用隔夜交易策略增强指数增强-

资料来源：Wind，本文构建了预测隔夜收益率的复合因子，据此设计的隔夜交易策略有稳健超额收益率，能对已有的指数增强策略•在复制指数的基础上加入隔夜交易策略，在不同指数上可获•将现有指数增强模型叠加隔夜交易策略，超额收益率能够进一步提高2%-5%。•考虑各种交易条件后，策略的超额收益率仍然稳健。 03被动指数增强策略 资料来源：Wind，•由于T+1交易机制，昨天收盘买入较今天开盘买入多了一个今天可以卖出的权力。•得到这个权力必须付出成本，因此昨收就必须高于今开，这就造成了隔夜的负收益率。41.17%40.25%876543210资料来源：Wind，volumeshockt=−1•其中，volumet是股票在t日的成交量，EMAvolumet是过去一段时间成交量的指数移动平均值（EMA）。使用过去120个交易日，半衰期60来计算EMA。•因子的回测效果较好，RankIC为-0.116，成交量冲击越大，隔夜收益率越低，主要贡献在空头组合。D10D10-D1D10-AVGRankIC收益率-63.01%5.37%182.68%-12.70%20.68%-0.116波动率11.55%10.49%6.94%10.19%2.89%0.076夏普比率-5.460.5126.31-1.257.15-1.516最大回撤99.90%27.67%12.67%61.89%4.91%2019-64.51%16.41%224.79%-6.89%24.91%-0.1292020-66.01%-7.57%170.28%-21.64%18.15%-0.1092021-55.47%8.58%142.23%-14.52%26.93%-0.1012022-66.47%6.87%215.95%-15.86%26.95%-0.1152023-54.00%9.98%138.08%-4.42%15.04%-0.1012024-72.01%13.12%298.94%-9.23%24.51%-0.1462025-55.13%-7.60%104.80%-14.02%7.53%-0.1092019/1/22020/1/22021/1/22022/资料来源：Wind，D10D10-D1D10-AVGRankIC收益率-10.92%-10.00%0.83%-12.70%3.00%-0.011波动率10.33%9.70%5.29%10.19%3.06%0.089夏普比率-1.06-1.030.16-1.250.98-0.127最大回撤57.40%64.15%39.48%61.89%23.67%20191.45%-8.57%-10.10%-6.89%-1.90%0.0232020-10.53%-35.65%-28.27%-21.64%-17.96%0.0372021-15.68%-13.82%1.90%-14.52%0.75%-0.0002022-23.03%-6.90%20.63%-15.86%10.55%-0.0392023-4.71%4.38%9.37%-4.42%9.14%-0.0382024-8.00%-7.47%0.55%-9.23%1.83%-0.0252025-12.84%5.98%21.44%-14.02%23.12%-0.0412019/1/22020/1/22021/1/22022/1/2资料来源：Wind，D10D10-D1D10-AVGRankIC收益率-11.94%-54.49%-48.59%-12.70%-47.81%-0.030波动率12.98%11.79%9.54%10.19%4.72%0.113夏普比率-0.92-4.62-5.1-1.25-10.13-0.263最大回撤69.23%99.56%98.99%61.89%98.89%2019-8.87%-54.48%-50.27%-6.89%-51.04%-0.04820205.33%-67.20%-68.88%-21.64%-57.95%-0.01620215.16%-54.15%-56.52%-14.52%-46.30%-0.0152022-18.48%-54.12%-43.82%-15.86%-45.38%-0.0352023-29.21%-33.45%-6.09%-4.42%-30.32%-0.0642024-13.89%-61.53%-56.51%-9.23%-57.81%-0.0032025-17.12%-45.79%-34.56%-14.02%-36.75%-0.0282019/1/22020/1/22021/1/22022/1/22023/1/2D1D2D3一D4D5D6D7一D8D9D10资料来源：Wind，D10D10-D1D10-AVGRankIC收益率-25.33%-44.31%-25.74%-12.70%-36.14%-0.056波动率12.64%11.52%8.51%10.19%4.07%0.105夏普比率-2.00-3.85-3.03-1.25-8.88-0.531最大回撤88.06%98.25%87.19%61.89%95.53%2019-22.96%-42.38%-25.45%-6.89%-38.04%-0.0802020-18.09%-58.13%-48.79%-21.64%-46.35%-0.0462021-14.47%-45.93%-36.91%-14.52%-36.70%-0.0342022-29.69%-45.90%-23.18%-15.86%-35.62%-0.0592023-34.80%-22.08%19.30%-4.42%-18.43%-0.0892024-27.58%-46.46%-27.77%-9.23%-41.24%-0.0352025-25.74%-40.33%-19.63%-14.02%-30.40%-0.0442019/1/22020/1/22021/1/22022/1/220232019/1/22020/1/22021/1/22022/1/22023/1D10D10-D1D10-AVGRankIC收益率-61.57%-2.35%150.67%-12.70%11.55%-0.121波动率13.92%7.90%8.47%10.19