中小盘贴水扩大，沪深 300 尾部风险升温 [Table_ReportTime] 2025 年 10 月 11 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.com ◼ 中小盘基差 ...

Group 1: Common Option Structures - The three common option structures—Snowball, Phoenix, and Fixed Coupon Notes (FCN)—are essentially barrier options, with specific characteristics regarding cash flow and risk exposure [2][3]. - The classic Snowball structure allows for cash flow only at maturity or upon knock-out, while the Phoenix structure enables monthly cash flow as long as the price is above the knock-in line [2]. - FCN provides fixed coupon payments regardless of price movements during the holding period, making it attractive for conservative investors due to a significantly lower probability of knock-in [2]. Group 2: Profit and Loss Scenarios - In scenarios without knock-in, all three structures yield similar returns, with higher coupon structures being more favorable [3]. - In cases where knock-in occurs but knock-out does not, Snowball and FCN can still yield returns, while Phoenix's cash flow is affected by the knock-in event [3]. - If knock-in occurs and the asset price is below the exercise price at maturity, losses may occur, with Snowball being the most adversely affected due to no cash flow during the holding period [3]. Group 3: Risk and Return Dynamics - The risk-return relationship indicates that Phoenix typically offers lower coupons than Snowball, while FCN generally has the lowest coupon rates [4]. Group 4: Market Timing Considerations - Proper market timing is essential, as no option structure guarantees profit in all market conditions [5]. Group 5: Delta and Volatility Analysis - All three structures maintain a positive Delta, indicating a bullish stance on the underlying asset, and are more suitable for moderate upward or sideways markets [7]. - The expected volatility is positively correlated with coupon rates, as higher volatility increases the likelihood of reaching knock-in conditions [8]. - The structures tend to be short volatility in most scenarios, making high volatility periods favorable for entry [10]. Group 6: Selection of Underlying Assets - The choice of underlying assets significantly impacts the performance of the structured products, with the China Securities 500 Index being identified as a suitable candidate due to its risk-return profile [14][16]. - The analysis of daily return distributions shows that the Hang Seng Tech Index has the lowest probability of extreme negative returns, making it a favorable option [14][15]. Group 7: Historical Backtesting and Timing Strategies - Historical backtesting indicates that FCN can effectively mitigate knock-in losses, making it a lower-risk option compared to Snowball [16]. - Rational timing strategies suggest that selecting more aggressive structures during low-risk periods and conservative structures during higher-risk periods can optimize returns [16]. Group 8: Structural Variations and Adjustments - The flexibility in setting barriers allows for various structural adjustments to balance risk and return, such as eliminating knock-in features or adjusting the knock-out thresholds [19].

"我预计最终会有一场80%（跌幅）的崩盘……但只有在一次大规模的、令人兴奋的、历史性的反弹之后 （才会发生）。我认为我们现在正处于反弹的中间阶段，而不是结束阶段。"他补充说。 华尔街最悲观的对冲基金经理之一、擅长从尾部风险中获利的"黑天鹅基金"创始人最新表示，市场的乐观 情绪可能会推动美国股市再上涨20%，然后紧跟着就是一场类似于"引发全球经济衰退的1929年股灾"的崩 盘。 今年迄今，标普500指数已累计上涨超13%。在美联储上周自去年12月以来首次降息后，该指数周一再度创 下历史新高。美联储已经暗示可能会进一步降息，因为它试图抵消劳动力市场的疲软，这可能会加剧并扩 大美股涨势。 在接受最新采访时，黑天鹅基金Universa Investments创始人马克•斯皮茨纳格尔（Mark Spitznagel）指出， 他认为股市可能会在当前水平上再上涨20%左右，从而推动标准普尔500指数突破8,000点。 然而与此同时，他也警告说，随着美国经济有可能在借贷成本负担居高不下的影响下出现崩溃，美股这种 上涨可能最终会导致一场历史性的崩溃。 "我们将看到这样做的后果……这需要时间。"他说。 斯皮茨纳格尔曾是一名交易员 ...

