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 ...

Macro and Strategy - The macro narrative has shifted away from trade wars, with a potential mismatch between policy logic and economic reality expected in the second half of the year, leading to a significant weakening of Q3 data and possibly activating counter-cyclical policies in September-October [9][10] - The 2025 Lujiazui Forum highlighted eight major policies for building Shanghai as a financial center and nine financial opening measures, indicating a commitment to deepening financial reform and opening up [9] Securities Industry - The June report on the securities industry indicates that the market is seeing innovation in derivative products, particularly Dynamic Coupon Notes (DCN), which are gaining attention for their potential high returns [10][11] - The report notes a slight decrease in trading volume, with May's average daily trading amount for A-shares at 12,148 billion yuan, down 1.7% month-on-month but up 43.3% year-on-year [12] - Investment recommendations focus on leading brokerages such as CITIC Securities and Huatai Securities, as well as firms with strong traffic advantages like Dongfang Wealth [12] Machinery Industry - The machinery industry report indicates a short-term decline in domestic sales of excavators, with May sales at 8,392 units, down 1.48% year-on-year, while exports increased by 5.42% [13][14] - The report emphasizes that despite short-term pressures, the long-term upward trend in the industry remains intact, with a focus on the resilience of exports and the ongoing demand for machinery [15] Automotive Industry - The automotive industry report shows that in May, total vehicle production and sales reached 2.649 million and 2.686 million units, respectively, with year-on-year growth of 11.6% and 11.2% [16] - New energy vehicles accounted for 48.7% of total new vehicle sales, with production and sales of 1.27 million and 1.307 million units, reflecting a year-on-year growth of 35% and 36.9% [16] - Investment recommendations include companies like Leap Motor and Xpeng Motors, focusing on the trends of electric and intelligent vehicles [18] Online Music Industry - The online music industry is characterized by high concentration, with Tencent Music holding approximately 66% market share, and a strong long-term cash flow potential due to low churn rates in subscriptions [19][20] - The report predicts a 15% CAGR for the online music industry over the next three years, with Tencent Music and NetEase Cloud Music expected to see significant profit margin improvements [22] Construction and Building Materials - The construction and building materials report indicates a decline in real estate and infrastructure investment, with fixed asset investment growing by only 3.7% year-on-year in the first five months of 2025 [23][24] - The report suggests that policies aimed at stabilizing the real estate market are expected to accelerate, with recommendations for companies like China National Building Material and Anhui Conch Cement [25][26] Company-Specific Insights - Chow Tai Fook plans to issue convertible bonds to raise approximately 8.715 billion HKD, focusing on business development and store upgrades [27] - Xiangxin Technology, a leader in precision stamping molds, is expected to benefit from growth in the robotics sector, with projected revenues of 6.7 billion yuan in 2024 [28][30] - China International Trade is noted for its stable profitability in commercial real estate, with a projected net profit of 12.9 billion yuan in 2025 [31][33] - Lingbao Gold, a leading gold mining company in Henan, is expected to maintain strong performance due to rising gold prices and stable mining operations [34][35]

华福证券 2025 年 06 月 06 日 股指期货深度贴水与期权市场共振：谨慎情绪初 现——5 月衍生品月报（2025/05） 投资要点： ➢ 股指期货 主要股指（沪深 300、上证 50、中证 500 和中证 1000）成交额在 2025 年初高点后有回落趋势，市场活跃度持续下降，最近开始趋于平 稳。 从贴水比例来看，远月贴水大于近月，且贴水幅度进一步提升，我 们认为主要原因在于： ➢ 国债期货 5 月份国债期货小幅下跌， 10 年期国债期货隐含收益率在 1.6-1.7 波动。 从升贴水结构来看，近远月合约价差显示远月大于近月，表示投 资者对于未来债券市场偏乐观。 ➢ 期权市场 期权市场波动率依然在大幅下行，大幅低于标的的实际波动率， 显示期权当前价值合理，投资价值高。 华福证券 期权市场 PCR 在 5 月中旬开始下降，PCR 指标显示市场情绪偏谨 慎。 ➢ 期权 PCR 择时策略的跟踪 期权持仓量 PCR 是一个市场情绪指标，我们的期权 PCR 策略逻 辑是顺趋势（PCR 上行情形，提示情绪较好）和反趋势（PCR 较低的 情形，指示情绪低点未来可能反转）。 从结果上来看，期权 PCR 策略在今年以来在 ...

微盘风格展望与 DCN 产品的影响 20250604 摘要 微盘风格近期表现强势主要有以下六大因素：首先，政策端释放了科创小微企 业的活力。自 2024 年以来，政策维度出台了很多利好小微企业发展的政策， 例如 2025 年 5 月发布的重组办法，包括精简审核流程、放宽支付工具限制和 私募基金可入股微盘股等，这些措施提供了新的资金来源和产业资源支持。其 次，从市场环境来看，中国金融市场目前处于流动性较为宽松的格局，社融和 M2 增速同步扩张，加上央行全面降准的政策支持，使得流动性充裕时过剩资 金倾向于追逐高弹性资产，以获取超额收益。第三，从量化预测模型来看，机 构持仓集中度和大小盘 PB 比值分位数这两个指标对于微盘风格表现有一定的 预测能力，目前这两个指标都处于历史低位，利好微盘风格。第四，从资金类 型分析，高风险偏好的资金参与度较高，如融资参与度较高，而北向资金参与 度非常低，仅有少数符合要求的成分股。第五，微盘风格存在显著日历效应， 例如每年 4 月下跌、5 月上涨、11 月上涨、1 月下跌，这次 5 月行情也与历史 相符。最后，从风险端来看，通过量化风格拥挤度模型判断，目前拥挤信号得 分为 1 分，处 ...

Core Viewpoint - The recent low level of stock index futures basis is linked to the dynamics of Dynamic Coupon Notes (DCN) products, which are believed to potentially reduce the basis rather than deepen it [1][4][31]. Group 1: Stock Index Futures Basis - The recent basis rates for IC and IM have reached historical lows, influenced by factors such as hedging, trading, dividend cycles, and policy restrictions [2][6]. - The basis rates are expected to exhibit cyclical fluctuations, with the current deep basis potentially benefiting the yield and scale of structured products like DCN and snowball products [2][7]. - The basis rates for IC and IM, after adjusting for dividends, remain at historical lows, indicating persistent pressure on the stock index futures market [8][9]. Group 2: Dynamic Coupon Notes (DCN) - DCN is characterized as a type of snowball product without an observation for knock-in, providing fixed income features combined with derivatives [3][25]. - The structure of DCN allows for monthly interest payments if the index price meets certain thresholds, with a risk of loss if the index falls below a specified level at maturity [25][30]. - The hedging mechanism of DCN is smoother compared to traditional snowball products, as it lacks a knock-in feature, resulting in a more stable impact on the stock index futures market [4][31]. Group 3: Market Dynamics and Product Scale - The total scale of snowball-like structured products is estimated to be around 100 billion yuan, which is less than half of the scale at the beginning of 2024 [4][31][38]. - The recent deep basis in stock index futures is expected to lead to a rapid increase in the yield and scale of DCN and similar structured products [4][45]. - The issuance of DCN products is seen as attractive in a low-interest environment, potentially leading to increased demand and market activity [4][31].