（来源：合富永道） 平安养老受托资管部总经理罗庆忠：2026年权益配置聚焦三条主线 在2016年1月23日济安金信及华泰证券在北京共同举办的中国资管群星汇颁奖典礼暨私募基金高质量发展论坛上， 2025年度理财公司、商业银行、养老金 产品及管理人"群星汇"多项大奖榜单隆重发布。本次颁奖盛典在予以表彰优秀资管管理人的同时，全新增设私募基金评选赛道。出席本次盛典的有100多 家银行理财、商业银行、养老金管理人等资管机构，100多家私募基金，10多家证券公司高管和10多家主流媒体领袖。本次论坛最精彩的环节之一是2026 资产配置畅谈圆桌论坛环节， 华泰证券研究所所长张继强作为主持嘉宾，华夏理财副总裁贾志敏、宁银理财副总经理王俊、青银理财总裁助理姚庆、宁 波鄞州农商行副行长沈华、平安养老受托资管部总经理罗庆忠进行了精彩对话。 2026资产配置畅谈 圆桌论坛 嘉宾： 华泰证券研究所所长张继强 华夏理财副总裁 贾志敏 宁银理财副总经理 王俊 青银理财总裁助理 姚庆 宁波鄞州农商行副行长 沈华 第一，"924"行情以来的情况。"924"以来应该讲是国家对股票市场重新定位，它从以前的融资变成了投资跟融资并重。这点如果得到市场不 ...

Group 1: Report Industry Investment Rating - Not mentioned in the provided content Group 2: Core Views of the Report - The current hedging cost - performance in the derivatives market is prominent, and the timing is right. Both the futures and options have low hedging costs, meeting the risk - hedging needs of the current high - level volatile A - share market [3][4]. - The core of futures hedging lies in contract optimization, which can effectively reduce hedging costs. By selecting contracts with the highest annualized basis rate and dynamically shifting positions, the hedging effect can be optimized [4]. - The combined futures and options hedging strategy achieves the best balance between risk and return. After a sharp market decline, switching to put options can avoid the drawbacks of futures hedging and retain upside potential while hedging downside risks [5]. Group 3: Summaries According to the Table of Contents Preface - In January 2026, the A - share market entered a high - level volatile phase after the 17 - day consecutive bull market. The high valuation of major indices increased the market correction risk, while the hedging costs of options and futures were low, making it a good time for investors to engage in hedging [12]. What is Hedging Cost? - **Futures Hedging Cost**: The hedging cost of stock index futures is the premium. The annualized basis rate represents the hedging cost of each contract, and relevant data can be found on the Huatai Futures Tianji platform [14]. - **Options Hedging Cost**: The hedging cost of stock index options is the time value of the option contract. The implied volatility index reflects the size of the option time value, and relevant data can also be found on the Huatai Futures Tianji platform. The price of options is also affected by the premium of stock index futures [15][16]. - **Analysis of Current Market Hedging Costs**: The hedging costs of both stock index futures and options are at historical lows. The premium of futures contracts is at a low level, and some near - month contracts have even shown a premium. The implied volatility of the CSI 1000 index has dropped to 20.65% [17]. Stock Index Futures and Options Hedging Strategies - **Spot Selection**: The report selects the CSI 1000 index - enhanced fund "SMXXXX87" as the spot for hedging. Index - enhanced funds are suitable for hedging with derivatives, and most neutral hedge funds in the market are equivalent to the combination of index - enhanced funds and short - positions in stock index futures [18][19][20]. - **Back - testing Settings**: The back - test targets are CSI 1000 stock index futures and options, covering the period from July 22, 2022, to January 9, 2026. All positions are opened at the opening time, with specific trading costs for futures and options [21]. - **Stock Index Futures Hedging**: Using near - month futures contracts for long - term hedging can significantly reduce portfolio volatility but sacrifices some returns. The annualized return of the hedging portfolio decreased by 7.66%, while risk indicators such as volatility and drawdown were greatly improved [21][24]. - **Stock Index Futures Hedging (Contract Optimization)**: By optimizing the contract selection, the hedging cost can be reduced. The optimization method is to select the contract with the highest annualized basis rate for opening positions and shift positions based on the basis rate difference. The back - test shows that the annualized return of the optimized futures hedging strategy is about 2.5% higher than that of the near - month futures hedging strategy [23][25][26]. - **Stock Index Futures and Options Hedging (Using Options after a Sharp Decline)**: This strategy combines futures and options. When the market experiences a sharp decline, it switches from short - positions in futures to long - positions in put options. The back - test shows that the annualized return of this strategy reaches 22.68%, the maximum drawdown is reduced to 11.11%, and the Sharpe ratio is increased to 2.0, outperforming the pure futures hedging strategy and the CSI 1000 index - enhanced fund [34][35][37]. - **Summary**: The report summarizes the net