Core Viewpoint - The article discusses different levels of stock investment strategies and introduces the concept of market-neutral strategies as a way to mitigate market volatility and enhance returns [2][21]. Group 1: Investment Strategies - There are three levels of investment strategies: 1. **Beginner Level**: Randomly selecting stocks, which can lead to high volatility and uncertain profits [5][7]. 2. **Intermediate Level**: Selecting stocks based on specific criteria, such as market capitalization, which reduces volatility compared to individual stocks [9][11]. 3. **Advanced Level**: Selecting stocks from a pool based on multiple criteria, often using quantitative strategies to achieve excess returns [13][15]. Group 2: Market-Neutral Strategies - Market-neutral strategies involve going long on stocks expected to outperform the market while simultaneously shorting core indices using stock index futures [23][24][26]. - The cost of hedging in these strategies is referred to as the basis, which is the difference between spot prices and futures prices [28][33]. - In the domestic market, a common situation is that the spot price exceeds the futures price, leading to a state known as contango [30]. - An example illustrates the potential outcomes of a market-neutral strategy based on the relationship between spot and futures prices at expiration [34][36].

风云君的研究笔记 . 专注私募研究，洞察私募行业热点，私募策略、单品全面分析解析。更有高端专业的私募圈子-厚雪长 坡俱乐部(严格筛选，永久免费，知己同行) 以下文章来源于风云君的研究笔记 ，作者专注私募研究的 风险提示：本文所提到的观点仅代表个人的意见，所涉及标的不作推荐，据此买卖，风险自负。 作者：风云君的研究笔记 上周五复盘策略环境的时候聊到最近的贴水和中性产品的表现，很多朋友都非常感兴趣。今天风 云君就来跟大家好好聊聊，量化中性策略到底是怎么赚钱的？买中性产品是否要择时？ 量化中性策略，在不少投资人心里，被归为"低波稳健"类产品，也曾一度成为银行理财替代品的 首选。这类策略在环境适宜的情况下，确实能做到高风险收益比，持有体验佳。 但它也经历过不少"滑铁卢"时刻，回撤大到让人质疑是不是策略失效了？但稍微了解一下中性策 略的底层运作逻辑，就能理解它的"成"与"败"是缘何而来。 这种策略是"左脚踩油门、右脚踩刹车"，通过精妙的计算和对冲来实现平衡。虽然听起来完美， 但仔细想想就知道，油门不足和刹车失灵的风险都是存在的，中性策略的尾部风险不可忽视。 中性策略是怎么赚钱的？ 中性策略的目标是获取与市场涨跌无关的收 ...

Report Industry Investment Ratings - Bullish: Aluminum, Palm Oil, Soybean Oil, Rapeseed Oil [1] - Bearish: Coke, Coking Coal, BR Rubber [1] - Neutral: Gold, Silver, Copper, Alumina, Nickel, Stainless Steel, Tin, Industrial Silicon, Polysilicon, Lithium Carbonate, Rebar, Hot Rolled Coil, Iron Ore, Ferro - Silicon, Glass, Soda Ash, Cotton, Pulp, Crude Oil, Asphalt, Shanghai Rubber, PTA, Ethylene Glycol, Short Fiber, Pure Benzene, Styrene, PP, PVC, Aluminum Oxide, LPG, Container Shipping European Line [1] Core Views - Geopolitical conflicts are intensifying, and options tools can be used to hedge uncertainties [1] - Asset shortage and weak economy are beneficial to bond futures, but the central bank has recently warned of interest - rate risks, suppressing the upward trend [1] - The situation has slightly eased, and the gold price may return to a volatile state in the short term; the long - term upward logic remains solid [1] - The market should pay attention to tariff - related developments and domestic and foreign economic data changes due to the repeated market sentiment affected by the Middle East geopolitical risks and the resilience of China's May economic data [1] Summaries by Industry Categories Macro - finance - Asset shortage and weak economy are favorable for bond futures, but short - term central bank warnings on interest - rate risks suppress the upward movement [1] Non - ferrous metals - Copper: Market risk appetite has declined, downstream demand has entered the off - season, and there is a risk of price correction after the copper price has risen [1] - Aluminum: Domestic electrolytic aluminum inventory has continued to decline, and the risk of a short squeeze still exists, with the aluminum price remaining strong; alumina spot price is relatively stable, while the futures price is weak, and the futures discount is obvious [1] - Nickel: The Middle East geopolitical risk persists, and the domestic