Quantitative Models and Construction Methods 1. Model Name: Continuous Hedging Strategy - **Model Construction Idea**: This strategy is based on the analysis of basis convergence factors and optimization strategies, as detailed in the Cinda derivatives research report series. Adjustments are made to the settings for continuous hedging[44] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to December 19, 2025[45] - **Spot Side**: Holding the total return index of the corresponding benchmark index[45] - **Futures Side**: - 70% of the funds are allocated to the spot side - The remaining 30% is used for shorting futures contracts of the same nominal principal (e.g., CSI 500, CSI 300, SSE 50, CSI 1000 index futures)[45] - After each rebalancing, the quantities of the spot and futures sides are recalculated based on the product's net value[45] - **Rebalancing Rules**: - Continuously hold quarterly/monthly contracts until the remaining time to maturity is less than two days - Close the position at the closing price on that day and simultaneously short the next quarterly/monthly contract at the closing price[45] - **Assumptions**: Equal principal allocation between the spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[45] 2. Model Name: Minimum Basis Strategy - **Model Construction Idea**: This strategy selects contracts with the smallest annualized basis discount for hedging, as described in the Cinda derivatives research report series[46] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to December 19, 2025[46] - **Spot Side**: Holding the total return index of the corresponding benchmark index[46] - **Futures Side**: - 70% of the funds are allocated to the spot side - The remaining 30% is used for shorting futures contracts of the same nominal principal (e.g., CSI 500, CSI 300, SSE 50, CSI 1000 index futures)[46] - After each rebalancing, the quantities of the spot and futures sides are recalculated based on the product's net value[46] - **Rebalancing Rules**: - Calculate the annualized basis for all tradable futures contracts on the day of rebalancing - Select the contract with the smallest basis discount for opening a position - Hold the same contract for eight trading days or until the remaining time to maturity is less than eight days, then select a new contract[46] - **Assumptions**: Equal principal allocation between the spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[46] --- Model Backtesting Results 1. Continuous Hedging Strategy - **CSI 500 Index Futures**: - Annualized Return: -3.42% (monthly), -2.58% (quarterly)[48] - Volatility: 3.79% (monthly), 4.69% (quarterly)[48] - Maximum Drawdown: -11.27% (monthly), -8.74% (quarterly)[48] - Net Value: 0.8886 (monthly), 0.9149 (quarterly)[48] - Annual Turnover: 12 (monthly), 4 (quarterly)[48] - 2025 YTD Return: -6.60% (monthly), -3.91% (quarterly)[48] - **CSI 300 Index Futures**: - Annualized Return: 0.33% (monthly), 0.69% (quarterly)[53] - Volatility: 2.89% (monthly), 3.23% (quarterly)[53] - Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly)[53] - Net Value: 1.0112 (monthly), 1.0236 (quarterly)[53] - Annual Turnover: 12 (monthly), 4 (quarterly)[53] - 2025 YTD Return: -1.21% (monthly), 0.37% (quarterly)[53] - **SSE 50 Index Futures**: - Annualized Return: 1.02% (monthly), 1.95% (quarterly)[57] - Volatility: 2.96% (monthly), 3.36% (quarterly)[57] - Maximum Drawdown: -4.22% (monthly), -3.75% (quarterly)[57] - Net Value: 1.0350 (monthly), 1.0679 (quarterly)[57] - Annual Turnover: 12 (monthly), 4 (quarterly)[57] - 2025 YTD Return: 0.42% (monthly), 1.85% (quarterly)[57] - **CSI 1000 Index Futures**: - Annualized Return: -6.48% (monthly), -4.82% (quarterly)[61] - Volatility: 4.73% (monthly), 5.75% (quarterly)[61] - Maximum Drawdown: -14.00% (monthly), -12.63% (quarterly)[61] - Net Value: 0.8319 (monthly), 0.8498 (quarterly)[61] - Annual Turnover: 12 (monthly), 4 (quarterly)[61] - 2025 YTD Return: -12.98% (monthly), -7.87% (quarterly)[61] 2. Minimum Basis Strategy - **CSI 500 Index Futures**: - Annualized Return: -1.93%[48] - Volatility: 4.49%[48] - Maximum Drawdown: -8.75%[48] - Net Value: 0.9361[48] - Annual Turnover: 16.78[48] - 2025 YTD Return: -4.27%[48] - **CSI 300 Index Futures**: - Annualized Return: 1.09%[53] - Volatility: 3.00%[53] - Maximum Drawdown: -4.06%[53] - Net Value: 1.0376[53] - Annual Turnover: 15.01[53] - 2025 YTD Return: 0.40%[53] - **SSE 50 Index Futures**: - Annualized Return: 1.58%[57] - Volatility: 2.97%[57] - Maximum Drawdown: -3.91%[57] - Net Value: 1.0548[57] - Annual Turnover: 15.60[57] - 2025 YTD Return: 1.36%[57] - **CSI 1000 Index Futures**: - Annualized Return: -4.42%[61] - Volatility: 5.50%[61] - Maximum Drawdown: -11.11%[61] - Net Value: 0.8693[61] - Annual Turnover: 15.73[61] - 2025 YTD Return: -8.19%[61] --- 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[63] - **Factor