国泰君安-重视仓位控制及方向判断多因子出发力争获取超额收益_W

1、国泰君安股指期货研究中心国泰君安GUOTAI JUNAN STOGUOTAI JUNAN STOCK INDEX FUTURES RESEARCH CENTRE国泰君安研究股指期货研究中心CK INDEX FUTURES RESEARCH CENTRE期货研究2012.07.23近期报告：股指套利日报20120717 股指期货套利日报重视仓位控制及方向判断，多因子出发力争获取超额收益20120718 股指期货套利日报20120719 股指期货套利日报!来唐福全联系人:王玥指期货W20120720 股指期货套利日报 【基差分析

2、】300ETF 交投规模达到 6.3 亿，沪市方案超額收益优势明显，深市方案走势弱于标的指数，深市方案跟踪偏离度较小。Alpha 方案，关注地产板块的强劲及金融板块的萎靡表现。利率市场化改革，压制了银行板块的上行区间，预期该板块的颓势将持续。日内主力合约基差先后经历 14、16 点的运行格局。现货收盘时， 期现主力基差为 15 点，较日内主力基差均值上扬 2 点。期指远端合约基差走高，季二合约的日内基差均值为 83.9 点。建议在流动性改善的情况下，适当加大远端合约套利头寸的布局力度。价差层面，下月-当月价差运行区间进一步上行，执行价差交易过程中，可适当转换为牛市价差思路。量化加权指示信号开始

3、指向看空操作，但长时间的看多操作尚待更多信号的支持。期指总持仓量有所松动，这一迹象也反馈出市场的拐点或将临近。随着量化技术的不断加深与拓宽，综合考虑内部及外部因子时，比如密切关注供给、需求、政策、反周期、经济周期等因子来供方向抉择必不可少。在方向判断后，辅助仓位控制也是整个策略获胜的关键。量化策略的设计时，关注的层面及角度的丰富化，有利于捕捉到尽可能多的收益机会。图 1 沪深 300 股指期货 IF1208 合约期现基差图 2 沪深 300 股指期货 IF1209 合约期现基差21333128262321181916141196资料来源：彭博、国泰君安期货研究所资料来源：彭博、国泰君安期货研究

4、所图 3 沪深 300 股指期货 IF1212 合约期现基差图 4 沪深 300 股指期货 IF1303 合约期现基差9491625988568582797653504744资料来源：彭博、国泰君安期货研究所资料来源：彭博、国泰君安期货研究所请务必阅读正文之后的免责条款部分第 1 页 共 10 页9:309:309:509:5010:1010:1010:3010:3010:5010:5011:1011:1011:3011:3013:1913:1913:3913:3913:5913:5914:1914:1914:3914:3914:5914:599:309:309:509:5010:1010:1

5、010:3010:3010:5010:5011:1011:1011:3011:3013:1913:1913:3913:3913:5913:5914:1914:1914:3914:3914:5914:59股指期货研究中心TOCK INDEX FUTURES RESEARCH CENTRE国泰君安GUOTAI JUNAN S国泰君安研究图 5 沪深 300 股指期货波动率（GARCH（1，1）模型）图 6 基差、价差、主力 1 分钟波动率（滚动时间窗 20 分钟）1日波动率30分钟波动率主力合约价格基差下月与当月价差0.0180.00080.0160.00070.00060.0130.00050.

6、0110.00040.0080.00030.0060.00020.003资料来源：彭博、国泰君安期货研究所资料来源：彭博、国泰君安期货研究所日内量化加权指示信号（其余还包括短时日间、长时日间、短时日内）仅仅提供隔日收盘价对开盘价的变动预期，并不能保证预测效果能持续准确，只能将其视为较长时间范围的一个累积收益为正数的判断因子。隔夜外盘、政策等冲击较大发生时，需要根据最新信息，于早盘前调整修正该信号。期现套利主力合约介入基差区间在-10-14 点区间外，价差交易介入区间在 9 至 13 点区间外。关注期指排列格局的运行重心上移，预期错配及杂乱将会间歇出现。【期指数据】主力跌 1.0%， 期指总成交

7、量降 17.8%，单边总成交额与总持仓变动-19.1% 与-0.4%。成交量上， IF1209-IF1303 合约分别变动-97.6%、-82.6%与-79.6%。期指总体成交持仓比 4.00。前 20 名会员净持仓-8917 手，比上一交易日比，变动 1 手，多空持仓变动方向迥异，多头持仓增幅较大。近端合约基差波动区间分别为在 7.77 至 20.29 与 19.37 至 31.89 之间。IF1208 合约基差 90%时间在 9.98 点上方运行。当月合约及现货年化波动率分别是 85.00%及 63.36%。下月-当月价差均值为 11.10 点。现货收盘时，当月与下月合约基差率分别是 0.