%3.68%0.116夏普比率-4.42-0.3-1.253.14-1.050最大回撤99.87%27.72%12.24%61.89%4.95%2019-94.49%-2.06%92.43%-13.06%11.00%2020-61.59%1.28%160.43%-6.89%8.53%-0.1302021-66.23%-13.89%151.08%-21.64%9.43%-0.1042022-58.07%4.07%146.11%-14.52%21.61%-0.1232023-62.76%-2.20%160.35%-15.86%16.09%-0.1202024-56.53%6.38%143.24%-4.42%11.24%-0.1272025-65.70%-4.31%170.50%-9.23%4.69%-0.123•成交额越高，隔夜收益率越低，主要2019/1/22020/1/22021/1/22022/1/22023/1D10D10-D1D10-AVGRankIC收益率-46.26%6.96%97.44%-12.70%22.30%-0.107波动率12.55%8.86%6.94%10.19%2.93%0.132夏普比率-3.690.79-1.257.6-0.809最大回撤98.63%24.54%4.37%61.89%5.59%2019-61.24%7.12%68.36%-13.06%20.18%2020-39.31%5.85%72.83%-6.89%13.41%-0.0692021-42.00%-21.40%34.21%-21.64%-0.01%-0.0432022-37.14%4.55%65.14%-14.52%22.17%-0.0852023-55.50%14.16%154.40%-15.86%35.46%-0.1352024-46.62%22.13%127.46%-4.42%27.68%-0.1482025-52.39%17.89%145.95%-9.23%29.70%-0.140 03被动指数增强策略 •成交量冲击因子与三者的相关系数分别为0.23、0.54、0.33。•相较部分单因子的回测结果，D10组的表D10D10-D1D10-AVGRankIC收益率-43.85%-14.64%50.93%-12.70%-2.24%-0.112波动率12.92%10.57%8.66%10.19%3.55%0.103夏普比率-3.39-1.395.88-1.25-0.63-1.087最大回撤98.17%66.49%18.19%61.89%18.77%2019-45.04%-5.72%70.31%-6.89%1.25%-0.1372020-37.34%-27.70%15.10%-21.64%-7.54%-0.0972021-32.08%-16.35%22.66%-14.52%-2.16%-0.0922022-48.11%-12.09%68.62%-15.86%4.50%-0.1142023-46.33%3.93%93.04%-4.42%8.77%-0.1342024-52.15%-20.47%61.91%-9.23%-12.81%-0.1072025-40.37%-19.13%35.36%-14.02%-5.75%-0.1012019/1/22020/1/22021/1/22022/1/22023/12.由于日度IC的正负方向变化较快，权重D10D10-D1D10-AVGRankIC收益率-63.77%24.15%238.98%-12.70%42.17%-0.169波动率11.69%11.02%9.62%10.19%4.06%0.109夏普比率-5.462.1924.85-1.25-1.542最大回撤99.91%18.22%13.48%61.89%1.57%2019-62.41%25.56%229.92%-6.89%34.61%-0.1672020-63.47%13.62%206.73%-21.64%44.71%-0.1462021-54.97%15.53%154.36%-14.52%35.01%-0.1312022-66.07%18.52%245.57%-15.86%40.68%-0.1702023-55.34%29.36%187.86%-4.42%35.31%-0.1842024-77.30%54.55%575.03%-9.23%71.34%-0.2062025-57.55%14.05%164.97%-14.02%32.32%-0.1772019/1/22020/1/22021/1/22.IC的正负方向变化较快，权重为IC除以IC绝对值之和：weightD10D10-D1D10-AVGRankIC收益率-42.97%26.46%120.15%-8.89%38.92%-0.147波动率11.84%12.70%11.04%10.09%5.82%0.162夏普比率-3.632.08-0.886.69-0.907最大回撤97.95%19.83%12.50%53.17%1.65%2019-38.99%43.50%133.24%4.24%37.62%-0.1372020-36.62%25.89%97.00%-10.95%41.39%-0.1182021-44.69%19.07%113.24%-14.97%39.88%-0.1172022-51.19%10.76%125.19%-21.04%40.09%-0.1592023-33.67%22.65%84.42%-0.82%23.72%-0.1612024-48.80%44.09%181.94%-7.20%56.78%-0.1792025-41.62%20.10%102.68%-8.36%30.89%-0.159D10D10-D1D10-AVGRankIC收益率-42.50%23.81%113.80%-6.64%32.71%-0.152波动率11.67%12.10%10.53%9.95%5.15%0.146夏普比率-3.64-0.676.35-1.040最大回撤97.82%18.92%14.29%44.65%2.15%2019-42.32%31.27%125.54%-2.94%35.12%-0.1512020-31