Group 1 - Goldman Sachs highlights that commodities, particularly gold, are becoming key tools for hedging traditional asset risks due to factors like the independence risk of the Federal Reserve and supply chain concentration [1][4] - The firm maintains a bullish outlook on gold, setting a target price of $3,700 per ounce by the end of 2025 and $4,000 per ounce by mid-2026, with a potential extreme scenario price exceeding $4,500 per ounce [1][4] - Structural trends such as de-risking energy, increased defense spending, and dollar diversification are tightening the supply-demand dynamics in the commodity market [1][7] Group 2 - The report indicates that since spring, the market has shifted from tariff uncertainties to tariff realities, stabilizing economic activity indicators and reducing the probability of a U.S. recession [2] - Despite a slowdown in U.S. job growth, the attractiveness of commodities as a diversification tool in investment portfolios is increasing, with expectations for commodities to play a more significant role in hedging inflation and extreme risks [2] Group 3 - Goldman Sachs' baseline scenario predicts only moderate positive returns for commodity indices over the next 12 months, while maintaining bullish views on gold, copper, and U.S. natural gas [3] - The firm anticipates a surplus of 1.8 million barrels per day in the global oil market by 2026, driven by strong non-OPEC oil supply growth, which could push Brent crude prices down to $50 per barrel [3] Group 4 - The risk of the Federal Reserve's independence being compromised could lead to rising inflation, falling long-term bond prices, declining stock prices, and a weakened status of the dollar as a reserve currency [4] - If private investors diversify into gold similarly to central banks, gold prices could potentially exceed $4,500 per ounce, significantly higher than the $4,000 mid-2026 baseline forecast [4] Group 5 - Increased concentration in commodity supply poses significant risks, with key commodity supplies being concentrated in geopolitically sensitive regions [5][6] - The report cites examples like the 2022 Russia-Europe gas crisis to illustrate how supply chain vulnerabilities can impact commodity prices [6] Group 6 - The three structural trends (de-risking energy, defense spending, dollar diversification) are expected to support a long-term bull market for commodities [7][8][9][10] - Global energy security policies are driving a surge in investments in electrical grids, significantly increasing copper demand, with prices projected to reach $10,750 per ton by 2027 [8] - Increased military spending in Europe is expected to raise the GDP share from 1.9% in 2024 to 2.7% in 2027, boosting demand for industrial metals like copper, nickel, and steel [9] - Central banks have significantly increased gold purchases since 2022, driven by geopolitical tensions, which has been a core factor in the 94% rise in gold prices since then [10]

Core Viewpoint - Concerns regarding the independence of the Federal Reserve are increasing among investors as President Trump seeks to influence its policies, particularly in pushing for interest rate cuts [1] Group 1: Investor Sentiment - Investors are preparing for potential inflation increases, as indicated by the positioning in equity, bond, and gold markets [1] - The involvement of close Trump advisor Stephen Miran in the Federal Reserve and the push to replace board member Lisa Cook have raised alarms among market participants [1] Group 2: Institutional Credibility - Analysts from Goldman Sachs, including Samantha Dart, highlight growing concerns about the credibility of U.S. institutions, which could lead to significant tail risks [1] - These risks may result in a surge in commodity prices, including gold, as investors react to the perceived threats to institutional integrity [1]