value curves and risk - return indicators of each strategy, showing that the combined futures and options hedging strategy has the best performance [37][38][39]. Stock Index Futures and Options Hedging Case Analysis - **CSI 1000 Case Period Trend**: The report selects the historical period from October 10, 2024, to February 10, 2025, for case analysis. This period is similar to the current market situation and has a relatively complete market cycle [42]. - **Near - Month Futures Hedging Case Analysis**: The near - month futures hedging strategy continuously holds short - positions in near - month futures contracts and shifts positions when the contract expiration is less than 10 trading days. In this four - month period, the derivatives end of this strategy transferred positions 3 times, with a total loss of 315.8 points [45]. - **Optimized Futures Hedging Case Analysis**: The optimized futures hedging strategy selects contracts with the highest annualized basis rate for opening positions and shifts positions based on the basis rate difference and contract expiration. In this four - month period, the strategy transferred positions 4 times, with a total loss of 259 points, less than the near - month futures hedging strategy [48][49]. - **Optimized Futures and Options Hedging Case Analysis**: This strategy switches from short - positions in futures to long - positions in put options when the market experiences a sharp decline. In this four - month period, the strategy transferred positions 7 times, with a total profit of 282.8 points, outperforming the optimized futures hedging strategy [52][53]. Conclusion - The report comprehensively analyzes stock index futures and options hedging strategies, defines their hedging costs, designs and back - tests three types of hedging strategies. The optimized futures and options hedging strategy achieves the best balance between risk and return. The case analysis further verifies its effectiveness, and investors can use the quantitative timing futures - options hedging strategy in the current market environment for portfolio appreciation [57].

Report Information - Report Title: Stock Index Hedging Weekly Report - Report Date: October 17, 2025 Report Industry Investment Rating - Not provided Core Viewpoints - Market risk appetite continued to decline this week, with broad - based indexes falling on shrinking volume, and the market style tilted towards large - cap value. The Shanghai Composite 50 index fell only 0.24% this week, while the CSI 500 and CSI 1000 tumbled nearly 5%, and the Sci - tech Innovation and ChiNext sectors continued to decline, with a weekly decline of nearly 6% [4]. - The basis continued its high - volatility pattern this week. As of Friday, the basis of each variety decreased compared with last week. The premium of IH narrowed to about 0.6%, the annualized discounts of IF and IC widened to about 2.6% and 12% respectively, and the discount of IM was basically the same as last week [4]. Summary by Directory 1. Stock Index Futures Basis Situation - **Futures Basis Data**: Provided the basis data of IF, IH, IC, and IM contracts, including last week's basis, this week's basis, basis changes, and index - enhanced annualized returns. For example, in the IF2510 contract, the basis changed from - 3.03 last week to 25.37 this week, with a change of 28.40 [2]. - **Market Conditions and Basis Analysis**: After the external relations fluctuated last weekend, the A - share market showed a complex trend. The overall market risk appetite declined, and the basis was highly volatile. The term structure of the remaining contracts was flat after the October contracts expired, and the hedging costs were similar [4]. - **Trading Volume and Open Interest**: This week, the average daily trading volume of IH was 78,080 contracts, a 17.0% increase from the previous week, and the open interest was 97,922 contracts, a 7.4% decrease. Similar data were provided for IF, IC, and IM [5]. - **Basis after Considering Dividends**: Presented the basis data after considering dividends for different contracts of the CSI 300, SSE 50, CSI 500, and CSI 1000, including closing prices, basis after considering dividends, expected total dividend points, and annualized premium/discount rates [6]. 2. Hedging Profit and Loss - **Hedging Profit and Loss Data**: Provided the hedging profit and loss data of IF, IH, IC, and IM contracts for last week and this week. For example, the hedging profit and loss of the IF2510 contract changed from - 3.26 last week to - 28.40 this week [11]. - **Hedging Profit and Loss Charts**: Presented the 60 - trading - day cumulative hedging profit and loss charts of IF, IH, IC, and IM [10].