8、65%及 1.05%，季二合约日内基差均值 83.90 点。沪深 300 指数成交额降低 9.6%，五个ETF 总成交额较上一交易日降低 18.4%，上证300ETF、深证300ETF、上证 50ETF、180ETF 和深证 100ETF 成交额较前一交易日分别变动-32.42%、-19.67%、-16.02%、17.86%与-19.67%。执行正向套利操作时，最优 ETF 配置方案为 300ETF 配合 180、100、深成或 180、100 组合。跟踪偏离度达到 100BP 的 ETF 组合为 3 个。构建反向套利头寸时，可选择跟踪偏离度最小的方案。沪深上市交易的 ETF 品种有 26 只

9、，深市 17 只，最近上市的 ETF 品种为开放交易的为 300ETF。高 Alpha值的 ETF 品种为深红利，高 Beta 值的 ETF 品种为红利。按行业分类，Alpha 值居前的行业有 399909，Beta值居前的行业有 399914。请务必阅读正文之后的免责条款部分第 2 页 共 10 页9:309:4510:0010:1510:3010:4511:0011:1511:3013:1413:2913:4413:5914:1414:2914:44121416181101121141161181201221241股指期货研究中心TOCK INDEX FUTURES RESEARCH CE

10、NTRE国泰君安GUOTAI JUNAN S国泰君安研究表 1ETF 组合与沪深 300 指数跟踪误差测算（2011-7-1 至当日）0.16390.39750.10480.15250.18120.99340.00120.00620.34960.00000.21130.21730.22190.98300.0014-0.00020.20910.44030.18390.16670.00000.97740.00120.00000.26970.43810.00000.29230.00000.98540.00130.00820.40950.00000.18410.40640.00000.97680.00

11、140.00030.00000.54720.16860.28420.00000.99490.00130.00790.55360.00000.00000.31610.13030.97790.00150.00380.00000.00000.46750.20560.32700.97940.0017-0.00060.00000.74210.00000.25790.00000.99010.00140.01370.54490.00000.00000.00000.45510.98200.00170.00190.00000.00000.47120.00000.52880.97940.0018-0.0022资料

12、来源：国泰君安期货研究所表 2ETF 交投及沪深 300 指数行情当日统计沪市 3002.403-1.23%185,688,542-31.30%445,845,200-32.42%上证 500.584-1.52%501,069,376-14.31%293,233,100-16.02%深证 1800.902-1.42%164,667,345-18.32%148,704,200-19.67%2365.43-1.38%32,390,369-13.90%33,178,928,582-9.55%沪深 300 指数资料来源：国泰君安期货研究所表 3 成份股按行业划分的 Alpha 值、Beta 值统计（2

13、011-11-1 至当日）39991437.470.00231.35243999087.30-0.00211.123439990912.910.00260.97583999172.560.00000.83003999117.950.00140.72383999161.490.00000.0000资料来源：国泰君安期货研究所请务必阅读正文之后的免责条款部分第 3 页 共 10 页3999088.99-0.00040.04053999151.700.00241.297139991014.720.0000192-0.00221.1385代码权重AlphaBeta代码权重Al

14、phaBeta总计-1,350,577,589-16.85%1,381,020,700-18.38%上证 1001.664-1.71%204,295,17319.91%340,871,90017.86%深市 3000.902-1.42%164,667,345-18.32%148,704,200-19.67%ETF 与指数收盘价涨跌成交量变动成交额变动0.00000.69570.00000.00000.30430.99140.00130.01250.00000.00000.51460.48540.00000.97090.0019-0.00100.58040.00000.00000.41960.0

15、0000.97230.00160.00350.00000.68980.00000.06460.24570.99160.00130.01310.00000.52910.14850.00000.32240.99560.00120.00720.32040.00000.23430.00000.44530.98430.0016-0.00190.17130.52150.00000.00000.30710.99310.00120.00860.22010.38810.09160.00000.30020.99060.00120.00390.00000.50620.16130.16770.16490.99640.