May economic data shows resilience. The nickel price is in a short - term weak shock, and there is still pressure from the long - term surplus of primary nickel [1] - Stainless steel: The price of nickel iron has fallen, steel mill price limits are fluctuating, spot sales are weak, and social inventory has slightly increased. The short - term futures price is in a weak shock, and there is still long - term supply pressure [1] - Tin: The supply contradiction of tin ore has intensified in the short term, and the increase in Wa State's tin ore production still takes time, so the short - term tin price is in a high - level shock [1] Energy and chemicals - Crude oil: Geopolitical tensions are easing, and the price has fallen. The chemical industry as a whole has followed the decline in the crude oil price [1] - PTA: The spot basis remains strong, PXN is expected to be compressed due to the delay of Northeast PX device maintenance and market rumors of the postponement of Zhejiang reforming device maintenance [1] - Ethylene Glycol: It continues to reduce inventory, and the arrival volume will decrease. Polyester production cuts have an impact on the market [1] - Short fiber: In the case of a high basis, the cost is closely related to the price. Short - fiber factories have started maintenance plans [1] - Pure benzene and styrene: The price of pure benzene has started to weaken, the load of styrene devices has increased, and the basis has also weakened [1] - PP: The price is in a volatile and slightly downward trend, with limited support from maintenance [1] - PVC: After the end of maintenance and the commissioning of new devices, the downstream enters the seasonal off - season, and the supply pressure increases [1] - Alumina: The electricity price has dropped, and non - aluminum demand is weaker than last year. The market is trading the price - cut expectation in advance [1] - LPG: Geopolitical sentiment has eased, and the price premium is expected to be repaired [1] Agricultural products - Palm oil, soybean oil, and rapeseed oil: The US biodiesel RVO quota proposal exceeds market expectations, which may tighten the global oil supply - demand situation, and they are considered bullish in the short term [1] - Cotton: There are short - term disturbances in US cotton, and the long - term macro uncertainty is strong. The domestic cotton price is expected to be in a weak shock [1] - Sugar: Brazil's 2025/26 sugar production is expected to reach a record high, but the oil price may affect the sugar production through the sugar - alcohol ratio [1] - Corn: The overall supply - demand situation in the corn year is tight, and the short - term price is expected to be in a shock [1] - Bean粕: Before the release of the USDA planting area report at the end of the month, the futures price is expected to be in a shock [1] - Pulp: The current demand is light, but the downward space is limited, and it is recommended to wait and see [1] - Hog: The inventory is being repaired, the slaughter weight is increasing, and the futures price is relatively stable [1] Others - Container Shipping European Line: There is a situation of strong expectation and weak reality. The peak - season contracts can be lightly tested for long positions, and attention should be paid to arbitrage opportunities [1]

五矿期货早报 | 有色金属 有色金属日报 2025-6-9 铜 有色金属小组 吴坤金 从业资格号：F3036210 交易咨询号：Z0015924 0755-23375135 wukj1@wkqh.cn 曾宇轲 从业资格号：F03121027 0755-23375139 zengyuke@wkqh.cn 张世骄 从业资格号：F03120988 0755-23375122 zhangsj3@wkqh.cn 王梓铧 从业资格号：F03130785 0755-23375132 wangzh7@wkqh.cn 从业资格号：F03130746 0755-23375125 liuxianjie@wkqh.cn 陈逸 从业资格号：F03137504 0755-23375125 cheny40@wkqh.cn 美国提高钢铝关税带动美铜上涨，叠加白银价格大幅上涨，铜价冲高，上周伦铜收涨 1.83%至 9670 美 元/吨，沪铜主力合约收至 78620 元/吨。产业层面，上周三大交易所库存环比减少 0.9 万吨，其中 上期所库存增加 0.2 至 10.7 万吨，LME 库存减少 1.7 至 13.2 万吨，COMEX 库存增加 0 ...

