贴水持续收敛，市场情绪延续乐观 [Table_ReportTime] 2025 年 8 月 23 日 请阅读最后一页免责声明及信息披露 http://www.cindasc.com 1 [Table_FirstAuthor] 于明明 金融工程与金融产品首席分析师 执业编号：S1500521070001 联系电话：+86 18616021459 邮 箱：yumingming@cindasc.com 证券研究报告 金工研究 崔诗笛 金融工程与金融产品 金融工程分析师 执业编号：S1500523080001 联系电话：+86 18516560686 邮 箱：cuishidi@cindasc.com 孙石 金融工程与金融产品 金融工程分析师 执业编号：S1500523080010 联系电话：+86 18817366228 邮 箱：sunshi@cindasc.com 信达证券股份有限公司 CINDA SECURITIES CO.,LTD 北京市西城区宣武门西大街甲 127 号金隅 大厦 B座 邮编：100031 [贴水持续收敛 Table_Title] ，市场情绪延续乐观 [Table_ReportDate] 202 ...

敬请阅读末页的重要说明 2025年8月22日 星期五 金融研究 金融期货早班车 招商期货有限公司 | | 市场表现：8 月 日，A 股四大股指涨跌不一，其中上证指数上涨 0.13%，报收 21 3771.1 | | | 点；深成指 | | | --- | --- | --- | --- | --- | --- | | | 下跌 0.06%，报收 11919.76 点；创业板指下跌 0.47%，报收 2595.47 点；科创 50 指数上涨 | 0.09%， | | | | | | 报收 1149.15 点。市场成交 24,603 亿元，较前日增加 119 亿元。行业板块方面，农林牧渔(+1.5%)， | | | | | | | 石油石化(+1.39%)，美容护理(+0.98%)涨幅居前；机械设备(-1.08%)，电力设备(-0.98%)，综合 | | | | | | | (-0.73%)跌幅居前。从市场强弱看，IH>IF>IC>IM，个股涨/平/跌数分别为 2,169/164/3,087。沪深两 | | | | | | | 市，机构、主力、大户、散户全天资金分别净流入-209、-308、56、461 亿元，分 ...

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: 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]

- Model Name: Continuous Hedging Strategy; Model Construction Idea: The strategy is based on the analysis of basis convergence factors and optimization strategies; Model Construction Process: The strategy involves holding the corresponding total return index on the spot side and shorting the corresponding stock index futures contracts on the futures side, with specific parameters and settings for backtesting, including the backtesting period, spot side, futures side, and rebalancing rules[44][45] - Model Name: Minimum Discount Strategy; Model Construction Idea: The strategy selects the futures contract with the smallest annualized basis discount for opening positions; Model Construction Process: The strategy involves holding the corresponding total return index on the spot side and shorting the corresponding stock index futures contracts on the futures side, with specific parameters and settings for backtesting, including the backtesting period, spot side, futures side, and rebalancing rules[44][46] - Factor Name: Cinda-VIX; Factor Construction Idea: The factor reflects the market's expectation of future volatility of the underlying asset; Factor Construction Process: The factor is based on the methodology from the research report series "Exploring Market Sentiment Implied in the Options Market" and reflects the volatility expectations of investors in the options market for different periods[62] - Factor Name: Cinda-SKEW; Factor Construction Idea: The factor captures the skewness of implied volatility (IV) of options with different strike prices; Factor Construction Process: The factor measures the degree of skewness in volatility, providing insights into market expectations of future returns distribution of the underlying asset[70][71] - Continuous Hedging Strategy, Annualized Return: -2.73% (monthly), -1.93% (quarterly), -0.95% (minimum discount); Volatility: 3.88% (monthly), 4.77% (quarterly), 4.68% (minimum discount); Maximum Drawdown: -8.15% (monthly), -8.34% (quarterly), -7.97% (minimum discount); Net Value: 0.9221 (monthly), 0.9446 (quarterly), 0.9725 (minimum discount); Annual Turnover: 12 (monthly), 4 (quarterly), 17.40 (minimum discount); 2025 YTD Return: -3.24% (monthly), -0.94% (quarterly), -0.63% (minimum discount)[48] - Continuous Hedging Strategy, Annualized Return: 0.54% (monthly), 0.80% (quarterly), 1.37% (minimum discount); Volatility: 3.02% (monthly), 3.36% (quarterly), 3.15% (minimum