL09 still hold value [13]. - A hedging strategy involving buying five-year national development bonds and shorting government bond futures could yield around 1.95% returns, providing a stable risk-return profile [13]. Additional Important Insights - The overall market environment presents unique opportunities across various bond types, including long-term government bonds and local government special bonds, which should be analyzed based on implied tax rates and regional economic conditions [15]. - The differentiation in performance among main bonds indicates a need for careful selection based on liquidity premiums and potential returns [11].

Group 1 - The global stock market has generally risen this year, with major markets like the US, Japan, and Germany reaching historical highs, and the A-share Shanghai Composite Index surpassing 4000 points, driven by the AI technology revolution and sustained monetary easing from central banks [1][3] - As the AI technology trend matures, concerns about market volatility and high valuations are increasing among investors, prompting discussions on asset allocation strategies [1][3] - The article introduces a series focused on global asset allocation strategies in the context of the AI wave, starting with a broad overview of the current investment environment [1][3] Group 2 - In terms of offensive assets, US tech stocks are highlighted as suitable investments, despite the market being at a relatively high valuation level, as corporate earnings growth remains strong, with 63% of companies exceeding earnings expectations in Q3 [3][4] - The Nasdaq index shows a year-on-year earnings growth rate of 25.4%, indicating that sustained earnings growth may help mitigate high valuations over time [3][4] - The article suggests maintaining a focus on large-cap tech stocks while being mindful of market volatility and exploring tactical timing and structural opportunities for excess returns [3][4] Group 3 - For defensive assets, US Treasury bonds and hedging strategies are recommended, especially following the Federal Reserve's recent interest rate cuts, which have contributed to a decline in bond yields [4][5] - Various types of US bonds have performed well this year, with the US Aggregate Bond Index up 6.71% and the US Treasury Index up 5.97% year-to-date, indicating strong performance amid a loosening monetary policy [4][5] - The article emphasizes the potential of US Treasuries as a tool to hedge against stock market volatility, particularly in a controlled inflation environment with rising economic pressures [4][5] Group 4 - Hedging strategies are discussed as a means to offset systemic risks through dual trading, allowing investors to capture trading opportunities while mitigating market risks [5][6] - These strategies can provide independent performance from both equity and bond markets, offering attractive absolute return potential [5][6] - Future articles in the series will delve deeper into the configuration of US tech stocks and the performance characteristics of hedging strategies [5][6]

Summary of Conference Call on Bond Investment Strategy Industry Overview - The focus is on the bond investment strategy for the year, particularly in the context of low interest rate expectations and limited downward space for both long-term (10-year government bonds) and short-term (1-year time deposits) rates [1][2][3]. Key Points and Arguments 1. **Interest Rate Expectations**: The current market has low expectations for interest rate cuts in the short term, which limits the downward movement of both long and short-term interest rates [2][3]. 2. **Investment Strategy for Year-End**: Investors should focus on institutional allocation intentions and the performance of the equity market. An increase in institutional allocation may compress the spread between government bonds and policy bank bonds [1][3]. 3. **Credit Bonds vs. Government Bonds**: The spread between credit bonds and policy bank bonds is thin, while the spread between credit bonds and government bonds is wider. Short-term credit bonds are positioned low, but there is still room for three to five-year credit bonds [4][5]. 4. **Monetary Policy Outlook**: The monetary policy is expected to maintain a loose growth-oriented approach next year, with limited impact from the current tightening of liquidity. The probability of easing measures this year is low, but the central bank may prepare for policy easing in Q1 next year [6][7]. 5. **Portfolio Construction**: For absolute return portfolios, a defensive stance with slightly lower duration is recommended, while relative return portfolios should seize opportunities such as the compression of spreads between policy bank bonds and government bonds [7][8]. 6. **Short-term vs. Long-term Strategies**: For short-term trading, focus on mid-term policy bank bonds due to clear returns. For long-term holding, consider 10-year secondary capital bonds, but be aware of their weaker liquidity [8][9]. 7. **Spread Compression Opportunities**: There are notable opportunities for spread compression between policy bank bonds and government bonds, which investors should monitor for potential profits [10][11]. 8. **Selection of Policy Bank Bonds**: Investors are advised to choose the main bond 215 over the new bond 220 for 10-year policy bank bonds due to liquidity considerations [11]. 9. **Changes in Investment Strategy**: Recent recommendations have shifted towards a more cautious approach as the year-end approaches, adjusting portfolios to mitigate risks associated with potential market volatility [14]. Other Important Considerations - The impact of new redemption regulations and changes in fund buying power for policy bank bonds should be closely monitored, as these factors will influence market trends at year-end and into next year [6][7]. - The use of hedging strategies, such as constructing combinations of 5-year secondary capital bonds with futures, can help mitigate risks and enhance returns [13].