16、00120.00800.22430.45350.00000.15460.16760.99130.00120.0086ETF 组合（按照最优规划求解）相关系数跟踪误差跟踪偏离度上证 50上证 180上证红利深证 100深成 ETF股指期货研究中心TOCK INDEX FUTURES RESEARCH CENTRE国泰君安GUOTAI JUNAN S国泰君安研究表 4沪深两地 ETF 基金 Alpha 值、Beta 值统计（2011-11-24 至当日，11.24 深 300ETF 开放交易）1599010.00081.23275100900.00000.0000深 100责任1599030.00

17、091.1225510120-0.00110.6663深成非周159906深成长0.00221.2589510150消费0.00140.8814159908深 F2000.00031.4000510170商品0.00171.2027159910深 F120-0.00071.0094510190龙头-0.00300.73361599120.0005100101.1788深 300中小1599150.00011.3301510260-0.00101.0852创业板新兴159917中小成长0.00011.0615510280成长-0.00140.8647159919300E

18、TF-0.00010.84905103003000.00010.6850510020超大-0.00060.8624510420N180E-0.00151.129651005050-0.00050.7833510070民企-0.00100.9113资料来源：国泰君安期货研究所表 5沪深 300 指数成份股权重分布（当日）中国平安3.17三一重工0.74宝钢股份0.46南方航空0.33招商银行2.53长江电力0.68云南白药0.44招商地产0.332.040.650.430.33交通银行中国石油天然气中国重工西部矿业万科1.88苏宁电器0.63东阿阿胶0.43京东方0.33浦发银行1.76紫金矿业

19、0.62双汇发展0.40国电南瑞0.32中国神华1.53海螺水泥0.60恒瑞医药0.39长江证券0.31五粮液1.43广汇能源0.58中国银行0.38烟台万华0.311.220.570.380.29工商银行广发证券阳泉煤业中煤能源中国建筑1.02金地集团0.56青岛海尔0.38复星医药0.28洋河股份0.96康美药业0.50中国铝业0.37铜陵有色0.28请务必阅读正文之后的免责条款部分第 4 页 共 10 页保利地产1.01中国石化0.54华泰证券0.37中国中铁0.28包钢稀土1.20招商证券0.56潍柴动力0.38上海家化0.29农业银行1.31上汽集团0.58江西铜业0.38中国铁建0

20、.30中国太保1.51泸州老窖0.60光大证券0.39天士力0.31海通证券1.68华夏银行0.61潞安环能0.40中国南车0.32中信证券1.79中国人寿0.62广东美的0.41中国北车0.32兴业银行1.91伊利股份0.65中金黄金0.43中国水电0.33贵州茅台2.13中国联通0.66辽宁成大0.43徐工机械0.33民生银行2.78光大银行0.70国电电力0.45兴业证券0.33股票权重股票权重股票权重股票权重510060央企-0.00060.6529510030价值-0.00060.8155510880红利0.00031.2760510010治理-0.00150.5004510410资

21、源-0.00050.8532159918中创 4000.00011.24115102903800.00011.0538159916深 F600.00000.0000510270国企0.00000.0000159913深价值-0.00240.4624510230金融-0.00040.8647159911民营-0.00071.1057510210综指-0.00080.5064159909深 TMT-0.00041.1623510180180-0.00020.8315159907中小 300-0.00130.8892510160小康0.00000.8196159905深红利0.00141.05955

22、10130中盘0.00050.9467159902中小板-0.00071.0872510110周期0.00000.0000代码简称AlphaBeta代码简称AlphaBeta股指期货研究中心TOCK INDEX FUTURES RESEARCH CENTRE国泰君安GUOTAI JUNAN S国泰君安研究0.840.480.350.27中联重科山东黄金攀钢钒钛葛洲坝深发展0.80中兴通讯0.48金融街0.35同方股份0.26大秦铁路0.76盐湖股份0.46中国国航0.33申能股份0.2641.2552.3260.3766.87前 30 名前 50 名前 70 名前 90 名前 40 名47.3

23、0前 60 名56.60前 80 名63.74前 100 名69.60资料来源：国泰君安期货研究所表 6沪深 300 指数成份股中 Alpha、Beta 值居前与居后的 58 只股票统计（最近 16 个交易日）0009610.014600779-0.0146003522.609601888-0.9376003310.011600481-0.0106001182.439002122-0.3180001570.010600161-0.0106013772.266600779-0.0076010090.008601299-0.0090008072.1800021420.0406007390.0086

24、01233-0.0086002522.1366019190.0556008320.008601101-0.0086000282.0916005470.0746002190.007600160-0.0070020072.0596003950.1096008630.007600372-0.0066004892.0336012330.1346012160.007000063-0.0060009372.0036002660.1670009370.006600062-0.0066001961.9960024050.1906002080.006601398-0.0060001571.9796004150.