Construction Process**: - Based on overseas methodologies, adjusted for China's on-exchange options market[63] - Captures implied volatility from options pricing to reflect market sentiment[63] - **Factor Values** (as of December 19, 2025): - SSE 50 VIX: 15.85 - CSI 300 VIX: 17.10 - CSI 500 VIX: 26.35 - CSI 1000 VIX: 19.91[63] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, capturing market concerns about tail risks[70] - **Factor Construction Process**: - Analyzes the slope of implied volatility curves for options with different strike prices[70] - Higher SKEW values indicate increased demand for out-of-the-money options, reflecting heightened tail risk concerns[70] - **Factor Values** (as of December 19, 2025): - SSE 50 SKEW: 101.20 - CSI 300 SKEW: 101.08 - CSI 500 SKEW: 102.87 - CSI 1000 SKE

Quantitative Models and Construction Methods Model 1: Dividend Forecast and Basis Adjustment Model - **Model Name**: Dividend Forecast and Basis Adjustment Model - **Model Construction Idea**: The model predicts the dividend points of the underlying index of stock index futures during the contract period and adjusts the basis accordingly. - **Model Construction Process**: - Predict the dividend points of the underlying index for the next year. For example, the predicted dividend points for the CSI 500, CSI 300, SSE 50, and CSI 1000 indices are 84.93, 90.40, 75.15, and 63.87, respectively[9][10][11][12][13][14][15][16][17][18]. - Calculate the basis as the difference between the futures contract closing price and the underlying index closing price. - Adjust the basis by adding the expected dividends during the contract period to the actual basis. - Annualize the adjusted basis using the formula: $$ \text{Annualized Basis} = \frac{\text{Actual Basis} + \text{Expected Dividend Points}}{\text{Index Price}} \times \frac{360}{\text{Remaining Days of the Contract}} $$ - Example: The annualized basis for the IC current season contract adjusted for dividends is -8.64%[19][20][21][22][23][24][25][26][27][28][29][30][31][32][33][34][35][36][37][38][39][40][41][42]. - **Model Evaluation**: The model effectively adjusts the basis to account for dividends, providing a more accurate measure of the futures contract's value relative to the underlying index. Model 2: Continuous Hedging Strategy - **Model Name**: Continuous Hedging Strategy - **Model Construction Idea**: The strategy aims to hedge the basis risk by continuously holding futures contracts and adjusting positions based on the contract's expiration. - **Model Construction Process**: - **Backtest Parameters and Settings**: - Backtest period: July 22, 2022, to December 12, 2025[43][44][45]. - Spot end: Hold the total return index of the corresponding underlying index. - Futures end: Use 70% of the funds for the spot end and the same nominal principal amount for the futures end, occupying the remaining 30% of the funds. - Rebalance rule: Continuously hold the current month/season contract until the contract has less than 2 days to expiration, then close the position at the closing price and short the next season/current month contract at the closing price. - **Performance**: - Annualized return: -3.41% (current month), -2.42% (season), -1.94% (minimum basis strategy)[46][47][48][49][50][51][52][53][54][55][56][57][58][59][60]. - Volatility: 3.80% (current month), 4.70% (season), 4.51% (minimum basis strategy). - Maximum drawdown: -11.20% (current month), -8.34% (season), -8.70% (minimum basis strategy). - Net value: 0.8893 (current month), 0.9205 (season), 0.9360 (minimum basis strategy). - **Model Evaluation**: The continuous hedging strategy provides a systematic approach to managing basis risk, though it may result in negative returns under certain market conditions. Model Backtest Results - **Dividend Forecast and Basis Adjustment Model**: - CSI 500: Annualized basis -8.64%[20] - CSI 300: Annualized basis -3.44%[27] - SSE 50: Annualized basis -0.70%[32] - CSI 1000: Annualized basis -12.38%[38] - **Continuous Hedging Strategy**: - CSI 500: Annualized return -3.41% (current month), -2.42% (season), -1.94% (minimum basis strategy)[46] - CSI 300: Annualized return 0.36% (current month), 0.70% (season), 1.08% (minimum basis strategy)[52] - SSE 50: Annualized return 1.08% (current month), 2.02% (season), 1.68% (minimum basis strategy)[56] - CSI 1000: Annualized return -6.43% (current month), -4.70% (season), -4.38% (minimum basis strategy)[58] Quantitative Factors and Construction Methods Factor 1: Cinda-VIX - **Factor Name**: Cinda-VIX - **Factor Construction Idea**: Reflects the market's expectation of future volatility of the underlying asset based on option prices. - **Factor Construction Process**: - Calculate the implied volatility of options with different maturities. - Aggregate the implied volatilities to form the VIX index