Core Insights - Listed companies are increasingly favoring private equity funds that include rights-related products, with a total subscription amount exceeding 800 million yuan this year [1][2] - The performance of private equity products has been strong, leading to heightened interest from both listed companies and individual investors in rights-related products [3][4] - The market is witnessing a structural opportunity as the Shanghai Composite Index surpasses 4000 points, prompting a reallocation of assets towards equity investments [4][5] Group 1: Investment Trends - As of November 12, 10 listed companies have disclosed investments in private equity securities funds, with a total subscription amount of 818 million yuan [2] - Companies such as HeShun Petroleum and Yongji Co. have actively invested in private equity funds, indicating a trend among listed firms to utilize idle funds for securities investment [2] - The majority of these investments are in subjective stock strategy private equity products, with notable examples including Yuanfeng Yuli No. 1 and Shanzha Tree Zhenzhu No. 5 [2] Group 2: Market Dynamics - The number of newly registered private equity securities funds reached 994 in October, a 205.85% increase from the previous year, with stock strategy products dominating the market [3] - The shift towards equity assets is driven by a decline in risk-free returns, making traditional fixed-income products less appealing to investors [4] - Private equity firms are optimistic about future market performance, supported by signs of economic stabilization and policy support [5][6] Group 3: Fundraising and Performance - Many private equity firms have successfully raised over 10 billion yuan this year, particularly in small-cap index enhancement and quantitative stock selection strategies [3] - The current market risk premium is at a historical median level, with equity asset valuations remaining reasonable, indicating potential for upward movement [6] - High levels of investment from large private equity firms, with many maintaining over 70% of their positions, reflect a positive outlook for the market [6]

- The report introduces the **Cinda-VIX volatility index**, which reflects investors' expectations of future volatility in the options market. The index is structured to capture volatility across different time horizons, providing insights into market sentiment and risk expectations. The methodology is based on adjustments to overseas practices and tailored to China's options market conditions[61][60][63] - The **Cinda-SKEW index** measures the skewness of implied volatility across different strike prices of options. It captures market concerns about tail risks, with higher values indicating increased demand for out-of-the-money put options due to fears of significant market downturns. As of November 14, 2025, the SKEW values for major indices are: 103.51 for SSE 50, 107.66 for CSI 300, 104.66 for CSI 500, and 107.22 for CSI 1000[68][67][66] - The report evaluates **basis-adjusted futures hedging strategies**, including continuous hedging and minimum basis strategies. These strategies involve holding spot indices and shorting futures contracts with specific rules for rebalancing and contract selection. The backtesting period spans from July 22, 2022, to November 14, 2025, with detailed performance metrics provided for indices like CSI 500, CSI 300, SSE 50, and CSI 1000[43][44][45] - **Performance metrics for hedging strategies** are detailed for each index. For CSI 500 futures, annualized returns range from -3.20% to -1.70%, with volatility between 3.83% and 4.75%. For CSI 300 futures, annualized returns range from 0.47% to 1.21%, with volatility between 2.92% and 3.27%. For SSE 50 futures, annualized returns range from 1.12% to 2.05%, with volatility between 3.00% and 3.40%. For CSI 1000 futures, annualized returns range from -6.26% to -4.21%, with volatility between 4.75% and 5.78%[47][52][56][58] - The **basis adjustment formula** is provided to account for dividend impacts on futures contracts. The formula is: $ Annualized Basis = (Actual Basis + (Expected) Dividend Points) / Index Price × 360 / Remaining Contract Days $ This adjustment ensures accurate analysis of futures basis by removing dividend effects[19][20][36]

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]