- 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]

SKEW 已达到历史高点，需警惕尾部风险 [Table_ReportTime] 2025 年 8 月 2 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 信达证券股份有限公司 ...

据新华社，当地时间7月16日，美国总统特朗普表示，白宫将向150多个国家/地区发出信函，警告其若 未能与美国达成更有利的贸易协议，这些国家可能面临10%至15%的关税上调，信函将说明适用的关税 税率。 特朗普补充道，所有收到通知的国家"情况都会是一样的"，这些贸易伙伴"并非主要经济体，且贸易规 模相对有限"。 金融市场对此反应相对平淡。当日收盘数据显示，纳斯达克指数微涨0.25%，标普500指数上升0.32%， 道琼斯工业平均指数涨幅为0.53%。 全球经济咨询公司BCA研究首席全球策略师贝瑞钦（Peter Berezin）在研讨会上对第一财经记者表示， 市场尚未充分计入潜在关税政策带来的负面冲击，因为当前市场并不预期这些关税会真正实施。 "股票市场并不擅长为尾部风险定价。如果某件事的发生概率只有5%到10%，市场通常会忽略；但当概 率上升到30%或40%时，市场会突然高度关注，呈现非线性反应。如果情况继续发展，比如欧洲开始报 复性关税，或者市场意识到特朗普需要这些关税来增加财政收入，且对大多数国家征收20%-25%的关 税，那么股票市场可能会出现显著下跌。"他称。 胡捷说："关税上调并不意味着谈判窗口的关闭 ...

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 - The current policy-making approach in the U.S. is deemed highly irrational, with significant misjudgments regarding tail risks and economic policies [1][35]. Group 1: Tail Risk and Market Dynamics - Investors are increasingly misinterpreting noise as signals, leading to a worse understanding of tail risks [6][9]. - Tail risk hedging can be effective if executed properly, especially in extreme scenarios [6][7]. - Many traditional strategies fail to mitigate risks during black swan events, while tail risk strategies tend to perform more reliably [7][8]. Group 2: Structural Economic Issues - The U.S. faces severe structural problems, including a growing fiscal deficit exacerbated by high interest rates [14][16]. - Wealthier nations typically experience slower economic growth, which is compounded by increasing debt levels [15][17]. - Current policies are seen as contradictory to basic economic principles, leading to inefficient resource allocation [17][38]. Group 3: Dollar and Gold as Reserve Assets - The reliability of the U.S. dollar as a store of value is diminishing, with a notable shift towards gold as a preferred reserve asset among central banks [21][27]. - The rise in gold prices reflects a growing skepticism about the dollar's stability, particularly after geopolitical events [24][25]. Group 4: Systemic Risk and Financial Institutions - The shift of systemic risk from banks to hedge funds is viewed positively, as hedge funds operate under a "skin in the game" principle, promoting more rational decision-making [28][30]. - The increasing lending from banks to non-bank institutions raises concerns about potential risk transmission [33][34]. Group 5: Policy Critique - Current U.S. policies, particularly regarding tariffs and immigration, are criticized for lacking coherent logic and failing to consider secondary effects [35][41]. - The reliance on artificial intelligence to solve labor shortages is seen as unrealistic, with current policies ignoring the immediate consequences of labor supply disruptions [47].

Core Viewpoint - The current policy-making approach in the U.S. is deemed highly irrational, with significant misalignment in resource allocation and economic strategy [38][41][49]. Group 1: Tail Risk and Market Dynamics - Investors' understanding of tail risks has deteriorated, leading to a more distorted pricing of these risks in the current market environment [5][9][10]. - Tail risk hedging strategies can be effective in extreme scenarios, outperforming other hedging methods [5][6][22]. - The market's short-term fluctuations are influenced more by capital flows between different asset classes rather than fundamental economic changes [15][16]. Group 2: Economic and Fiscal Concerns - The U.S. faces structural issues, including a growing fiscal deficit exacerbated by high interest rates, which complicates maintaining economic stability [17][18][19]. - The trend of increasing debt in developed economies is counterproductive, as wealthier nations tend to experience slower economic growth [17][19]. - The reliance on external labor is critical for the U.S. economy, and cutting off this supply could lead to significant operational challenges [50][51][53]. Group 3: Dollar and Gold as Reserve Assets - The dollar is increasingly viewed as an unreliable store of value, with central banks diversifying their reserves into gold [29][25][26]. - The rise in gold prices reflects a growing skepticism about the dollar's reliability, particularly after geopolitical tensions [25][29]. Group 4: Policy Misalignment and Consequences - Current U.S. tariffs and trade policies are seen as detrimental, effectively acting as a consumption tax that disproportionately affects lower-income individuals [45][46]. - The use of tariffs lacks coherent logic and strategic thinking, leading to inefficient resource allocation [38][41][44]. - The potential benefits of artificial intelligence in boosting productivity are viewed skeptically, as they do not address immediate economic challenges [46][48].