Quantitative Models and Construction Methods Model Name: IC Hedging Strategy - **Model Construction Idea**: The strategy is based on the analysis of basis convergence factors and optimization strategies as discussed in the Cinda Derivatives Research Report Series III[45] - **Model Construction Process**: - **Backtesting Period**: July 22, 2022, to June 6, 2025[46] - **Spot End**: Hold the total return index of the corresponding underlying index[46] - **Futures End**: Use 70% of the funds for the spot end and short the same nominal principal amount of CSI 500 index futures contracts, occupying the remaining 30% of the funds[46] - **Rebalancing Rules**: Continuously hold the quarterly/monthly contracts until the remaining days to maturity are less than 2 days, then close the position at the closing price of the day and short the next quarterly/monthly contract at the closing price of the day[46] - **Model Evaluation**: The strategy performed well with positive weekly returns due to the expansion of the basis discount[49] Model Name: IF Hedging Strategy - **Model Construction Idea**: Similar to the IC Hedging Strategy, based on basis convergence factors and optimization strategies[45] - **Model Construction Process**: - **Backtesting Period**: July 22, 2022, to June 6, 2025[50] - **Spot End**: Hold the total return index of the corresponding underlying index[50] - **Futures End**: Use 70% of the funds for the spot end and short the same nominal principal amount of CSI 300 index futures contracts, occupying the remaining 30% of the funds[50] - **Rebalancing Rules**: Continuously hold the quarterly/monthly contracts until the remaining days to maturity are less than 2 days, then close the position at the closing price of the day and short the next quarterly/monthly contract at the closing price of the day[50] - **Model Evaluation**: The strategy performed well with positive weekly returns due to the expansion of the basis discount[54] Model Name: IH Hedging Strategy - **Model Construction Idea**: Similar to the IC Hedging Strategy, based on basis convergence factors and optimization strategies[45] - **Model Construction Process**: - **Backtesting Period**: July 22, 2022, to June 6, 2025[55] - **Spot End**: Hold the total return index of the corresponding underlying index[55] - **Futures End**: Use 70% of the funds for the spot end and short the same nominal principal amount of SSE 50 index futures contracts, occupying the remaining 30% of the funds[55] - **Rebalancing Rules**: Continuously hold the quarterly/monthly contracts until the remaining days to maturity are less than 2 days, then close the position at the closing price of the day and short the next quarterly/monthly contract at the closing price of the day[55] - **Model Evaluation**: The strategy performed well with positive weekly returns due to the expansion of the basis discount[58] Model Name: IM Hedging Strategy - **Model Construction Idea**: Similar to the IC Hedging Strategy, based on basis convergence factors and optimization strategies[45] - **Model Construction Process**: - **Backtesting Period**: July 22, 2022, to June 6, 2025[59] - **Spot End**: Hold the total return index of the corresponding underlying index[59] - **Futures End**: Use 70% of the funds for the spot end and short the same nominal principal amount of CSI 1000 index futures contracts, occupying the remaining 30% of the funds[59] - **Rebalancing Rules**: Continuously hold the quarterly/monthly contracts until the remaining days to maturity are less than 2 days, then close the position at the closing price of the day and short the next quarterly/monthly contract at the closing price of the day[59] - **Model Evaluation**: The strategy performed well with positive weekly returns due to the expansion of the basis discount[60] Model Backtesting Results - **IC Hedging Strategy**: - Annualized Return: -2.65% (monthly continuous), -1.77% (quarterly continuous), -0.74% (minimum discount strategy)[49] - Volatility: 3.91% (monthly continuous), 4.81% (quarterly continuous), 4.73% (minimum discount strategy)[49] - Maximum Drawdown: -7.51% (monthly continuous), -8.34% (quarterly continuous), -7.97% (minimum discount strategy)[49] - Net Value: 0.9264 (monthly continuous), 0.9504 (quarterly continuous), 0.9792 (minimum discount strategy)[49] - Annual Turnover: 12 (monthly continuous), 4 (quarterly continuous), 17.55 (minimum discount strategy)[49] - 2025 YTD Return: -2.82% (monthly continuous), -0.36% (quarterly continuous), 0.04% (minimum discount strategy)[49] - **IF Hedging Strategy**: - Annualized Return: 0.63% (monthly continuous), 0.92% (quarterly continuous), 1.46% (minimum discount strategy)[54] - Volatility: 3.05% (monthly continuous), 3.40% (quarterly continuous), 3.19% (minimum discount strategy)[54] - Maximum Drawdown: -3.95% (monthly continuous), -4.03% (quarterly continuous), -4.06% (minimum discount strategy)[54] - Net Value: 1.0181 (monthly continuous), 1.0264 (quarterly continuous), 1.0421 (minimum discount strategy)[54] - Annual Turnover: 12 (monthly continuous), 4 (quarterly continuous), 15.10 (minimum discount strategy)[54] - 2025 YTD Return: -0.53% (monthly continuous), 0.65% (quarterly continuous), 0.85% (minimum discount strategy)[54] - **IH Hedging Strategy**: - Annualized Return: 1.17% (monthly continuous), 2.11% (quarterly continuous), 1.83% (minimum discount strategy)[58] - Volatility: 3.17% (monthly continuous), 3.59% (quarterly continuous), 3.18% (minimum discount