for different indices. - Example: As of December 12, 2025, the 30-day VIX for SSE 50, CSI 300, CSI 500, and CSI 1000 are 15.93, 17.03, 22.82, and 20.49, respectively[61][62][63][64][65][66][67][68][69][70][71][72]. - **Factor Evaluation**: The Cinda-VIX index provides valuable insights into market sentiment and expected volatility, aiding in risk management and trading decisions. Factor 2: Cinda-SKEW - **Factor Name**: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, indicating market expectations of tail risk. - **Factor Construction Process**: - Calculate the implied volatility for options with different strike prices. - Measure the skewness of the implied volatilities to form the SKEW index. - Example: As of December 12, 2025, the SKEW for SSE 50, CSI 300, CSI 500, and CSI 1000 are 101.80, 108.04, 104.65, and 108.10, respectively[68][69][70][71][72][73]. - **Factor Evaluation**: The Cinda-SKEW index captures market concerns about tail risks, providing a useful tool for assessing potential market stress and investor sentiment. Factor Backtest Results - **Cinda-VIX**: - SSE 50: 15.93[61] - CSI 300: 17.03[61] - CSI 500: 22.82[61] - CSI 1000: 20.49[61] - **Cinda-SKEW**: - SSE 50: 101.80[68] - CSI 300: 108.04[68] - CSI 500: 104.65[68] - CSI 1000: 108.10[68]

1. Report Industry Investment Rating There is no information provided regarding the industry investment rating in the report. 2. Core Viewpoints of the Report - This week, although the index showed a weakening trend, the derivatives market demonstrated a relatively restrained emotional response. The VIX increased overall but did not experience an extreme upward movement. The SKEW continued to rise, but most varieties except the Shanghai - Shenzhen 50 remained below the extreme threshold, indicating that investors' concerns about tail - risks were relatively rational. More positively, the futures index market increased its positions by over 70,000 contracts this week, and the basis of small - and medium - cap futures improved significantly, with the IM basis narrowing by nearly 100 points, suggesting that funds were making structural layouts during the market adjustment, presenting a market characteristic of index pressure but non - extreme expectations [2]. 3. Summary by Relevant Catalogs 3.1. Estimation of Dividends during the Lifespan of Stock Index Futures Contracts and Basis Correction - **Dividend Estimation**: On November 21, 2025, the estimated dividend points for the CSI 500, SSE 50, CSI 1000, and Shanghai - Shenzhen 300 indexes in the next year were 80.73, 63.63, 63.40, and 80.42 respectively. The estimated dividend points during the lifespan of different contracts for each index were also provided [4][9]. - **Basis Correction**: The basis of a stock index futures contract is the difference between the contract's closing price and the closing price of the underlying index. When analyzing the contract basis, the impact of dividends needs to be removed. This week, the adjusted annualized basis of the current - quarter IC contract increased, while those of the IF, IH, and IM contracts decreased. The trading and holding levels of IC, IF, IH, and IM contracts increased compared to the previous week [19][20][26]. 3.2. Back - testing and Tracking of Spot - Futures Hedging Strategies - **Strategy Introduction**: The strategy is based on the analysis of basis convergence factors and optimization strategies in the relevant research report. Two strategies, continuous hedging and minimum basis strategy, are used for back - testing, with specific parameter settings provided [45][46]. - **Performance of Different Strategies**: For different indexes (CSI 500, Shanghai - Shenzhen 300, SSE 50, and CSI 1000), the back - testing results of different strategies (continuous hedging and minimum basis strategy) from July 22, 2022, to November 21, 2025, are presented, including indicators such as annualized return, volatility, maximum drawdown, net value, and annual turnover times. This week, the IC and IM hedging strategies had drawdowns, while the IF and IH hedging strategies performed stably [48][50][55]. 3.3. Cinda Options Series Indexes - **Cinda Volatility Index Cinda - VIX**: Cinda - VIX can reflect investors' expectations of the future volatility of the underlying asset. As of November 21, 2025, the 30 - day VIX values for the SSE 50, Shanghai - Shenzhen 300, CSI 500, and CSI 1000 were 19.95, 21.49, 32.21, and 26.91 respectively [63]. - **Cinda Volatility Index Cinda - SKEW**: The SKEW index measures the degree of volatility skew. When the SKEW index exceeds 100, it usually means that investors are more worried about the risk of a significant market decline. As of November 21, 2025, the SKEW values for the SSE 50, Shanghai - Shenzhen 300, CSI 500, and CSI 1000 were 104.78, 104.75, 104.79, and 106.83 respectively [71][72].