1. Report Industry Investment Rating - Not provided in the content 2. Core View of the Report - The joint issuance of relevant opinions by the central authorities may promote the return of Hong Kong - listed technology leaders to the A - share market, triggering the rapid inclusion rules of several A - share broad - based indices and potentially driving the index market. The agreement reached in the Sino - US trade talks has little impact on the index. The market expects the Fed to cut interest rates twice this year. Funds continue to flow south, the A - share market is mainly in a volatile state, and the trading volume and margin trading balance have slightly recovered. Each broad - based index has a small decline, and the base spread of each futures variety is relatively stable. It is recommended to maintain near - end hedging [5] 3. Summary by Relevant Catalogs 3.1股指期货基差情况 - **Base Spread and Index - Enhanced Annualized Returns**: The base spreads of various futures contracts (IF, IH, IC, IM) have changed this week. For example, the base spread of IF2506 changed from - 18.58 last week to - 7.78 this week, with a change of 10.80 and an index - enhanced annualized return of 10.0%. The index - enhanced annualized returns are calculated with a 20% futures margin rate and a 2% cash wealth management yield [2] - **Market Situation and Base Spread Analysis**: The A - share market is mainly in a volatile state. The base spreads of each variety are relatively stable this week. IH has changed from a premium to a small discount state. The annualized discounts of IC and IM are maintained at around 10% and 15% respectively. The term structure has little change, and the annualized cost of near - month contracts is low, so it is advisable to maintain near - end hedging [5] - **Trading Volume and Open Interest**: The average daily trading volume and open interest of IH, IF, IC, and IM have increased compared with the previous week. For example, the average daily trading volume of IH this week is 50,533 lots, a 39.5% increase from the previous week, and the open interest is 88,097 lots, a 12.3% increase from the previous week [6] - **Base Spread after Considering Dividends**: The table shows the closing prices, base spreads after considering dividends, expected total dividend points, and annualized premium/discount rates of various contracts for different indices (CSI 300, SSE 50, CSI 500, CSI 1000) [7] 3.2 对冲盈亏 - **Hedging Profit and Loss**: The table shows the hedging profit and loss of various contracts (IF, IH, IC, IM) last week and this week. For example, the hedging profit and loss of IF2506 was 0.75 last week and - 10.80 this week [12]

Report Industry Investment Rating - No relevant information provided Core Views - This week, major broad - based indices declined. The CSI 1000 index fell 1.04%, the CSI 2000 index dropped 1.09%, the STAR 50 index declined 1.11%, the CSI 500 index decreased 1.19%, the CSI All - Share index went down 1.21%, the SSE 50 index dropped 1.37%, and the ChiNext index fell 2.95%. The equity market as a whole oscillated downward, and the implementation of Trump's "reciprocal tariffs" led to a decline in overseas risk assets. There is downward pressure on domestic risk assets next week. Dividend - related assets are expected to be relatively resilient in the short - term [8]. - For equity strategies, a cautious and defensive approach is maintained. The implementation of "reciprocal tariffs" is unfavorable for risk assets. Although the crowded trading risk in the TMT sector has been lifted, the current valuation is still high, and there is a significant risk of retracement in the short - term. There is also pressure on the liquidity premium of small - cap stocks to narrow. It is recommended to prevent retracement risks in small - cap and TMT sectors and track their valuation digestion process [8]. - For option strategies, a neutral attitude is held. Financial option strategies can be standard - allocated. In the face of event shocks, volatility is likely to remain high. Selling option strategies carry high risks, while buying option strategies and option arbitrage strategies have trading opportunities [9]. Summaries According to Relevant Catalogs Equity Market Review - **Stock Market Review**: Broad - based indices declined this week, with reduced volatility and decreased market activity. Large - cap stocks saw a decline in trading volume, and 32.3% of industries had positive returns, with the public utilities sector leading [8]. - **Futures Market Review**: As of April 3, 2025, from the perspective of quarterly - contract hedging, the basis of IF widened, while the bases of IC and IM converged. The estimated impacts on the average returns of neutral products from each contract's hedging were 0.01%, - 0.01%, and - 0.08% respectively [8]. - **Option Market Review**: As of April 3, 2025, the implied volatility of each index increased this week, which is beneficial for the performance of buying option strategies and option arbitrage strategies [8]. Strategy Environment Monitoring - **Intraday Alpha Environment**: Overall, this week, the intraday liquidity and volatility of stocks decreased marginally, and there was a net outflow of funds, which is unfavorable for the accumulation of intraday Alpha [8]. - **Trading Alpha Environment**: The cross - sectional volatility decreased marginally, large - cap stocks outperformed, and the balance of margin trading decreased marginally. There is a need to prevent the risk of retracement due to cooling market sentiment [8]. - **Holding Alpha Environment**: The environment is unfavorable for the accumulation and stability of holding Alpha [8]. - **Index Futures Hedging Environment**: Currently, the basis fluctuation has decreased, but the annualized discount is still significant, which is unfavorable for hedging cost control [8]. Future Strategy研判 - **Stock Strategy**: A cautious and defensive strategy is maintained. The implementation of "reciprocal tariffs" is unfavorable for risk assets. Although the crowded trading risk in the TMT sector has been lifted, the current high valuation still poses a significant risk of retracement in the short - term. There is also pressure on the liquidity premium of small - cap stocks to narrow. It is recommended to prevent retracement risks in small - cap and TMT sectors and track their valuation digestion process [8]. - **Option Strategy**: A neutral attitude is held. Financial option strategies can be standard - allocated. In the face of event shocks, volatility is likely to remain high. Selling option strategies carry high risks, while buying option strategies and option arbitrage strategies have trading opportunities [9].