discount); Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly), -4.06% (minimum discount); Net Value: 1.0159 (monthly), 1.0237 (quarterly), 1.0406 (minimum discount); Annual Turnover: 12 (monthly), 4 (quarterly), 15.36 (minimum discount); 2025 YTD Return: -0.75% (monthly), 0.39% (quarterly), 0.70% (minimum discount)[53] - Continuous Hedging Strategy, Annualized Return: 1.07% (monthly), 2.04% (quarterly), 1.76% (minimum discount); Volatility: 3.13% (monthly), 3.56% (quarterly), 3.15% (minimum discount); Maximum Drawdown: -4.22% (monthly), -3.75% (quarterly), -3.91% (minimum discount); Net Value: 1.0316 (monthly), 1.0609 (quarterly), 1.0526 (minimum discount); Annual Turnover: 12 (monthly), 4 (quarterly), 16.04 (minimum discount); 2025 YTD Return: 0.08% (monthly), 1.15% (quarterly), 1.14% (minimum discount)[57] - Continuous Hedging Strategy, Annualized Return: -5.96% (monthly), -4.33% (quarterly), -3.76% (minimum discount); Volatility: 4.74% (monthly), 5.79% (quarterly), 5.60% (minimum discount); Maximum Drawdown: -14.00% (monthly), -12.63% (quarterly), -11.11% (minimum discount); Net Value: 0.8521 (monthly), 0.8849 (quarterly), 0.9009 (minimum discount); Annual Turnover: 12 (monthly), 4 (quarterly), 15.96 (minimum discount); 2025 YTD Return: -8.68% (monthly), -3.91% (quarterly), -3.47% (minimum discount)[59] - Cinda-VIX, 30-day VIX values: 17.29 (SSE 50), 15.95 (CSI 300), 23.13 (CSI 500), 21.70 (CSI 1000)[62] - Cinda-SKEW, 30-day SKEW values: 100.62 (SSE 50), 101.40 (CSI 300), 96.04 (CSI 500), 102.73 (CSI 1000)[71]

1. Report Industry Investment Rating There is no industry investment rating provided in the report. 2. Core Viewpoints of the Report - In the first half of 2025, the A - share market showed an interval - oscillating pattern with significant structural differentiation. The market style shifted from traditional core assets to growth - type targets. - Policy support is an important factor for the market, but the economic recovery still faces internal and external challenges. The full recovery of economic endogenous momentum requires stronger policy support. - In the short term, the market will continue to oscillate. It is advisable to reduce long positions in small - and medium - cap stocks on rallies. For empty - position investors, it is recommended to be patient and focus on layout opportunities when the index pulls back to the lower edge of the interval. In the medium - and long - term, allocation should be cautious, with emphasis on tracking the progress of profit repair and policy effects [3]. 3. Summary by Relevant Catalogs 3.1股指延续区间震荡态势 - **行情回顾**: From the beginning of the year to mid - March, the A - share market oscillated upward due to the acceleration of the AI industry and policy benefits. Then it adjusted under the impact of Trump's "reciprocal tariffs". From mid - April to the end of the year, it regained its upward momentum due to domestic policy support and the easing of Sino - US trade frictions. Structurally, small - and medium - cap stock index futures were more elastic than large - cap stocks, and the CSI 1000 led the gains several times in the first half of the year [8]. - **行业表现**: In the first half of 2025, industries showed significant differentiation. Precious - metal - related non - ferrous metals and high - dividend bank sectors led the gains, while coal, food and beverage, and real estate sectors declined. Different time periods had different dominant styles [10]. - **股指基差**: The expansion of market - neutral strategies and the increase in index dividend rates led to an increase in index futures discounts. It is expected that in the second half of 2025, the seasonal discount of stock index futures will be relatively larger than in previous years, but the absolute degree of discount will gradually decrease [11][14][16]. 