- 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 expectations across different time horizons for major indices, including the CSI 500, CSI 1000, SSE 50, and CSI 300. The methodology is based on adjustments to overseas practices tailored to China's market conditions[65][64][67] - The **Cinda-SKEW index** measures the skewness of implied volatility across different strike prices of options. It captures market sentiment regarding tail risks, with higher values indicating increased concerns about potential market downturns. As of September 26, 2025, the SKEW values for SSE 50, CSI 300, CSI 500, and CSI 1000 are 100.47, 104.24, 102.07, and 103.14, respectively[72][71][79] - The report evaluates **basis adjustment for stock index futures**, where the annualized basis is calculated as: $ Annualized Basis = (Actual Basis + Expected Dividend Points) / Index Price × 360 / Remaining Days of Contract $ This adjustment accounts for the impact of dividends on futures prices during the contract's lifespan[22][9][23] - The **IC futures hedging strategy** is tested using three approaches: monthly continuous hedging, quarterly continuous hedging, and minimum basis hedging. Results show annualized returns of -3.04%, -2.11%, and -1.43%, respectively, with volatility ranging from 3.88% to 4.79%[50][51][53] - The **IF futures hedging strategy** demonstrates annualized returns of 0.47%, 0.66%, and 1.24% for monthly continuous hedging, quarterly continuous hedging, and minimum basis hedging, respectively. Volatility is between 2.96% and 3.32%[52][56][55] - The **IH futures hedging strategy** yields annualized returns of 1.04%, 1.93%, and 1.68% for monthly continuous hedging, quarterly continuous hedging, and minimum basis hedging, respectively, with volatility ranging from 3.05% to 3.45%[57][60][59] - The **IM futures hedging strategy** results in annualized returns of -6.18%, -4.51%, and -4.07% for monthly continuous hedging, quarterly continuous hedging, and minimum basis hedging, respectively. Volatility is between 4.77% and 5.80%[61][62][63]

Quantitative Models and Construction Methods - **Model Name**: Dividend Adjustment for Futures Basis **Construction Idea**: Adjust the futures basis by incorporating the expected dividend impact during the contract's lifespan[9][21] **Construction Process**: Futures basis is calculated as the difference between the futures contract closing price and the underlying index closing price. The adjustment accounts for dividends expected during the contract's lifespan, which are reflected in the futures price. The formula is: $ Annualized Basis = (Actual Basis + Expected Dividend Points) / Index Price × 360 / Remaining Days of Contract $[21] **Evaluation**: Provides a more accurate representation of the futures basis by accounting for dividend effects[21] - **Model Name**: Continuous Hedging Strategy **Construction Idea**: Optimize hedging by continuously rolling futures contracts based on expiration dates[44][45] **Construction Process**: - Hold the corresponding total return index for the spot side - Use 70% of funds for the spot side and 30% for shorting futures contracts - Roll futures contracts when the remaining days to expiration are less than 2 days, using the closing price for both closing and opening positions[45] **Evaluation**: Effective for maintaining consistent exposure but sensitive to transaction costs and market conditions[45] - **Model Name**: Minimum Basis Hedging Strategy **Construction Idea**: Select futures contracts with the smallest annualized basis for hedging[46] **Construction Process**: - Calculate the annualized basis for all available futures contracts - Open positions in the contract with the smallest basis - Hold the contract for 8 trading days or until the remaining days to expiration are less than 2 days[46] **Evaluation**: Reduces basis risk but requires frequent monitoring and adjustments[46] Quantitative Factors and Construction Methods - **Factor Name**: Cinda-VIX **Construction Idea**: Reflect market expectations of future volatility using a modified VIX calculation tailored to China's market[62] **Construction Process**: - Based on overseas VIX methodologies, adjusted for China's market conditions - Incorporates the term structure of volatility to capture expectations across different time horizons[62] **Evaluation**: Provides valuable insights into market sentiment and volatility expectations[62] - **Factor Name**: Cinda-SKEW **Construction Idea**: Measure the skewness in implied volatility across different strike prices to assess tail risk[67] **Construction Process**: - Analyze the implied volatility of options with varying strike prices - Higher SKEW values indicate increased tail risk expectations, while lower values suggest reduced concerns[67] **Evaluation**: Useful for understanding market sentiment regarding extreme events and tail risks[67] Model Backtesting Results - **Dividend Adjustment for Futures Basis**: - IC contract: Current basis -5.89%[22] - IF contract: Current basis -0.05%[27] - IH contract: Current basis +1.70%[32] - IM contract: Current basis -6.92%[37] - **Continuous Hedging Strategy**: - IC: Annualized return -3.07%, volatility 3.82%, max drawdown -9.27%, net