- The report discusses the construction and performance of various quantitative models and factors related to stock index futures and options markets[2][4][6] Quantitative Models and Construction Methods 1. **Model Name: Stock Index Futures Basis Adjustment Model** - **Model Construction Idea**: The model aims to adjust the basis of stock index futures by considering the impact of dividends during the contract period[9] - **Model Construction Process**: - The basis is defined as the difference between the futures contract closing price and the underlying index closing price - The formula for the expected dividend-adjusted basis is: $ \text{Expected Dividend-Adjusted Basis} = \text{Actual Basis} + \text{Expected Dividends during the Contract Period} $ - The annualized basis is calculated as: $ \text{Annualized Basis} = (\text{Actual Basis} + \text{Expected Dividend Points}) / \text{Index Price} \times 360 / \text{Remaining Days of the Contract} $[21] - **Model Evaluation**: The model effectively adjusts the basis by accounting for the impact of dividends, providing a more accurate measure of the futures contract's value[21] 2. **Model Name: Continuous Hedging Strategy** - **Model Construction Idea**: The strategy aims to hedge the spot index by continuously holding futures contracts and adjusting positions based on the contract's expiration[44] - **Model Construction Process**: - The strategy involves holding the total return index of the corresponding underlying index on the spot side - On the futures side, 70% of the funds are used for the spot side, and the same nominal principal amount is used for short hedging with stock index futures contracts - The positions are adjusted continuously by holding the quarterly/monthly contracts until the remaining days to expiration are less than 2 days, then rolling over to the next contract[45] - **Model Evaluation**: The strategy provides a systematic approach to hedging, reducing the impact of market fluctuations on the portfolio[45] 3. **Model Name: Minimum Discount Strategy** - **Model Construction Idea**: The strategy selects futures contracts with the smallest annualized basis discount for hedging[46] - **Model Construction Process**: - The strategy involves holding the total return index of the corresponding underlying index on the spot side - On the futures side, 70% of the funds are used for the spot side, and the same nominal principal amount is used for short hedging with stock index futures contracts - The positions are adjusted by selecting the futures contract with the smallest annualized basis discount and holding it for 8 trading days or until the remaining days to expiration are less than 2 days[46] - **Model Evaluation**: The strategy aims to optimize the hedging performance by selecting contracts with the least discount, potentially improving returns[46] Model Backtesting Results 1. **IC Hedging Strategy** - Annualized Return: -2.87% (Monthly Continuous Hedging), -1.87% (Quarterly Continuous Hedging), -1.12% (Minimum Discount Strategy), 0.18% (Index Performance) - Volatility: 3.83%, 4.72%, 4.61%, 20.97% - Maximum Drawdown: -8.65%, -8.34%, -7.97%, -31.46% - Net Value: 0.9155, 0.9443, 0.9665, 1.0054 - Annual Turnover: 12, 4, 17.15 - 2025 YTD Return: -3.90%, -0.97%, -1.22%, 14.02%[48] 2. **IF Hedging Strategy** - Annualized Return: 0.55% (Monthly Continuous Hedging), 0.78% (Quarterly Continuous Hedging), 1.36% (Minimum Discount Strategy), -1.05% (Index Performance) - Volatility: 2.97%, 3.32%, 3.10%, 17.08% - Maximum Drawdown: -3.95%, -4.03%, -4.06%, -25.59% - Net Value: 1.0169, 1.0239, 1.0417, 0.9686 - Annual Turnover: 12, 4, 15.17 - 2025 YTD Return: -0.65%, 0.40%, 0.80%, 7.45%[51] 3. **IH Hedging Strategy** - Annualized Return: 1.11% (Monthly Continuous Hedging), 2.04% (Quarterly Continuous Hedging), 1.77% (Minimum Discount Strategy), -0.69% (Index Performance) - Volatility: 3.08%, 3.50%, 3.10%, 16.29% - Maximum Drawdown: -4.22%, -3.76%, -3.91%, -22.96% - Net Value: 1.0340, 1.0630, 1.0548, 0.9792 - Annual Turnover: 12, 4, 15.83 - 2025 YTD Return: 0.32%, 1.36%, 1.36%, 6.85%[54] 4. **IM Hedging Strategy** - Annualized Return: -6.07% (Monthly Continuous Hedging), -4.44% (Quarterly Continuous Hedging), -3.88% (Minimum Discount Strategy), -0.49% (Index Performance) - Volatility: 4.72%, 5.76%, 5.56%, 25.72% - Maximum Drawdown: -14.01%, -12.63%, -11.11%, -41.60% - Net Value: 0.8346, 0.8629, 0.8725, 0.9185 - Annual Turnover: 12, 4, 15.85 - 2025 YTD Return: -9.60%, -4.77%, -4.37%, 17.96%[59] Quantitative Factors and Construction Methods 1. **Factor Name: Cinda-VIX** - **Factor Construction Idea**: The Cinda-VIX index reflects the market's expectation of future volatility of the underlying asset based on option prices[61] - **Factor Construction Process**: - The index is constructed by adjusting the methodology used in international markets to suit the Chinese market - It captures the implied volatility of options on major indices over different time horizons[61] - **Factor Evaluation**: The Cinda-VIX index provides valuable insights into market sentiment and expected volatility, aiding in risk management and investment decisions[61] 2. **Factor Name: Cinda-SKEW** - **Factor Construction Idea**: The Cinda-SKEW index measures the skewness of implied volatility across different strike prices, indicating market expectations of tail risk[67] - **Factor Construction Process**: - The index captures the skewness in implied volatility by analyzing the differences in implied volatility for options with different strike prices - A higher SKEW index indicates greater concern about potential market downturns[67] - **Factor Evaluation**: The Cinda-SKEW index is a useful tool for assessing market sentiment regarding tail risks and potential extreme events[67] Factor Backtesting Results 1. **Cinda-VIX** - 30-day VIX values as of August 8, 2025: 18.48 (SSE 50), 18.32 (CSI 300), 23.46 (CSI 500), 23.00 (CSI 1000)[61] 2. **Cinda-SKEW** - SKEW values as of August 8, 2025: 102.35 (SSE 50), 109.58 (CSI 300), 105.49 (CSI 500), 114.07 (CSI 1000)[68]

