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2025年股指波动率两轮显著升波
2025年股指波动率两轮显著升波
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所属报告:
【国泰期货】2026年量化CTA市场回顾及展望:2026年量化CTA策略年报-251216(15页).pdf
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2025年股指波动率呈现较为明显的聚集效应,全年股指波动抬升集中在 4月、8月两段行情中。截止 11月28日,2025年 220个交易日中,波动率位于全年均值以上的交易日仅占比 42.7%。故 2025年股指策略基本呈现阶段性收益爆发、长期磨损回撤的态势。虽然近年来股指均呈现出波动率时序分布的显著失衡,但与“股指策略大年”2024相比波动率整体显著下行,平淡行情下策略磨损加剧,升波行情收益弹性也明显不足。2025年股指 CTA作为主策略表现不佳,作为子策略时的权重择时对策略整体收益影响显著。
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当前图表所属:
【国泰期货】2026年量化CTA市场回顾及展望:2026年量化CTA策略年报-251216(15页).pdf
CTA因子今年以来收益情况(截止2025/11/28)
近几年核心观察池中长周期CTA指数的收益结构(截止2025/11/28)
股指日内时序波动率走势
股指日内振幅走势
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