value 0.9086[48] - IF: Annualized return 0.38%, volatility 2.97%, max drawdown -3.95%, net value 1.0116[53] - IH: Annualized return 0.97%, volatility 3.08%, max drawdown -4.22%, net value 1.0302[57] - IM: Annualized return -6.21%, volatility 4.72%, max drawdown -14.01%, net value 0.8345[59] - **Minimum Basis Hedging Strategy**: - IC: Annualized return -1.40%, volatility 4.60%, max drawdown -7.97%, net value 0.9577[48] - IF: Annualized return 1.18%, volatility 3.10%, max drawdown -4.06%, net value 1.0366[53] - IH: Annualized return 1.63%, volatility 3.09%, max drawdown -3.91%, net value 1.0511[57] - IM: Annualized return -4.04%, volatility 5.55%, max drawdown -11.11%, net value 0.8702[59] Factor Backtesting Results - **Cinda-VIX**: - 30-day volatility: - CSI 500: 32.58[62] - CSI 1000: 29.50[62] - HS 300: 22.97[62] - SSE 50: 24.31[62] - **Cinda-SKEW**: - 30-day skewness: - CSI 500: 98.22[68] - CSI 1000: 106.46[68] - HS 300: 104.77[68] - SSE 50: 99.82[68]

Quantitative Models and Construction Methods 1. Model Name: Continuous Hedging Strategy - **Model Construction Idea**: This strategy is based on the analysis of basis convergence factors and optimization strategies, as detailed in the "Cinda Financial Engineering Derivatives Research Report Series III"[44] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to August 15, 2025[45] - **Spot Side**: Hold the total return index of the corresponding underlying index[45] - **Futures Side**: Use 70% of the funds for the spot side and allocate the same nominal principal amount to short futures contracts of CSI 500, CSI 300, SSE 50, and CSI 1000 indices, occupying the remaining 30% of the funds[45] - **Rebalancing Rules**: Continuously hold quarterly/monthly contracts until the remaining time to maturity is less than 2 days, then close the position at the closing price and simultaneously short the next quarterly/monthly contract at the closing price[45] - **Assumptions**: Equal allocation of principal between spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[45] 2. Model Name: Minimum Basis Strategy - **Model Construction Idea**: This strategy selects contracts with the smallest annualized basis discount to optimize hedging performance[46] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to August 15, 2025[46] - **Spot Side**: Hold the total return index of the corresponding underlying index[46] - **Futures Side**: Use 70% of the funds for the spot side and allocate the same nominal principal amount to short futures contracts of CSI 500, CSI 300, SSE 50, and CSI 1000 indices, occupying the remaining 30% of the funds[46] - **Rebalancing Rules**: Calculate the annualized basis for all tradable futures contracts on the day of rebalancing and select the contract with the smallest basis discount for opening positions. Hold the same contract for 8 trading days or until the remaining time to maturity is less than 8 days before selecting a new contract[46] - **Assumptions**: Equal allocation of principal between spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[46] --- Model Backtesting Results 1. Continuous Hedging Strategy - **CSI 500**: - Annualized Return: -3.00% (monthly), -2.17% (quarterly)[48] - Volatility: 3.82% (monthly), 4.71% (quarterly)[48] - Maximum Drawdown: -9.01% (monthly), -8.34% (quarterly)[48] - Net Value: 0.9112 (monthly), 0.9351 (quarterly)[48] - Annual Turnover: 12 (monthly), 4 (quarterly)[48] - 2025 YTD Return: -4.34% (monthly), -1.89% (quarterly)[48] - **CSI 300**: - Annualized Return: 0.42% (monthly), 0.57% (quarterly)[51] - Volatility: 2.97% (monthly), 3.32% (quarterly)[51] - Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly)[51] - Net Value: 1.0128 (monthly), 1.0174 (quarterly)[51] - Annual Turnover: 12 (monthly), 4 (quarterly)[51] - 2025 YTD Return: -1.06% (monthly), -0.24% (quarterly)[51] - **SSE 50**: - Annualized Return: 0.98% (monthly), 1.87% (quarterly)[56] - Volatility: 3.08% (monthly), 3.50% (quarterly)[56] - Maximum Drawdown: -4.22% (monthly), -3.76% (quarterly)[56] - Net Value: 1.0301 (monthly), 1.0583 (quarterly)[56] - Annual Turnover: 12 (monthly), 4 (quarterly)[56] - 2025 YTD Return: -0.08% (monthly), 0.89% (quarterly)[56] - **CSI 1000**: - Annualized Return: -6.19% (monthly), -4.65% (quarterly)[60] - Volatility: 4.71% (monthly), 5.76% (quarterly)[60] - Maximum Drawdown: -14.01% (monthly), -12.63% (quarterly)[60] - Net Value: 0.8362 (monthly), 0.8654 (quarterly)[60] - Annual Turnover: 12 (monthly), 4 (quarterly)[60] - 2025 YTD Return: -10.21% (monthly), -5.84% (quarterly)[60] 2. Minimum Basis Strategy - **CSI 500**: - Annualized Return: -1.32%[48] - Volatility: 4.60%[48] - Maximum Drawdown: -7.97%[48] - Net Value: 0.9603[48] - Annual Turnover: 17.36[48] - 2025 YTD Return: -1.85%[48] - **CSI 300**: - Annualized Return: 1.22%[51] - Volatility: 3.10%[51] - Maximum Drawdown: -4.06%[51] - Net Value: 1.0378[51] - Annual Turnover: 15.39[51] - 2025 YTD Return: 0.41%[51] - **SSE 50**: - Annualized Return: 1.64%[56] - Volatility: 3.10%[56] - Maximum Drawdown: -3.91%[56] - Net Value: 1.0509[56] - Annual Turnover: 16.05[56] - 2025 YTD Return: 0.97%[56] - **CSI 1000**: - Annualized Return: -4.02%[60] - Volatility: 5.56%[60] - Maximum Drawdown: -11.11%[60] - Net