3.2市场估值：关注盈利带动估值消化 - **中证500和中证1000指数**: As of June 27, the price - to - book ratios of the CSI 500 and CSI 1000 indexes were at historically low - to - medium levels, at 1.91 and 2.13 respectively, in the 49.20% and 23.71% quantiles of the past 10 years [20]. - **上证50和沪深300指数**: As of June 27, the price - to - earnings ratios of the SSE 50 and CSI 300 indexes were relatively high, while the price - to - book ratios were relatively low, showing a valuation divergence. The recovery of profitability is crucial for digesting the price - to - earnings ratio and repairing the divergence [22]. - **指数拥挤度**: The market style may continue to shift towards growth - type targets. The relative valuation of small - cap growth - style assets has increased significantly, and the difference in the crowding degree between the CSI 500 and CSI 1000 indexes has narrowed [24][28]. - **股债性价比**: The stock market does not have an obvious relative advantage. After the significant rise in the market since the end of September, the stock market is running at a low level. If the Fed cuts interest rates in the second half of the year, the yield of interest - rate bonds is expected to continue to decline, and the relative valuation of the stock market is still at a relatively high level [34]. - **估值小结**: After the valuation repair since the end of September, the relative valuation advantage of the stock market over bonds has weakened. The market is internally differentiated, and the valuation repair is faster than the profit recovery. The difference in the crowding degree between the CSI 1000 and CSI 300 indexes will continue to oscillate upward [36][37]. 3.3国内预期向现实转化仍存阻力 - **金融传导效率好转，政策效果需进一步释放**: In May, the year - on - year growth rate of M1 money supply rebounded. The conversion from M2 to M1 began to appear, but the long - term investment willingness of real - economy enterprises was still weak, and the credit policy to stimulate consumption had not fully taken effect [37]. - **通缩压力未完全消退，利润水平修复仍处于筑底阶段**: The net profit of constituent stocks of each index is still at the bottoming stage, showing differentiation. The profit of large - scale industrial enterprises has not formed a continuous repair trend. The price level shows that the economy is still on the verge of deflation, and the demand - side momentum has not fully recovered [39][44]. 3.4资产配置转移预期提升，资本账户压力或将缓解 - **资产配置转移预期提升**: The central bank cut the reserve ratio and policy interest rates, and commercial banks lowered deposit rates. The "deposit relocation" expectation has increased, and funds are flowing from traditional bank deposits to bank wealth management and the capital market, which is expected to bring sufficient allocation funds to the A - share market [46][49]. - **美元主导因素转变，资本金融账户压力或将缓解**: The US dollar is changing from a typical counter - cyclical asset to a pro - cyclical asset, and its weakening expectation is increasing. The RMB's passive depreciation pressure is expected to be substantially relieved, and the capital and financial accounts may enter a repair channel [53][55]. - **关税措施修正收缩空间有限，经常账户仍存在明显压力**: Sino - US trade is still affected by tariffs. The US faces structural contradictions, and the "Big and Beautiful Act" may support the US's tough attitude towards import tariffs, so the domestic current account still faces obvious pressure [57][62][63].