25、2456008870.006601318-0.0066005881.9490000600.2806010060.006600029-0.0066003481.9440009330.3266000500.006600804-0.0050009991.9406019920.3406005460.006601168-0.0050024981.9176004320.3600000390.005600369-0.0050009611.9036000100.3836019980.005600535-0.0056003091.8910005270.404请务必阅读正文之后的免责条款部分第 5 页 共 10

26、页0008250.005601179-0.0056005491.8856009000.4140024050.005600655-0.0056001511.8996003760.3836000300.005601519-0.0056001111.9120007760.3776000960.006601618-0.0050000241.9290007280.3416009970.006600169-0.0050000631.9426007390.3360024310.006600582-0.0066002761.9476000300.3246016070.006000878-0.006600320

27、1.9736008590.2536010180.006600352-0.0060005811.9916005830.1956001880.007601111-0.0060008581.9996000370.1796004150.007000338-0.0066009992.0086004560.1596001180.007600348-0.0076007952.0400020010.1190004010.007002310-0.0080022992.0750007580.0906001110.008000686-0.0080021062.0976016660.0656007950.008000

28、625-0.0086005982.1516011790.0426001960.009601958-0.0096005282.2020000270.0006005160.010000024-0.0100005592.345000338-0.1986005980.014002498-0.0116011662.572601628-0.458代码Alpha代码Alpha代码Beta代码Beta前 35 名44.36前 55 名54.53前 75 名62.09前 95 名68.28前 25 名37.81前 45 名49.95前 65 名58.53前 85 名65.35建设银行0.80国际0.47TCL

29、集团0.34包钢股份0.26北京银行0.81华侨城0.48特变电工0.35青岛啤酒0.27格力电器0.95煤电0.49南京银行0.35兰花科创0.28股指期货研究中心TOCK INDEX FUTURES RESEARCH CENTRE国泰君安GUOTAI JUNAN S国泰君安研究6019890.005601857-0.0050024221.8756016000.4146011690.005600036-0.0056001771.8236008320.4426016990.005600649-0.0040005681.8050025940.4496000080.005600600-0.0046

30、001091.7846019980.4560024930.005600971-0.0040000391.7726017660.4816013900.005600005-0.0046018661.7696000620.4820006300.004600664-0.0046001251.7230006290.5070022990.004601600-0.0040005381.6946011110.5306013280.004600058-0.0046015191.6876012880.5680020240.004000898-0.0046016011.6770009830.5926002590.0

31、04002202-0.0036019891.6510023040.5966001040.004000100-0.0030025001.6516008120.625资料来源：国泰君安期货研究所表 7沪深 300 指数成份股 Alpha、Beta 值统计（最近 16 个交易日）0009690.0010.9036016680.0011.2596017180.0001.5440000010.0021.099601111-0.0060.530000002-0.0010.7686008810.0041.3510000270.0000.000601600-0.0040.4146009000.0030.414

32、6004320.0010.3600000210.0001.5356005850.0040.666000625-0.0080.6036003800.0021.2910000600.0000.2806004180.0031.7090023780.0021.4966005180.0001.475600481-0.0101.0086019880.0011.0666000300.0050.3246005190.0000.753600674-0.0010.6546010090.0081.3196004150.0070.245000059-0.0011.459002422-0.0011.8756005500

33、.0031.4050000120.0021.2470005680.0011.8056005000.0010.4816000190.0021.0236010060.0061.137600873-0.0021.310600970-0.0031.5206000080.0050.909601991-0.0020.765601618-0.0050.851600369-0.0051.312请务必阅读正文之后的免责条款部分第 6 页 共 10 页6003760.0020.3836010010.0041.118600058-0.0041.3100020240.0041.289601992-0.0020.340

34、6006940.0011.407002073-0.0010.7646015580.0021.599600456-0.0030.159601766-0.0020.4816008080.0031.647600109-0.0011.784002142-0.0030.0406004280.0031.685600783-0.0031.015600779-0.014-0.0076013280.0041.0266007370.0041.3896007390.0080.3366003310.0110.4556011690.0051.545000839-0.0011.467600143-0.0031.37860

35、0839-0.0011.199600971-0.0040.637601158-0.0021.2176009970.0061.515002603-0.0011.524000898-0.0040.6336001320.0001.4370009370.0062.003002106-0.0012.0976002710.0030.937601179-0.0050.042601958-0.0091.062002399-0.0011.0556012880.0000.5686000500.0061.391000623-0.0021.629000069-0.0030.798代码AlphaBeta代码AlphaB

36、eta代码AlphaBeta代码AlphaBeta6008810.004600456-0.0036008081.6476003160.6266000100.004000559-0.0036019391.6510006250.6036005490.004600395-0.0046001701.6566000680.5946018660.004600037-0.0046004281.6850008950.5876000280.004000680-0.0046013331.6920024930.5406000980.004000792-0.0046004181.7090020380.51060015