Value: 0.8720[60] - Annual Turnover: 15.97[60] - 2025 YTD Return: -5.09%[60] --- 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 expectations over different time horizons[62] - **Factor Construction Process**: Adjusted based on overseas methodologies and tailored to China's options market[62] - **Factor Evaluation**: Provides insights into market volatility expectations and serves as a valuable tool for risk management[62] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, capturing market expectations of tail risks[69] - **Factor Construction Process**: Analyzes the slope of implied volatility to assess market sentiment towards extreme events[69] - **Factor Evaluation**: Useful for identifying market concerns about potential large-scale risks, often referred to as the "Black Swan Index"[70] --- Factor Backtesting Results 1. Cinda-VIX - **30-Day VIX Values**: - SSE 50: 24.25[62] - CSI 300: 24.25[62] - CSI 500: 28.09[62] - CSI 1000: 27.87[62] 2. Cinda-SKEW - **SKEW Values**: - SSE 50: 100.82[70] - CSI 300: 105.10[70] - CSI 500: 99.01[70] - CSI 1000: 109.56[70]

- 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]

Quantitative Models and Construction Methods 1. Model Name: Dividend-Adjusted Basis Model - **Model Construction Idea**: The model adjusts the futures basis by incorporating the expected dividend impact during the contract's life, ensuring a more accurate representation of the basis[20] - **Model Construction Process**: The formula for the adjusted basis is: $ Adjusted\ Basis = Actual\ Basis + Expected\ Dividend\ Points $ The annualized basis is calculated as: $ Annualized\ Basis = \frac{(Actual\ Basis + Expected\ Dividend\ Points)}{Index\ Price} \times \frac{360}{Days\ to\ Maturity} $ This adjustment accounts for the dividend points expected during the contract's life, which are subtracted from the index level but reflected in the futures price[20][21][27] 2. Model Name: Continuous Hedging Strategy - **Model Construction Idea**: This strategy involves continuously holding futures contracts to hedge the spot index, adjusting positions as contracts approach expiration[46] - **Model Construction Process**: - **Hedging Setup**: - Spot: Hold the total return index of the underlying - Futures: Use 70% of the capital for the spot and the remaining 30% for shorting futures contracts - **Rebalancing Rule**: - Hold the current month/quarter futures contract until 2 days before expiration - Close the expiring contract and open a new position in the next month/quarter contract at the closing price - **Assumptions**: No transaction costs, no slippage, and equal capital allocation between spot and futures[47] 3. Model Name: Minimum Discount Hedging Strategy - **Model Construction Idea**: This strategy selects futures contracts with the smallest annualized discount to minimize basis risk[48] - **Model Construction Process**: - **Hedging Setup**: - Spot: Hold the total return index of the underlying - Futures: Use 70% of the capital for the spot and the remaining 30% for shorting futures contracts - **Selection Rule**: - Calculate the annualized basis for all available futures contracts - Select the contract with the smallest discount for hedging - Hold the selected contract for 8 trading days or until 2 days before expiration, whichever comes first - **Assumptions**: No transaction costs, no slippage, and equal capital allocation between spot and futures[48] --- Model Backtesting Results 1. Dividend-Adjusted Basis Model - **IC Futures**: Current basis discount at -7.79%, improved from a weekly low of -8.57%[21] - **IF Futures**: Current basis discount at -1.74%, improved from a weekly low of -2.33%[27] - **IH Futures**: Current basis premium at 0.52%, down from a weekly high of 0.94%[32] - **IM Futures**: Current basis discount at -10.13%, improved from a weekly low of -11.86%[39] 2. Continuous Hedging Strategy - **IC Futures**: - Annualized Return: -2.87% (current month), -2.11% (quarterly)[50] - Volatility: 3.85% (current month), 4.74% (quarterly)[50] - Maximum Drawdown: -8.65% (current month), -8.34% (quarterly)[50] - **IF Futures**: - Annualized Return: 0.52% (current month), 0.69% (quarterly)[55] - Volatility: 2.99% (current month), 3.34% (quarterly)[55] - Maximum Drawdown: -3.95% (current month), -4.03% (quarterly)[55] - **IH Futures**: - Annualized Return: 1.08% (current month), 2.00% (quarterly)[59] - Volatility: 3.10% (current month), 3.52% (quarterly)[59] - Maximum Drawdown: -4.22% (current month), -3.76% (quarterly)[59] - **IM Futures**: - Annualized Return: -6.09% (current month), -4.50% (quarterly)[61] - Volatility: 4.73% (current month), 5.78% (quarterly)[61] - Maximum Drawdown: -14.01% (current month), -12.63% (quarterly)[61] 3. Minimum Discount Hedging Strategy - **IC Futures**: - Annualized Return: -1.09%[50] - Volatility: 4.64%[50] - Maximum Drawdown: -7.97%[50] - **IF Futures**: - Annualized Return: 1.33%[55] - Volatility: 3.12%[55] - Maximum Drawdown: -4.06%[55] - **IH Futures**: - Annualized Return: 1.75%[59] - Volatility: 3.12%[59] - Maximum Drawdown: -3.91%[59] - **IM Futures**: - Annualized Return: -3.89%[61] - Volatility: 5.58%[61] - Maximum Drawdown: -11.11%[61] --- Quantitative Factors and Construction