Quantitative Models and Construction Methods Model Name: Continuous Hedging Strategy - **Construction Idea**: The strategy is based on the analysis of basis convergence factors and optimization strategies[43] - **Construction Process**: - **Backtesting Parameters and Settings**: - **Backtesting Period**: July 22, 2022, to June 27, 2025[44] - **Spot End**: Hold the total return index of the corresponding underlying index[44] - **Futures End**: Use 70% of the funds for the spot end, short the corresponding nominal principal amount of CSI 500 (CSI 300, SSE 50, CSI 1000) stock index futures contracts, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantity of the spot and futures ends based on the product's net value[44] - **Rebalancing Rules**: Continuously hold quarterly/monthly contracts until the remaining days to expiration are less than 2 days. On that day, close the position at the closing price and simultaneously short the next quarterly/monthly contract at the closing price[44] - **Remarks**: Allocate equal principal to the spot and futures ends, without considering transaction fees, impact costs, and the non-infinite divisibility of futures contracts[44] - **Evaluation**: The strategy is designed to optimize hedging by continuously adjusting positions based on basis convergence factors[43] Model Name: Minimum Basis Strategy - **Construction Idea**: The strategy selects the contract with the smallest annualized basis discount for hedging[45] - **Construction Process**: - **Backtesting Parameters and Settings**: - **Backtesting Period**: July 22, 2022, to June 27, 2025[45] - **Spot End**: Hold the total return index of the corresponding underlying index[45] - **Futures End**: Use 70% of the funds for the spot end, short the corresponding nominal principal amount of CSI 500 (CSI 300, SSE 50, CSI 1000) stock index futures contracts, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantity of the spot and futures ends based on the product's net value[45] - **Rebalancing Rules**: When rebalancing, calculate the annualized basis of all tradable futures contracts on the day and select the contract with the smallest annualized basis discount for opening a position. Hold the same contract for 8 trading days or until the remaining days to expiration are less than 2 days, then select a new contract (excluding futures contracts with less than 8 days to expiration). Even if the selection result is to hold the original contract unchanged, continue to hold for 8 trading days[45] - **Remarks**: Allocate equal principal to the spot and futures ends, without considering transaction fees, impact costs, and the non-infinite divisibility of futures contracts[45] - **Evaluation**: The strategy aims to minimize basis discount by selecting the optimal contract for hedging[45] Model Backtesting Results Continuous Hedging Strategy - **CSI 500 Index Futures**: - **Annualized Return**: -2.77% (monthly), -2.08% (quarterly), -0.98% (minimum basis)[47] - **Volatility**: 3.88% (monthly), 4.77% (quarterly), 4.69% (minimum basis)[47] - **Maximum Drawdown**: -8.15% (monthly), -8.34% (quarterly), -7.97% (minimum basis)[47] - **Net Value**: 0.9215 (monthly), 0.9405 (quarterly), 0.9718 (minimum basis)[47] - **Annual Turnover**: 12 (monthly), 4 (quarterly), 17.53 (minimum basis)[47] - **2025 YTD Return**: -3.31% (monthly), -1.35% (quarterly), -0.69% (minimum basis)[47] - **CSI 300 Index Futures**: - **Annualized Return**: 0.58% (monthly), 0.77% (quarterly), 1.42% (minimum basis)[52] - **Volatility**: 3.02% (monthly), 3.37% (quarterly), 3.16% (minimum basis)[52] - **Maximum Drawdown**: -3.95% (monthly), -4.03% (quarterly), -4.06% (minimum basis)[52] - **Net Value**: 1.0171 (monthly), 1.0226 (quarterly), 1.0418 (minimum basis)[52] - **Annual Turnover**: 12 (monthly), 4 (quarterly), 15.46 (minimum basis)[52] - **2025 YTD Return**: -0.63% (monthly), 0.27% (quarterly), 0.82% (minimum basis)[52] - **SSE 50 Index Futures**: - **Annualized Return**: 1.07% (monthly), 2.04% (quarterly), 1.76% (minimum basis)[56] - **Volatility**: 3.14% (monthly), 3.57% (quarterly), 3.16% (minimum basis)[56] - **Maximum Drawdown**: -4.22% (monthly), -3.75% (quarterly), -3.91% (minimum basis)[56] - **Net