37、10.005600999-0.0046008871.7556008790.4950008690.005000422-0.0046001611.7706005000.4816016660.005600166-0.0046012681.7736000150.4560025000.005600635-0.0046001881.7996003310.4550007760.005600316-0.0056017881.8110007920.4456007410.005600583-0.0056011171.8600008760.438股指期货研究中心TOCK INDEX FUTURES RESEARCH

38、 CENTRE国泰君安GUOTAI JUNAN S国泰君安研究002385-0.0031.609600875-0.0011.1936004060.0020.638000718-0.0021.464600037-0.0040.1796005160.0100.8116007180.0021.040600169-0.0051.078002310-0.0081.5306004980.0000.9136010180.0061.2246000890.0011.174600161-0.0101.7700022990.0042.075000686-0.0080.935600582-0.0060.8666002

39、66-0.0020.1676003070.0001.0606008110.0011.310601233-0.0080.1340007290.0011.3680005270.0000.4040024310.0060.9996001000.0031.5200025940.0000.4496003830.0001.2620006290.0010.5076005880.0031.949600804-0.0050.7890006510.0020.775601318-0.0061.148000338-0.006-0.198600879-0.0020.4956013330.0021.6926000480.0

40、000.877601168-0.0050.6770000090.0011.5826002520.0012.136002498-0.0111.917000858-0.0011.999601299-0.0091.508600395-0.0040.1090021460.0011.2546008930.0001.0146019390.0031.6516002210.0011.0130024930.0050.5406013690.0020.836600150-0.0010.893600837-0.0020.833600703-0.0031.0406005490.0041.8856001150.0021.

41、215002415-0.0021.515601918-0.0031.018002202-0.0031.550601818-0.0010.7080007090.0031.3396005470.0000.0740020920.0021.2296000680.0020.594000933-0.0020.326600170-0.0021.656600348-0.0071.9446018880.003-0.9376005950.0011.0546008320.0080.4426003090.0031.8916016280.000-0.4580020070.0012.059600000-0.0020.80

42、36019330.0021.290000024-0.0101.929600015-0.0020.4566008950.0011.3160008070.0002.180600016-0.0031.077000422-0.0041.303600649-0.0040.9956004970.0011.214000758-0.0020.090601398-0.0061.211600635-0.0040.7840009600.0011.1236016010.0011.6776013770.0032.2666001960.0091.9960020690.0001.0216001250.0001.723600

43、8870.0061.755600320-0.0031.973600160-0.0071.4556013900.0050.7900007800.0011.5666005460.0061.3196002160.0001.604请务必阅读正文之后的免责条款部分第 7 页 共 10 页6011860.0011.0376012160.0071.3296001230.0030.7790020010.0000.119600528-0.0032.2026008630.0071.596000680-0.0041.111600352-0.0062.6096000280.0042.0916001110.0081.9

44、12601519-0.0051.6876002670.0030.9976018080.0030.869601166-0.0012.572601727-0.0020.8656000960.0061.6446011170.0021.8600021280.0031.472600508-0.0031.292000878-0.0061.350600999-0.0042.0086007410.0051.0506001510.0051.899000538-0.0031.694600036-0.0050.792601688-0.0020.692600655-0.0051.2886001770.0031.823

45、0000390.0051.7720005620.0001.2556016070.0061.4066001880.0071.7996011180.0011.0330008950.0000.587600009-0.0011.4370008690.0051.5716011060.0011.1376005980.0142.1516002190.0071.5620007780.0011.3486012680.0011.773600664-0.0041.1180004230.0000.913600256-0.0011.5976001180.0072.439002244-0.0011.0886000310.

46、0001.1376002080.0061.1546019190.0010.0550023440.0011.0236001040.0041.1326001530.0011.5716018980.0010.917000728-0.0030.3416002590.0040.8850007680.0011.3776019980.0050.4566000980.0041.104000792-0.0040.4450004250.0020.891600372-0.0060.979000528-0.0030.8476006900.0031.411600005-0.0041.4610021550.0011.03

47、5600183-0.0011.0066016660.0050.065000581-0.0031.9910007830.0010.6620007760.0050.377601857-0.0051.568000559-0.0032.345600166-0.0040.8716007950.0082.0406012580.0011.552600600-0.0041.339600859-0.0020.2536001080.0011.3536010990.0011.1680006300.0041.566600085-0.0011.3686006600.0001.202600583-0.0050.195600535-0.0051.3030020380.0000.510000402-0.0011.217600812-0.0020.625000100-0.00