Core Insights - Steve Diggle, a former hedge fund manager, warns of a brewing financial storm reminiscent of the pre-2007 crisis, citing complacency and mispricing of risks in the market [1] - The newly established Vulpes AI Long/Short Fund (VAILS) aims to replicate successful strategies from the 2008 crisis while incorporating AI technology to identify high-risk assets [2] Group 1: Financial Market Conditions - Diggle identifies five key signs of an impending crisis: 1. Central bank policy constraints due to a decade of quantitative easing and pandemic-related debt accumulation, leaving global central banks unable to implement further easing [1] 2. The return of inflation driven by the reversal of globalization and protectionism disrupting supply chains [1] 3. Geopolitical conflicts posing direct threats to asset safety [1] 4. U.S. stock market bubble, with valuations at historical highs, representing two-thirds of global market capitalization [1] 5. Risks associated with unpredictable leadership in the U.S., leading to significant market volatility [1] Group 2: Fund Strategy and Operations - VAILS will employ a strategy similar to that of Artradis during the 2008 crisis, focusing on long positions in volatility and short positions in credit risk through instruments like credit default swaps (CDS) [2] - The fund aims to address the current market's lack of hedging tools, with Diggle emphasizing that the fund is not permanently bearish but tactically positioned [2] - An AI engine will be integrated into the fund's operations to analyze vast amounts of corporate data, helping to identify overvalued, fraudulent, or high-risk assets [2] - The strategy focuses on surviving during bull markets to maintain investor patience until a market correction occurs [2]

Core Viewpoint - The European Central Bank (ECB) warns that increasing investor concerns about U.S. assets, following Trump's tariffs, could lead to significant disruptions in the global financial system [1] Group 1: Investor Sentiment - Investors are experiencing heightened risk aversion towards U.S. assets, leading to a "unconventional shift" away from traditional safe havens like the dollar and U.S. Treasury bonds [1] - The unpredictability of U.S. policies is causing investors to demand higher risk premiums for U.S. assets, potentially undermining confidence in the dollar as a global reserve currency [1] Group 2: Market Dynamics - The ECB notes that asset valuations remain high, particularly after market rebounds triggered by policy adjustments from Trump [1] - Concentrated investments in U.S. tech stocks indicate that the market is still vulnerable to sudden volatility [1] Group 3: Risk Assessment - The ECB highlights that investors may be underestimating the likelihood and impact of adverse scenarios, especially as rising uncertainty makes tail risks more apparent [1]

Group 1 - The S&P 500 index rose by 32.08 points, or 0.58%, marking its sixth consecutive day of gains, but several Wall Street firms warn that the options market's hedging costs have dropped to historical lows, indicating potential underpricing of risks by investors [1] - The Cboe Volatility Index (VIX) closed at 25, down more than half from its peak of 60 on April 7, with a decline in demand for options to hedge against "tail risks" seen as a sign of market bottoming [3] - Current market pricing is considered overly optimistic regarding tariff risks, with significant tariffs potentially undermining investor confidence, yet the options market has not adequately reflected such risk premiums [3] Group 2 - The current market rebound is viewed as a technical rise driven by short covering rather than a solid improvement in fundamentals, with core issues like tariff outcomes and corporate earnings still unresolved [4] - There is a divergence in hedging strategies among institutions, with some focusing on economic risks over the next 6 to 9 months and suggesting the construction of hedging positions that limit costs and provide clear downside protection [4]

Group 1 - The U.S. stock market has experienced a significant rebound from its recent lows, but volatility experts caution investors against becoming complacent [1][2] - The S&P 500 index has risen for five consecutive trading days, marking its longest streak since November of the previous year, with a total rebound of 10% since the low in April [2] - The demand for protection against "tail risk" has decreased in recent weeks, indicating investor confidence in the market [4] Group 2 - Experts suggest that the market may be underestimating the impact of significant economic issues, such as tariffs and trade wars, on investor confidence [2][5] - There is a concern that the recent market rally is primarily driven by low trading volumes and short covering, rather than strong fundamentals [5] - Investment strategists are recommending hedging strategies, such as buying put options, to protect against potential downturns in the market over the next 6 to 9 months [5]