Value**: 1.0315 (monthly), 1.0605 (quarterly), 1.0521 (minimum basis)[56] - **Annual Turnover**: 12 (monthly), 4 (quarterly), 15.81 (minimum basis)[56] - **2025 YTD Return**: 0.07% (monthly), 1.11% (quarterly), 1.09% (minimum basis)[56] - **CSI 1000 Index Futures**: - **Annualized Return**: -6.00% (monthly), -4.44% (quarterly), -3.79% (minimum basis)[58] - **Volatility**: 4.73% (monthly), 5.78% (quarterly), 5.60% (minimum basis)[58] - **Maximum Drawdown**: -14.00% (monthly), -12.63% (quarterly), -11.11% (minimum basis)[58] - **Net Value**: 0.8523 (monthly), 0.8843 (quarterly), 0.9009 (minimum basis)[58] - **Annual Turnover**: 12 (monthly), 4 (quarterly), 16.02 (minimum basis)[58] - **2025 YTD Return**: -8.76% (monthly), -4.36% (quarterly), -3.55% (minimum basis)[58] Quantitative Factors and Construction Methods Factor Name: Cinda-VIX - **Construction Idea**: Reflects the market's expectation of future volatility of the underlying asset[61] - **Construction Process**: - **Algorithm**: Based on the methodology in the report series "Exploring Market Sentiment Implied in the Options Market"[61] - **Data**: As of June 27, 2025, the 30-day VIX values for SSE 50, CSI 300, CSI 500, and CSI 1000 are 17.47, 16.92, 23.84, and 21.35, respectively[61] - **Evaluation**: The index accurately reflects the volatility expectations of the market for different time horizons[61] Factor Name: Cinda-SKEW - **Construction Idea**: Measures the skewness of implied volatility across different strike prices[69] - **Construction Process**: - **Algorithm**: Based on the methodology in the report series "Exploring Market Sentiment Implied in the Options Market"[69] - **Data**: As of June 27, 2025, the SKEW values for SSE 50, CSI 300, CSI 500, and CSI 1000 are 95.51, 97.95, 93.74, and 101.14, respectively[70] - **Evaluation**: The index provides valuable insights into market expectations of extreme events and tail risks[70] Factor Backtesting Results Cinda-VIX - **SSE 50**: 17.47[61] - **CSI 300**: 16.92[61] - **CSI 500**: 23.84[61] - **CSI 1000**: 21.35[61] Cinda-SKEW - **SSE 50**: 95.51[70] - **CSI 300**: 97.95[70] - **CSI 500**: 93.74[70] - **CSI 1000**: 101.14[70]

- The report introduces the dividend forecast for stock index futures contracts during their duration, predicting dividend points for CSI 500, CSI 300, SSE 50, and CSI 1000 indices as 73.53, 68.56, 52.96, and 65.86 respectively[9][11][16] - The dividend-adjusted annualized basis calculation is explained as: Annualized Basis = (Actual Basis + (Expected) Dividend Points) / Index Price × 360 / Remaining Days of Contract[20] - CSI 500 futures contract IC2507 predicts dividend points of 20.73, IC2509 predicts 30.13, and IC2512 predicts 30.13, with a dividend ratio of 0.53% during the next season contract duration[9] - CSI 300 futures contract IF2507 predicts dividend points of 34.94, IF2509 predicts 48.09, and IF2512 predicts 48.4, with a dividend ratio of 1.26% during the next season contract duration[11] - SSE 50 futures contract IH2507 predicts dividend points of 40.11, IH2509 predicts 44.54, and IH2512 predicts 44.97, with a dividend ratio of 1.68% during the next season contract duration[16] - CSI 1000 futures contract IM2507 predicts dividend points of 18.42, IM2509 predicts 22.63, and IM2512 predicts 22.73, with a dividend ratio of 0.38% during the next season contract duration[18] - CSI 500 futures contract IC's dividend-adjusted annualized basis rose to -8.70% from a weekly low of -9.76%[21] - CSI 300 futures contract IF's dividend-adjusted annualized basis fell to -2.54% from a weekly high of -1.77%[27] - SSE 50 futures contract IH's dividend-adjusted annualized basis rose to 0.91% from a weekly low of 0.40%[33] - CSI 1000 futures contract IM's dividend-adjusted annualized basis rose to -12.34% from a weekly low of -14.89%[40] - The continuous hedging strategy and minimum basis strategy are introduced, with parameters including holding corresponding total return indices for the spot side and shorting futures contracts with equal nominal principal for the hedging side[45][46][47] - CSI 500 futures hedging strategy results: Annualized returns for monthly continuous hedging, seasonal continuous