Methods 1. Factor Name: Cinda-VIX - **Factor Construction Idea**: Reflects the market's expectation of future volatility for the underlying asset, with a term structure to capture different time horizons[64] - **Factor Construction Process**: - Derived from the implied volatility of options on the underlying index - Adjusted to reflect the characteristics of the Chinese market[64] - **Current Values**: - 30-day VIX: 21.24 (SSE 50), 20.56 (CSI 300), 28.18 (CSI 500), 25.00 (CSI 1000)[64] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, capturing market sentiment on tail risks[74] - **Factor Construction Process**: - Calculated based on the implied volatility of out-of-the-money options - Higher values indicate greater concern for downside risks[74][75] - **Current Values**: - SKEW: 97.47 (SSE 50), 98.01 (CSI 300), 100.61 (CSI 500), 102.81 (CSI 1000)[75] --- Factor Backtesting Results 1. Cinda-VIX - **30-day VIX**: - SSE 50: 21.24[64] - CSI 300: 20.56[64] - CSI 500: 28.18[64] - CSI 1000: 25.00[64] 2. Cinda-SKEW - **SKEW**: - SSE 50: 97.47[75] - CSI 300: 98.01[75] - CSI 500: 100.61[75] - CSI 1000: 102.81[75]

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 optimizes hedging by continuously rolling over contracts[47] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to July 18, 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 quarterly/monthly contracts until the remaining days to maturity are less than 2, 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 Discount Hedging 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**: From July 22, 2022, to July 18, 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 discount for all tradable futures contracts and select the one with the smallest discount. Contracts are held for 8 trading days or until the remaining days to maturity are less than 8[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: -2.86% (monthly), -2.06% (quarterly)[51] - Volatility: 3.86% (monthly), 4.75% (quarterly)[51] - Maximum Drawdown: -8.40% (monthly), -8.34% (quarterly)[51] - Net Value: 0.9173 (monthly), 0.9400 (quarterly)[51] - Annual Turnover: 12 (monthly), 4 (quarterly)[51] - **IF (CSI 300 Futures)**: - Annualized Return: 0.50% (monthly), 0.75% (quarterly)[56] - Volatility: 3.00% (monthly), 3.35% (quarterly)[56] - Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly)[56] - Net Value: 1.0149 (monthly), 1.0225 (quarterly)[56] - Annual Turnover: 12 (monthly), 4 (quarterly)[56] - **IH (SSE 50 Futures)**: - Annualized Return: 1.04% (monthly), 1.99% (quarterly)[60] - Volatility: 3.11% (monthly), 3.53% (quarterly)[60] - Maximum Drawdown: -4.22% (monthly), -3.76% (quarterly)[60] - Net Value: 1.0314 (monthly), 1.0603 (quarterly)[60] - Annual Turnover: 12 (monthly), 4 (quarterly)[60] - **IM (CSI 1000 Futures)**: - Annualized Return: -6.06% (monthly), -4.43% (quarterly)[64] - Volatility: 4.73% (monthly), 5.78% (quarterly)[64] - Maximum Drawdown: -14.01% (monthly), -12.63% (quarterly)[64] - Net Value: 0.8411 (monthly), 0.8718 (quarterly)[64] - Annual Turnover: 12 (monthly), 4 (quarterly)[64] 2. Minimum Discount Hedging Strategy - **IC (CSI 500 Futures)**: - Annualized Return: -1.08%[51] - Volatility: 4.65%[51] - Maximum Drawdown: -7.97%[51] - Net Value: 0.9683[51] - Annual Turnover: 17.50[51] - **IF (CSI 300 Futures)**: - Annualized Return: 1.32%[56] - Volatility: 3.13%[56] - Maximum Drawdown: -4.06%[56] - Net Value: 1.0397[56] - Annual Turnover: 15.48[56] - **IH (SSE 50 Futures)**: - Annualized Return: 1.72%[60] - Volatility: 3.13%[60] - Maximum Drawdown: -3.91%[60] - Net Value: 1.0521[60] - Annual Turnover: 16.15[60] - **IM (CSI 1000 Futures)**: - Annualized Return: -3.85%[64] - Volatility: 5.58%[64] - Maximum Drawdown: -11.11%[64] - Net Value: 0.8839[64] - Annual Turnover: 16.02[64] --- 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[66] - **Factor Construction Process**: - Based on methodologies from international markets, adjusted for China's options market[66] - Tracks volatility expectations for major indices (e.g., SSE 50, CSI 300, CSI 500, CSI 1000)[66] - **Factor Evaluation**: Provides insights into market sentiment and risk expectations[66] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, capturing market expectations of extreme events[71] - **Factor Construction Process**: - Analyzes the slope of implied volatility curves for options with varying strike prices[71] - Higher SKEW values indicate increased concerns about tail risks[71] - **Factor Evaluation**: Useful for identifying market fears of extreme downside risks[72] --- Factor Backtesting Results 1. Cinda-VIX - **30-Day VIX Values**: - SSE 50: 18.43[66] - CSI 300: 17.92[66] - CSI 500: 27.44[66] - CSI 1000: 21.58[66] 2. Cinda-SKEW - **SKEW Values**: - SSE 50: 99.29[72] - CSI 300: 101.47[72] - CSI 500: 102.11[72] - CSI 1000: 103.83[72]