.23%18.26%70.38%-9.76%31.14%-0.1292021-42.99%18.40%105.73%-9.15%30.23%-0.1192022-51.37%14.77%134.14%-13.96%33.25%-0.1662023-34.31%20.91%83.36%0.09%20.79%-0.1622024-49.27%49.90%196.17%0.09%51.13%-0.1732025-40.20%14.30%88.95%-9.27%25.74%-0.164D10D10-D1D10-AVGRankIC收益率D10D10-D1D10-AVGRankIC收益率-53.37%19.62%154.14%-10.24%33.26%-0.161波动率12.33%11.62%10.36%10.53%4.36%0.127夏普比率-4.33-0.977.64-1.266最大回撤99.49%19.79%15.29%55.57%1.64%2019-60.87%22.73%209.37%-8.61%34.00%-0.1742020-54.60%7.45%133.69%-19.53%33.41%-0.1392021-44.41%11.95%99.75%-11.96%27.03%-0.1242022-59.16%15.21%179.57%-13.98%33.75%-0.1682023-40.55%27.25%113.10%-2.17%30.08%-0.1722024-60.61%49.31%278.28%-0.62%51.41%-0.1742025-45.47%6.62%92.56%-12.44%21.39%-0.176•在中证1000和中证2000股池中，合成因子的Rank-14.86%10.57%-1.4167.68%-8.86%-14.86%10.57%-1.4167.68%-8.86%-27.71%-15.23%-12.82%-4.77%-12.40%-18.93%D10-AVGD1024.07%10.89%2.2121.93%27.25%1.13%16.63%29.34%35.63%46.96%14.55%D10-D1365.98%9.37%39.064.59%337.85%364.05%231.10%382.62%306.60%809.83%243.11%RankIC-0.1970.109-1.815-0.198-0.175-0.165-0.190-0.211-0.236-0.204-73.80%13.32%-5.5499.99%-71.44%-78.64%-65.20%-73.63%-66.98%-84.12%-67.21%收益率波动率收益率波动率夏普比率最大回撤20192020202120222023202420253.65%1.59%39.31%39.60%37.45%48.18%42.39%68.57% 03被动指数增强策略 •假定已持有指数成分股；•在每个交易日收盘时，计算当日合成因子；•选择当日因子值最大的10%且当日收益率为负的股•将指数成分股中的这些股票卖出，并于次日开盘买•考虑双边0.2%的费率；•T+1限制：当天开盘买入的股票，收盘时不能卖出。•年化超额收益率为4.66%，跟踪误差为1.17%，超45.60%44.71%43.20%•假定已持有指数成分股；•在每个交易日收盘时，计算当日合成因子；•选择当日因子值最大的10%且当日收益率为负的股•将指数成分股中的这些股票卖出，并于次日开盘买•考虑双边0.2%的费率；•T+1限制：当天开盘买入的股票，收盘时不能卖出。•年化超额收益率为4.43%，跟踪误差为1.19%，超41.81%资料来源：Wind，•假定已持有指数成分股；•在每个交易日收盘时，计算当日合成因子；•选择当日因子值最大的10%且当日收益率为负的股•将指数成分股中的这些股票卖出，并于次日开盘买•考虑双边0.2%的费率；•T+1限制：当天开盘买入的股票，收盘时不能卖出。•年化超额收益率为4.93%，跟踪误差为1.16%，超41.67%43.39%46.71%资料来源：Wind，•假定已持有指数成分股；•在每个交易日收盘时，计算当日合成因子；•选择当日因子值最大的10%且当日收益率为负的股•将指数成分股中的这些股票卖出，并于次日开盘买•考虑双边0.3%的费率；•T+1限制：当天开盘买入的股票，收盘时不能卖出。•年化超额收益率为7.97%，跟踪误差为1.22%，超40.70% 03被动指数增强策略 资料来源：Wind，•在每个交易日收盘时，计算当日合成因子；•选择当日因子值最大的10%且当日收益率为负的股票，将这些股票卖出；•选择当日因子值最小的10只的股票，卖出所得钱买入这些股票；•次日开盘，做反向交易，恢复原始仓位；•原增强策略调仓的当日和前一日不交易；•考虑双边0.2%的费率，并有T+1限制，当天开盘买入的股票，收盘时不能卖出。•相较原来的严约束和宽约束指增策略，分•跟踪误差没有明显放大。•原增强策略调仓的当日和前一日如果能交45.60%40.13%41.42%47.81%资料来源：Wind，•在每个交易日收盘时，计算当日合成因子；•选择当日因子值最大的10%且当日收益率为负的股票，将这些股票卖出；•选择当日因子值最小的10只的股票，卖出所得钱买入这些股票；•次日开盘，做反向交易，恢复原始仓位；•原增强策略调仓的当日和前一日不交易；•考虑双边0.2%的费率，并有T+1限制，当天开盘买入的股票，收盘时不能卖出。•相较原来的严约束和宽约束指增策略，分•跟踪误差没有明显放大。•原增强策略调仓的当日和前一日如果能交41.81%49.60%资料来源：Wind，•在每个交易日收盘时，计算当日合成因子；•选择当日因子值最大的10%且当日收益率为负的股票，将这些股票卖出；•选择当日因子值最小的10只的股票，卖出所得钱买入这些股票；•次日开盘，做反向交易，恢复原始仓位；•原增强策略调仓的当日和前一日不交易；•考虑双边0.2%的费率，并有T+1限制，当天开盘买入的股票，收盘时不能卖出。•相较原来的严约束和宽约束指增策略，分•跟踪误差没有明显放大。•原增强策略调仓的当日和前一日如果能交46.71%43.09%资料来源：Wind，