hedging, and minimum basis strategy are -2.75%, -1.97%, and -0.95% respectively, with volatility of 3.89%, 4.78%, and 4.70%[48] - CSI 300 futures hedging strategy results: Annualized returns for monthly continuous hedging, seasonal continuous hedging, and minimum basis strategy are 0.60%, 0.88%, and 1.44% respectively, with volatility of 3.03%, 3.38%, and 3.17%[50][54] - SSE 50 futures hedging strategy results: Annualized returns for monthly continuous hedging, seasonal continuous hedging, and minimum basis strategy are 1.10%, 2.04%, and 1.76% respectively, with volatility of 3.15%, 3.58%, and 3.16%[55][58] - CSI 1000 futures hedging strategy results: Annualized returns for monthly continuous hedging, seasonal continuous hedging, and minimum basis strategy are -5.99%, -4.36%, and -3.68% respectively, with volatility of 4.74%, 5.78%, and 5.60%[59][60] - Cinda-VIX index reflects market volatility expectations, with 30-day VIX values for SSE 50, CSI 300, CSI 500, and CSI 1000 indices at 16.54, 17.01, 25.03, and 22.92 respectively[63][65] - Cinda-SKEW index captures implied volatility skew characteristics, with values for SSE 50, CSI 300, CSI 500, and CSI 1000 indices at 101.73, 106.09, 97.81, and 105.04 respectively[72][75]

Market Performance - On June 11, most of the four major A-share stock indices rose, with the Shanghai Composite Index up 0.52% to 3402.32 points, the Shenzhen Component Index up 0.83% to 10246.02 points, and the ChiNext Index up 1.21% to 2061.87 points, while the STAR 50 Index fell 0.2% to 980.93 points. Market turnover was 1286.7 billion yuan, a decrease of 164.8 billion yuan from the previous day [2]. - In terms of industry sectors, non-ferrous metals (+2.21%), agriculture, forestry, animal husbandry and fishery (+2.02%), and non-bank finance (+1.9%) led the gains, while pharmaceutical biology (-0.41%), communications (-0.28%), and beauty care (-0.1%) led the losses [2]. - From the perspective of market strength, IF > IC > IH > IM, and the number of rising/flat/falling stocks was 3411/264/1737 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -5, -45, -52, and 102 billion yuan respectively, with changes of +151, +159, -92, and -217 billion yuan respectively [2]. Stock Index Futures Basis and Trading Strategy - The basis of the next - month contracts of IM, IC, IF, and IH was 135.31, 105.35, 55.23, and 42.14 points respectively, with annualized basis yields of -19.53%, -16.24%, -12.66%, and -13.97% respectively, and three - year historical quantiles of 5%, 5%, 1%, and 3% respectively. The futures - spot price difference remained at a low level [3]. - In the short term, due to the large discount of small - cap stock indices, which may be the result of the expansion of neutral product scale this year, and the relatively high proportion of short positions in neutral products, the deep discount may continue, leading to market fluctuations. A short - cycle band strategy is recommended. In the medium - to - long term, it is recommended to go long on the economy and allocate IF, IC, and IM forward contracts on dips. For near - month contracts, there is a risk of a decline in micro - cap stocks, which may drag down the IC and IM indices, so caution is advised [3]. Treasury Bond Futures Cash Bond and Trading Strategy - The current active contract is the 2509 contract. For the 2 - year Treasury bond futures, the CTD bond is 250006.IB, with a yield change of -1.25bps, a corresponding net basis of -0.08, and an IRR of 1.83%. Similar data are provided for 5 - year, 10 - year, and 30 - year Treasury bond futures [4]. - In the cash bond market, the supply is currently stronger than demand, but this pattern is expected to change. In the futures market, the CTD bond price of near - month contracts is low, and the IRR is high, so short - sellers have a strong willingness to deliver, putting pressure on near - month contract prices and causing far - month premiums. It is recommended to go long in the short term and short in the long term, buying T and TL on dips in the short term and hedging T and TL on rallies in the long term [4]. Economic Data - High - frequency data show that the recent import and export sentiment has rebounded [11].