Quantitative Models and Construction Methods 1. Model Name: Continuous Hedging Strategy - **Model Construction Idea**: This strategy is based on the analysis of basis convergence factors and optimization strategies, as detailed in the Cinda Derivatives Research Report Series. It aims to continuously hedge using futures contracts to minimize basis risk[44][45] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to July 11, 2025[45] - **Spot Side**: Hold the total return index of the corresponding underlying index[45] - **Futures Side**: Use 70% of the funds for the spot side and allocate the same nominal principal to short futures contracts, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantities for both the spot and futures sides based on the product's net value[45] - **Rebalancing Rules**: Continuously hold quarterly/monthly contracts until the remaining time to maturity is less than two days. On that day, close the position at the closing price and simultaneously short the next quarterly/monthly contract at the closing price[45] - **Assumptions**: Equal principal allocation between the spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[45] 2. Model Name: Minimum Basis Strategy - **Model Construction Idea**: This strategy selects futures contracts with the smallest annualized basis discount to optimize hedging performance[46] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to July 11, 2025[46] - **Spot Side**: Hold the total return index of the corresponding underlying index[46] - **Futures Side**: Use 70% of the funds for the spot side and allocate the same nominal principal to short futures contracts, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantities for both the spot and futures sides based on the product's net value[46] - **Rebalancing Rules**: Calculate the annualized basis for all tradable futures contracts on the day of rebalancing and select the contract with the smallest basis discount for opening positions. Hold the same contract for eight trading days or until the remaining time to maturity is less than two days before selecting a new contract[46] - **Assumptions**: Equal principal allocation between the spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[46] --- Model Backtesting Results 1. Continuous Hedging Strategy - **IC (CSI 500 Futures)**: - Annualized Return: -2.83% (monthly), -2.06% (quarterly)[48] - Volatility: 3.87% (monthly), 4.77% (quarterly)[48] - Maximum Drawdown: -8.26% (monthly), -8.34% (quarterly)[48] - Net Value: 0.9188 (monthly), 0.9405 (quarterly)[48] - Annual Turnover: 12 (monthly), 4 (quarterly)[48] - 2025 YTD Return: -3.58% (monthly), -1.35% (quarterly)[48] - **IF (CSI 300 Futures)**: - Annualized Return: 0.49% (monthly), 0.71% (quarterly)[51] - Volatility: 3.01% (monthly), 3.35% (quarterly)[51] - Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly)[51] - Net Value: 1.0144 (monthly), 1.0211 (quarterly)[51] - Annual Turnover: 12 (monthly), 4 (quarterly)[51] - 2025 YTD Return: -0.89% (monthly), 0.12% (quarterly)[51] - **IH (SSE 50 Futures)**: - Annualized Return: 1.03% (monthly), 1.97% (quarterly)[54] - Volatility: 3.12% (monthly), 3.54% (quarterly)[54] - Maximum Drawdown: -4.22% (monthly), -3.76% (quarterly)[54] - Net Value: 1.0307 (monthly), 1.0593 (quarterly)[54] - Annual Turnover: 12 (monthly), 4 (quarterly)[54] - 2025 YTD Return: -0.01% (monthly), 0.99% (quarterly)[54] - **IM (CSI 1000 Futures)**: - Annualized Return: -6.04% (monthly), -4.45% (quarterly)[59] - Volatility: 4.74% (monthly), 5.79% (quarterly)[59] - Maximum Drawdown: -14.01% (monthly), -12.63% (quarterly)[59] - Net Value: 0.8469 (monthly), 0.8805 (quarterly)[59] - Annual Turnover: 12 (monthly), 4 (quarterly)[59] - 2025 YTD Return: -9.11% (monthly), -4.54% (quarterly)[59] 2. Minimum Basis Strategy - **IC (CSI 500 Futures)**: - Annualized Return: -1.06%[48] - Volatility: 4.67%[48] - Maximum Drawdown: -7.97%[48] - Net Value: 0.9692[48] - Annual Turnover: 17.28[48] - 2025 YTD Return: -0.96%[48] - **IF (CSI 300 Futures)**: - Annualized Return: 1.31%[51] - Volatility: 3.14%[51] - Maximum Drawdown: -4.06%[51] - Net Value: 1.0392[51] - Annual Turnover: 15.25[51] - 2025 YTD Return: 0.56%[51] - **IH (SSE 50 Futures)**: - Annualized Return: 1.72%[54] - Volatility: 3.14%[54] - Maximum Drawdown: -3.91%[54] - Net Value: 1.0516[54] - Annual Turnover: 15.93[54] - 2025 YTD Return: 1.04%[54] - **IM (CSI 1000 Futures)**: - Annualized Return: -3.83%[59] - Volatility: 5.59%[59] - Maximum Drawdown: -11.11%[59] - Net Value: 0.8949[59] - Annual Turnover: 15.91[59] - 2025 YTD Return: -3.89%[59] --- 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 expectations over different time horizons[61] - **Factor Construction Process**: Adjusted based on overseas methodologies and tailored to China's options market. The index reflects implied volatility from options pricing[61] - **Factor Evaluation**: Provides insights into market sentiment and risk expectations[61] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, capturing market expectations of extreme events[69][70] - **Factor Construction Process**: Analyzes the slope of implied volatility curves to quantify the degree of skewness, with higher values indicating greater concern for tail risks[69][70] - **Factor Evaluation**: Useful for identifying market concerns about potential extreme downside risks[70] --- Factor Backtesting Results 1. Cinda-VIX - **30-Day VIX Values**: - SSE 50: 19.77[61] - CSI 300: 18.92[61] - CSI 500: 25.01[61] - CSI 1000: 23.34[61] 2. Cinda-SKEW - **SKEW Values**: - SSE 50: 97.27[70] - CSI 300: 99.19[70] - CSI 500: 102.27[70] - CSI 1000: 101.82[70]