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 minimize the impact of basis fluctuations through continuous adjustments [40] - **Model Construction Process**: - **Backtesting Period**: July 22, 2022, to March 14, 2025 [41] - **Spot Side**: Hold the total return index of the corresponding underlying index [41] - **Futures Side**: Allocate 70% of funds to the spot side and use the remaining 30% to short futures contracts of the same nominal principal [41] - **Rebalancing Rules**: Continuously hold quarterly/monthly contracts until the remaining maturity is less than 2 days, then roll over to the next contract at the closing price [41] - **Model Evaluation**: This strategy provides a systematic approach to mitigate basis risks but does not account for transaction costs or the indivisibility of futures contracts [41] 2. Model Name: Minimum Basis Strategy - **Model Construction Idea**: This strategy selects futures contracts with the smallest annualized basis discount to optimize hedging performance [42] - **Model Construction Process**: - **Backtesting Period**: July 22, 2022, to March 14, 2025 [42] - **Spot Side**: Hold the total return index of the corresponding underlying index [42] - **Futures Side**: Allocate 70% of funds to the spot side and use the remaining 30% to short futures contracts of the same nominal principal [42] - **Rebalancing Rules**: Calculate the annualized basis for all tradable futures contracts and select the one with the smallest discount. Contracts are held for 8 trading days or until the remaining maturity is less than 2 days [42] - **Model Evaluation**: This strategy dynamically adjusts positions based on basis levels, potentially improving hedging efficiency [42] --- Model Backtesting Results 1. Continuous Hedging Strategy (IC Futures) - **Annualized Return**: -2.01% (monthly), -1.82% (quarterly) - **Volatility**: 4.02% (monthly), 4.94% (quarterly) - **Maximum Drawdown**: -7.51% (monthly), -8.34% (quarterly) - **Net Value**: 0.9480 (monthly), 0.9529 (quarterly) - **Annual Turnover**: 12 (monthly), 4 (quarterly) - **2025 YTD Return**: -0.65% (monthly), -0.11% (quarterly) [44] 2. Minimum Basis Strategy (IC Futures) - **Annualized Return**: -0.93% - **Volatility**: 4.84% - **Maximum Drawdown**: -7.97% - **Net Value**: 0.9759 - **Annual Turnover**: 18.68 - **2025 YTD Return**: -0.29% [44] 3. Continuous Hedging Strategy (IF Futures) - **Annualized Return**: 0.89% (monthly), 0.76% (quarterly) - **Volatility**: 2.87% (monthly), 3.24% (quarterly) - **Maximum Drawdown**: -3.95% (monthly), -4.03% (quarterly) - **Net Value**: 1.0236 (monthly), 1.0202 (quarterly) - **Annual Turnover**: 12 (monthly), 4 (quarterly) - **2025 YTD Return**: 0.02% (monthly), 0.03% (quarterly) [49] 4. Minimum Basis Strategy (IF Futures) - **Annualized Return**: 1.31% - **Volatility**: 3.03% - **Maximum Drawdown**: -4.06% - **Net Value**: 1.0348 - **Annual Turnover**: 16.01 - **2025 YTD Return**: 0.12% [49] 5. Continuous Hedging Strategy (IH Futures) - **Annualized Return**: 1.27% (monthly), 1.97% (quarterly) - **Volatility**: 3.11% (monthly), 3.50% (quarterly) - **Maximum Drawdown**: -4.22% (monthly), -3.75% (quarterly) - **Net Value**: 1.0337 (monthly), 1.0525 (quarterly) - **Annual Turnover**: 12 (monthly), 4 (quarterly) - **2025 YTD Return**: 0.29% (monthly), 0.31% (quarterly) [54] 6. Minimum Basis Strategy (IH Futures) - **Annualized Return**: 1.68% - **Volatility**: 3.06% - **Maximum Drawdown**: -3.91% - **Net Value**: 1.0446 - **Annual Turnover**: 16.78 - **2025 YTD Return**: 0.34% [54] 7. Continuous Hedging Strategy (IM Futures) - **Annualized Return**: -4.87% (monthly), -4.02% (quarterly) - **Volatility**: 4.26% (monthly), 5.30% (quarterly) - **Maximum Drawdown**: -13.84% (monthly), -12.63% (quarterly) - **Net Value**: 0.8773 (monthly), 0.8981 (quarterly) - **Annual Turnover**: 12 (monthly), 4 (quarterly) - **2025 YTD Return**: -0.98% (monthly), -0.19% (quarterly) [57] 8. Minimum Basis Strategy (IM Futures) - **Annualized Return**: -3.49% - **Volatility**: 5.17% - **Maximum Drawdown**: -11.11% - **Net Value**: 0.9109 - **Annual Turnover**: 17.16 - **2025 YTD Return**: -0.16% [57] --- 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 [60] - **Factor Construction Process**: Developed based on overseas methodologies and adjusted for China's market conditions. It calculates implied volatility from options prices [60] - **Factor Evaluation**: Provides insights into market sentiment and volatility expectations [60] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, capturing market expectations of extreme events [66] - **Factor Construction Process**: Derived from the relative differences in implied volatility between out-of-the-money and at-the-money options [66] - **Factor Evaluation**: Known as the "Black Swan Index," it indicates market concerns about tail risks [67] --- Factor Backtesting Results 1. Cinda-VIX - **30-Day VIX Values**: - SSE 50: 21.35 - CSI 300: 19.86 - CSI 500: 26.42 - CSI 1000: 26.01 [60] 2. Cinda-SKEW - **SKEW Values**: - SSE 50: 97.72 - CSI 300: 99.44 - CSI 500: 98.05 - CSI 1000: 102.75 [67]