strategy)[58] - Maximum Drawdown: -4.22% (monthly continuous), -3.75% (quarterly continuous), -3.91% (minimum discount strategy)[58] - Net Value: 1.0337 (monthly continuous), 1.0613 (quarterly continuous), 1.0529 (minimum discount strategy)[58] - Annual Turnover: 12 (monthly continuous), 4 (quarterly continuous), 16.15 (minimum discount strategy)[58] - 2025 YTD Return: 0.29% (monthly continuous), 1.19% (quarterly continuous), 1.17% (minimum discount strategy)[58] - **IM Hedging Strategy**: - Annualized Return: -5.86% (monthly continuous), -4.16% (quarterly continuous), -3.46% (minimum discount strategy)[60] - Volatility: 4.75% (monthly continuous), 5.80% (quarterly continuous), 5.61% (minimum discount strategy)[60] - Maximum Drawdown: -14.00% (monthly continuous), -12.63% (quarterly continuous), -11.11% (minimum discount strategy)[60] - Net Value: 0.8528 (monthly continuous), 0.8839 (quarterly continuous), 0.9006 (minimum discount strategy)[60] - Annual Turnover: 12 (monthly continuous), 4 (quarterly continuous), 16.02 (minimum discount strategy)[60] - 2025 YTD Return: -7.89% (monthly continuous), -2.89% (quarterly continuous), -1.81% (minimum discount strategy)[60] Quantitative Factors and Construction Methods Factor Name: Cinda-VIX - **Factor Construction Idea**: Reflects the market's expectation of future volatility of the underlying asset, with a term structure to reflect expectations over different periods[63] - **Factor Construction Process**: - **Algorithm Basis**: Based on the methodology discussed in the Cinda Derivatives Research Report Series IV[63] - **Current Values**: As of June 6, 2025, the 30-day VIX values for SSE 50, CSI 300, CSI 500, and CSI 1000 are 17.19, 16.45, 22.33, and 22.89, respectively[63] Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility (IV) of options with different strike prices, indicating market expectations of extreme events[68] - **Factor Construction Process**: - **Algorithm Basis**: Captures the skewness in IV to reflect market expectations of future returns distribution[68] - **Current Values**: As of June 6, 2025, the SKEW values for SSE

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 aims to optimize hedging performance by continuously rolling over contracts[47][48] - **Model Construction Process**: - **Backtesting Period**: July 22, 2022, to May 16, 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 the current month/quarter contracts until two days before expiration, 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 Basis 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**: July 22, 2022, to May 16, 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 for all tradable futures contracts and select the one with the smallest discount. Contracts are held for at least eight trading days or until two days before expiration[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: -2.45% (current month), -1.66% (quarterly), -0.66% (minimum basis)[51] - Volatility: 3.94% (current month), 4.85% (quarterly), 4.76% (minimum basis)[51] - Maximum Drawdown: -7.51% (current month), -8.34% (quarterly), -7.97% (minimum basis)[51] - Net Value: 0.9331 (current month), 0.9543 (quarterly), 0.9818 (minimum basis)[51] - **IF (CSI 300 Futures)**: - Annualized Return: 0.76% (current month), 1.01% (quarterly), 1.59% (minimum basis)[56] - Volatility: 3.08% (current month), 3.42% (quarterly), 3.21% (minimum basis)[56] - Maximum Drawdown: -3.95% (current month), -4.03% (quarterly), -4.06% (minimum basis)[56] - Net Value: 1.0212 (current month), 1.0286 (quarterly), 1.0450 (minimum basis)[56] - **IH (SSE 50 Futures)**: - Annualized Return: 1.20% (current month), 2.13% (quarterly), 1.84% (minimum basis)[60] - Volatility: 3.19% (current month), 3.62% (quarterly), 3.21% (minimum basis)[60] - Maximum Drawdown: -4.22% (current month), -3.75% (quarterly), -3.91% (minimum basis)[60] - Net Value: 1.0339 (current month), 1.0605 (quarterly), 1.0521 (minimum basis)[60] - **IM (CSI 1000 Futures)**: - Annualized Return: -5.28% (current month), -3.88% (quarterly), -3.23% (minimum basis)[62] - Volatility: 4.35% (current month), 5.45% (quarterly), 5.31% (minimum basis)[62] - Maximum Drawdown: -14.36% (current month), -12.63% (quarterly), -11.11% (minimum basis)[62] - Net Value: 0.8595 (current month), 0.8953 (quarterly), 0.9124 (minimum basis)[62] --- 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[65] - **Factor Construction Process**: - Based on methodologies from international markets, adjusted for China's on-exchange options market[65] - Calculated using implied volatilities from options with different maturities[65] - **Factor Evaluation**: Provides insights into market sentiment and volatility expectations[65] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness in implied volatility across different strike prices, capturing market expectations of extreme tail risks[74] - **Factor Construction Process**: - Analyzes the slope of implied volatility curves for options with varying strike prices[74] - Higher SKEW values indicate increased demand for out-of-the-money options, reflecting heightened tail risk concerns[75] - **Factor Evaluation**: Useful for assessing market sentiment and potential "black swan" events[75] --- Factor Backtesting Results 1. Cinda-VIX - **30-Day VIX Values**: - SSE 50: 19.24[65] - CSI 300: 19.19[65] - CSI 500: 22.56[65] - CSI 1000: 26.89[65] 2. Cinda-SKEW - **SKEW Values**: - SSE 50: 100.71[75] - CSI 300: 103.73[75] - CSI 500: 98.73[75] - CSI 1000: 107.96[75]