Industry Investment Rating - No relevant content found. Core Viewpoints - The biggest disturbance this week came from overseas. Influenced by Trump's so - called "Liberation Day" tariff plan, market concerns about further deterioration of trade frictions intensified, suppressing risk appetite. After the "reciprocal tariffs" were announced, the intensity exceeded expectations. A - shares showed resilience in short - term trading. Against the background of an active policy attitude this year, the market has confidence in policies. The SASAC plans to strategically restructure central vehicle enterprises, which may lead to longer - term consumption demand. The possible suspension of consumer loans with an interest rate below 3% will relieve the pressure on banks' net interest margins. The Ministry of Finance will issue special treasury bonds to support large - state - owned commercial banks in replenishing core tier - one capital, which helps enhance banks' credit - lending ability. Currently, funds are mainly for hedging. Gold rose 3% this week, the daily trading volume of the entire A - share market dropped below one trillion for the first time in three months, and the margin trading balance has been shrinking since late March. The index still lacks upward momentum and remains in a volatile range. The Shanghai Composite 50 index had a relatively small decline this week, while the CSI 500 and 1000 have declined for three consecutive weeks. In terms of basis, contrary to the index trend, the premium of IH slightly converged, and the basis of the other three varieties strengthened slightly. Currently, the annualized discounts of IC and IM are at 6.8% and 9.6% respectively, and the near - month term structure has shifted upward, increasing the hedging cost - effectiveness of the April contract [5]. Summary by Directory 1. Futures Index Basis Situation - **Basis and Index - enhancing Annualized Returns**: The report provides the basis, basis changes, and index - enhancing annualized returns of IF, IH, IC, and IM futures contracts. For example, in the IF2504 contract, the basis changed from - 6.37 last week to 0.10 this week, with a change of 6.46 and an index - enhancing annualized return of 1.5%. Note that in the calculation of index - enhancing annualized returns, the futures margin ratio is calculated at 20%, and the cash wealth - management yield is calculated at 2%. [2] - **Basis and Market Conditions**: This week, the biggest disturbance came from overseas. Affected by trade - friction concerns, the market's risk appetite was suppressed. A - shares showed resilience in short - term trading. The basis of IH slightly converged, while the basis of the other three varieties strengthened slightly. Currently, the annualized discounts of IC and IM are at 6.8% and 9.6% respectively, and the near - month term structure has shifted upward, increasing the hedging cost - effectiveness of the April contract. [5] - **Trading Volume and Open Interest**: This week, the average daily trading volume of IH was 51,325 contracts, a 2.8% increase from the previous week, and the open interest was 108,754 contracts, a 10.2% increase. The average daily trading volume of IF was 99,526 contracts, a 1.0% decrease, and the open interest was 301,082 contracts, a 6.4% increase. The average daily trading volume of IC was 93,566 contracts, a 1.7% decrease, and the open interest was 228,310 contracts, a 6.7% increase. The average daily trading volume of IM was 241,314 contracts, a 2.8% decrease, and the open interest was 367,496 contracts, a 10.9% increase. [6] - **Basis after Considering Dividends**: The report lists the closing prices, basis after considering dividends, expected total dividend points, and annualized premium/discount rates of different contracts of IF, IH, IC, and IM. For example, for the IF2504 contract, the closing price was 3,861.60, the basis after considering dividends was 0.24, the expected total dividend points were 0.14, and the annualized premium rate was 0.15%. [7] 2. Hedging Profit and Loss - **Hedging Profit and Loss Data**: The report provides the hedging profit and loss data of IF, IH, IC, and IM futures contracts for last week and this week. For example, the IF2504 contract had a hedging loss of - 2.33 last week and - 6.46 this week. [13]