上海研究中心-国债期货套保日报

2015-1-6星期二当前CTDTF1503转换因子最后交易日久期140024.IB1.04112015-3-205.74证券代码证券简称剩余年限（距TF1503到期）到期收益率全价(中证估价）久期收益率β（动态）对冲比例（每百万现券卖出期货手数）080003.IB08国债033.003.39103.253.01-0.06-0.03080010.IB08国债103.263.44103.193.25-0.61-0.37130023.IB13附息国债233.643.58103.063.610.590.39140008.IB14附息国债084.103.45105.143.930.410.29130015.IB13附息国债155.323.60100.515.040.080.07130020.IB13附息国债205.583.58103.395.24-0.03-0.02140003.IB14附息国债035.833.57108.655.230.390.37140006.IB14附息国债066.043.54107.755.450.800.79110015.IB11附息国债156.253.56102.475.750.630.67140013.IB14附息国债136.293.65104.465.740.520.54140024.IB14附息国债246.603.60101.376.101.001.10130018.IB13附息国债188.433.64104.567.280.490.65140005.IB14附息国债059.013.79107.427.620.310.44140012.IB14附息国债129.263.66103.137.981.001.47等权重组合5.370.390.46套保方法说明：用收益率β调整后的DV01方法计算套保比例。每日用前20个交易日的数据对收益率β进行滚动估计，并动态调整对冲比例。现券动态套保比例（2-10年期银行间活跃国债）每日现券价格变动对冲效果上海研究中心-国债期货套保日报日度报告金融·国债期货中国国际期货•研发产品系列制表：郭佩洁 数据来源：WindCTD券说明-0.4-0.200.20.40.62014-08-052014-08-132014-08-212014-08-292014-09-062014-09-142014-09-222014-09-302014-10-082014-10-162014-10-242014-11-012014-11-092014-11-172014-11-252014-12-032014-12-112014-12-192014-12-272015-01-04080003.IB -1.5-1-0.500.512014-08-052014-08-132014-08-212014-08-292014-09-062014-09-142014-09-222014-09-302014-10-082014-10-162014-10-242014-11-012014-11-092014-11-172014-11-252014-12-032014-12-112014-12-192014-12-272015-01-04080010.IB -1-0.500.512014-08-052014-08-132014-08-212014-08-292014-09-062014-09-142014-09-222014-09-302014-10-082014-10-162014-10-242014-11-012014-11-092014-11-172014-11-252014-12-032014-12-112014-12-192014-12-272015-01-04130023.IB -10-50510152014-08-052014-08-132014-08-212014-08-292014-09-062014-09-142014-09-222014-09-302014-10-082014-10-162014-10-242014-11-012014-11-092014-11-172014-11-252014-12-032014-12-112014-12-192014-12-272015-01-04全部样本券组合（等权重） 每日对冲效果（续）-1.5-1-0.500.511.52014-08-052014-08-132014-08-212014-08-292014-09-062014-09-142014-09-222014-09-302014-10-082014-10-162014-10-242014-11-012014-11-092014-11-172014-11-252014-12-032014-12-112014-12-192014-12-272015-01-04130015.IB -1-0.500.512014-08-052014-08-132014-08-212014-08-292014-09-062014-09-142014-09-222014-09-302014-10-082014-10-162014-10-242014-11-012014-11-092014-11-172014-11-252014-12-032014-12-112014-12-192014-12-272015-01-04130020.IB -1-0.500.512014-08-052014-08-132014-08-212014-08-292014-09-062014-09-142014-09-222014-09-302014-10-082014-10-162014-10-242014-11-012014-11-092014-11-172014-11-252014-12-032014-12-112014-12-192014-12-272015-01-04140008.IB -1-0.500.512014-08-052014-08-132014-08-212014-08-292014-09-062014-09-142014-09-222014-09-302014-10-082014-10-162014-10-242014-11-012014-11-092014-11-172014-11-252014-12-032014-12-112014-12-192014-12-272015-01-04140003.IB -1-0.500.511.52014-08-052014-08-132014-08-212014-08-292014-09-062014-09-142014-09-222014-09-302014-10-082014-10-162014-10-242014-11-012014-11-092014-11-172014-11-252014-12-032014-12-112014-12-192014-12-272015-01-04140006.IB -1.5-1-0.500.511.52014-08-052014-08-132014-08-212014-08-292014-09-062014-09-142014-09-222014-09-302014-10-082014-10-162014-10-242014-11-012014-11-092014-11-172014-11-252014-12-032014-12-112014-12-192014-12-272015-01-04110005.IB -1.5-1-0.500.512014-08-052014-08-132014-08-212014-08-292014-09-062014-09-142014-09-222014-09-302014-10-082014-10-162014-10-242014-11-012014-11-092014-11-172014-11-252014-12-032014-12-112014-12-192014-12-272015-01-04140013.IB -1-0.500.512014-10-302014-11-062014-11-132014-11-202014-11-272014-12-042014-12-112014-12-182014-12-252015-01-01140024.IB 每日对冲效果（续）中国国际期货·上海研究中心分析师承诺本人(或研究团队)以勤勉的职业态度，独立、客观地出具本报告。本报告清晰准确地反映了本人(或研究团队)的研究观点。本人(或研究团队)不曾因，不因，也将不会因本报告中的具体推荐意见或观点而直接或间接接收到任何形式的报酬。免责声明客户不应视本报告为作出投资决策的惟一因素。本报告中所指的投资及服务可能不适合个别客户，不构成客户私人咨询建议。本公司未确保本报告充分考虑到个别客户特殊的投资目标、财务状况或需要。本公司建议客户应考虑本报告的任何意见或建议是否符合其特定状况，以及（若有必要）咨询独立投资顾问。在任何情况下，本报告中的信息或所表述的意见均代表撰写人个人意见或观点，不代表公司观点，也不构成对任何人的投资建议。在任何情况下，本公司不对任何人因使用本报告中的任何内容所引致的任何损失负任何责任。若本报告的接收人非本公司的客户，应在基于本报告作出任何投资决定或就本报告要求任何解释前咨询独立投资顾问。-2-10122014-08-052014-08-132014-08-212014-08-292014-09-062014-09-142014-09-222014-09-302014-10-082014-10-162014-10-242014-11-012014-11-092014-11-172014-11-252014-12-032014-12-112014-12-192014-12-272015-01-04130018.IB -1.5-1-0.500.511.522014-08-052014-08-132014-08-212014-08-292014-09-062014-09-142014-09-222014-09-302014-10-082014-10-162014-10-242014-11-012014-11-092014-11-172014-11-252014-12-032014-12-112014-12-192014-12-272015-01-04140005.IB 0.0000.2000.4000.6000.8001.0002014-08-052014-08-132014-08-212014-08-292014-09-062014-09-142014-09-222014-09-302014-10-082014-10-162014-10-242014-11-012014-11-092014-11-172014-11-252014-12-032014-12-112014-12-192014-12-272015-01-04现券价格对期货价格变动的弹性 （20天滚动） 140013.IB140024.IB-1.5-1-0.500.511.522014-08-052014-08-132014-08-212014-08-292014-09-062014-09-142014-09-222014-09-302014-10-082014-10-162014-10-242014-11-012014-11-092014-11-172014-11-252014-12-032014-12-112014-12-192014-12-272015-01-04140005.IB 00.20.40.60.812014-08-052014-08-192014-09-022014-09-162014-09-302014-10-142014-10-282014-11-112014-11-252014-12-092014-12-