- The SKEW index has reached historical highs, signaling elevated tail risk concerns. Specifically, the SKEW values for major indices are as follows: CSI 1000 SKEW at 110.41, CSI 500 SKEW at 99.92, SSE 50 SKEW at 101.43, and CSI 300 SKEW at 106.06[4][73][78] - The Cinda-VIX index reflects market expectations of future volatility. As of August 1, 2025, the 30-day VIX values for major indices are: SSE 50 VIX at 19.16, CSI 300 VIX at 19.22, CSI 500 VIX at 23.22, and CSI 1000 VIX at 22.76[4][64][66] - The SKEW index measures implied volatility skew across different strike prices, capturing market sentiment regarding tail risks. A SKEW value above 100 indicates heightened concerns about potential market downturns, often associated with increased demand for out-of-the-money put options[73][78] - The Cinda-VIX index incorporates term structures to reflect volatility expectations across different time horizons, providing insights into investor sentiment for various periods[64][66][70] - The CSI 500 futures contract (IC) adjusted annualized basis spread declined to -10.33%, while the CSI 1000 futures contract (IM) adjusted annualized basis spread fell to -11.85%[22][39][46] - The CSI 500 futures contract (IC) hedging strategy achieved weekly returns of 0.55%, while the CSI 1000 futures contract (IM) hedging strategy delivered weekly returns of 0.32%[4][49][60] - The CSI 500 futures contract (IC) hedging strategy's annualized return ranged from -2.80% to -1.04%, with volatility between 3.84% and 4.63%, and maximum drawdown from -8.65% to -7.97%[49][50][52] - The CSI 1000 futures contract (IM) hedging strategy's annualized return ranged from -6.03% to -3.84%, with volatility between 4.73% and 5.57%, and maximum drawdown from -14.00% to -11.11%[60][61][62]

Group 1: Trade Policy and Negotiations - The U.S. government is warning over 150 countries about potential tariff increases of 10% to 15% if they do not reach favorable trade agreements with the U.S. [1] - Trump has extended the deadline for "reciprocal tariffs" to August 1, with proposed tariffs ranging from 20% to 50% on various countries, including 25% on Japan and South Korea, and up to 50% on Brazil [4] - The EU has strongly reacted to the proposed 30% tariffs, stating they are unacceptable and preparing a countermeasure list valued at €72 billion [6] Group 2: Market Reactions and Economic Impact - Financial markets showed a muted response to the tariff announcements, with slight increases in major indices such as the Nasdaq and S&P 500 [1] - Analysts suggest that the stock market tends to ignore low-probability tail risks but may react sharply if the likelihood of significant tariffs increases [2] - Recent U.S. economic data indicates rising inflation, with the Consumer Price Index (CPI) increasing by 2.7% year-over-year, leading to concerns about future cost pressures on consumers [8] Group 3: Global Economic Outlook - The UNCTAD has warned that U.S. tariff policies are causing significant distortions in global supply chains, predicting a potential 54% drop in exports for the least developed countries [9] - The organization has revised the global GDP growth forecast for 2025 down from 2.8% to 2.3% due to the uncertainties surrounding trade policies [9] - Jamie Dimon, CEO of JPMorgan, highlighted major risks to the U.S. economy, including trade uncertainties and high asset prices [9]

Group 1 - The core concern among investors is the potential for a global economic recession triggered by trade wars, with 38% identifying it as the largest tail risk event [1][3] - Trade tensions have escalated, leading to increased tariffs and a slowdown in global trade flow, which directly impacts import and export businesses and affects supply chains across various industries [3] - The potential chain reaction from trade wars could lead to production shrinkage, job losses, and decreased demand globally, ultimately resulting in an economic downturn [3] Group 2 - 20% of investors view inflation hindering the Federal Reserve's ability to cut interest rates as the second-largest tail risk event, complicating the global inflation landscape [4] - Persistent high inflation could prevent the Federal Reserve from implementing rate cuts, increasing corporate financing costs and putting pressure on economic growth [4] - The inability to lower interest rates could lead to significant market reactions, particularly affecting high-valuation growth stocks and emerging markets facing capital outflow risks [4] Group 3 - 14% of investors consider the depreciation of the dollar due to capital outflows as the third-largest tail risk event, highlighting the dollar's critical role in the global financial system [5][6] - A weakening dollar could increase the cost of dollar-denominated commodities, exacerbating global inflation pressures, and raise debt servicing costs for emerging markets with significant dollar-denominated debt [6] - Historical precedents show that tail risk events, while low in probability, can have far-reaching impacts, emphasizing the need for investors to remain vigilant [6] Group 4 - The current global economic landscape is characterized by intertwined challenges such as trade disputes, inflation pressures, and monetary policy adjustments, increasing the likelihood and potential impact of tail risks [6] - The survey results serve as a warning for investors to manage risks effectively through diversified asset allocation and hedging strategies [6] - Policymakers are encouraged to enhance international cooperation to resolve trade disputes and maintain a balance between inflation control and economic growth [7]

Core Viewpoint - Investors currently view shorting the US dollar as the most crowded trade, with approximately 34% of respondents holding this opinion, marking the first time in the survey's history that shorting the dollar has replaced going long on gold as the most crowded trade [1] Group 1: Investor Sentiment - 47% of investors believe the US dollar is overvalued, a decrease from 61% in the June survey [1] - The survey indicates a low allocation to the US dollar, as well as to US equities, energy, and consumer staples stocks [1] Group 2: Risks - 14% of investors consider a sharp decline in the dollar due to capital outflows as the third-largest tail risk [1]