量化专题报告：风格轮动下的A500对冲策略

研究院 量化组 摘要 研究员 本报告聚焦中证 A500 指数的股指期货对冲策略，从单品种、多品种组合、多品种轮动三个维度展开分析。研究表明，单品种对冲各有优劣，而基于多因子择时的多品种轮动对冲，通过整合各品种优势优化了对冲效果。 高天越0755-23887993gaotianyue@htfc.com从业资格号：F3055799投资咨询号：Z0016156 核心观点 李逸资0755-23887993liyizi@htfc.com从业资格号：F03105861投资咨询号：Z0021365 1）与单品种或多品种合成对冲相比，多品种轮动可有效提升对冲效果。 2）相关性与波动率在筛选对冲品种时都起到关键作用。 李光庭0755-23887993liguangting@htfc.com从业资格号：F03108562投资咨询号：Z0021506 联系人 黄煦然0755-23887993huangxuran@htfc.com从业资格号：F03130959 王博闻0755-23887993wangbowen@htfc.com从业资格号：F03149658 投资咨询业务资格：证监许可【2011】1289 号 目录 摘要.......................................................................................................................................................................................................1核心观点...............................................................................................................................................................................................1风格轮动下的 A500 对冲策略........................................................................................................................................................... 4■单品种相关性与对冲...................................................................................................................................................................................4■回归方程下的多品种对冲...........................................................................................................................................................................6■风格轮动下的多品种对冲...........................................................................................................................................................................7■总结.............................................................................................................................................................................................................10■风险提示.....................................................................................................................................................................................................10 图表 图1:宽基指数跟踪产品规模对比| 单位：亿元......................................................................................................................... 4图2:近一年私募宽基指数产品发行量| 单位：只..................................................................................................................... 4图3:单品种对冲A500策略表现| 单位：无...............................................................................................................................5图4:多品种组合对冲A500策略表现| 单位：无.......................................................................................................................6图5:A500与各品种滚动半年相关性| 单位：无....................................................................................................................... 7图6:A500与各品种滚动半年波动率| 单位：%........................................................................................................................7图7:相关性轮动A500对冲策略| 单位：无...............................................................................................................................8图8:波动率轮动A500对冲策略| 单位：无...............................................................................................................................8图9:风格轮动A500对冲策略对比1| 单位：无....................................................................................................................... 9图10:风格轮动A500对冲策略对比2| 单位：无..................................................................................................................... 9图11:风格轮动A500对冲策略优化| 单位：无.......................................................................................................................10 表1 : A500与宽基指数成分股对比|单位：无.............................................................................................................................. 4表2 : A500与宽基指数相关性对比|单位：无.............................................................................................................................. 5表3 :单品种对冲A500策略效果|单位：无.................................................................................................................................6表4 :回归结果|单位：无................................................................................................................................................................6表5 :多品种组合对冲A500策略效果|单位：无.......................................................................................................................... 7表6 :单因子风格轮动A500对冲策略效果|单位：无.................................................................................................................8表7 :风格轮动A500对冲策略效果对比|单位：无.....................................................................................................................9表8 :风格轮动、多品种组合A500对冲策略优化效果|单位：无...........................................................................................10 风格轮动下的 A500 对冲策略 中证 A500 指数自 2024 年 9 月正式发布以来便受到了市场的高度关注。与现有的主要以规模挑选成分股的四大宽基指数不同的是，中证 A500 指数增添了行业划分，从各个行业中选取规模较大、流动性较好的股票作组成指数