|
index_ret |
future_ret |
alpha_gain_from_index_future_hedge |
premium+_discount- |
premium_perleftday |
premium_yearly |
alpha_from_future_shorts |
future_last |
future_last_ytd |
future_cost |
index_price |
contract_deal_last_day |
deal_days_left_total |
hold_days |
| hedge_20240205 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2401 |
-0.059472 |
- |
- |
- |
- |
- |
- |
- |
5322.8 |
- |
4302.606 |
20240119 |
0 |
55 |
| CFFEX.IM2402 |
-0.059472 |
-0.073349 |
0.013878 |
-0.029286 |
-0.005857 |
-1.417441 |
0.01249 |
4176.6 |
4507.2 |
6039.525 |
4302.606 |
20240216 |
5 |
55 |
| CFFEX.IM2403 |
-0.059472 |
-0.09057 |
0.031098 |
-0.059965 |
-0.002399 |
-0.580462 |
0.029102 |
4044.6 |
4447.4 |
5992.6 |
4302.606 |
20240315 |
25 |
55 |
| CFFEX.IM2406 |
-0.059472 |
-0.092621 |
0.033149 |
-0.08832 |
-0.000992 |
-0.240151 |
- |
3922.6 |
4323.0 |
- |
4302.606 |
20240621 |
89 |
55 |
| CFFEX.IM2409 |
-0.059472 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
4302.606 |
20240920 |
152 |
55 |
| CFFEX.IC2401 |
-0.019809 |
- |
- |
- |
- |
- |
- |
- |
5030.2 |
- |
4472.828 |
20240119 |
0 |
55 |
| CFFEX.IC2402 |
-0.019809 |
-0.029427 |
0.009618 |
-0.020754 |
-0.004151 |
-1.004482 |
- |
4380.0 |
4512.8 |
- |
4472.828 |
20240216 |
5 |
55 |
| CFFEX.IC2403 |
-0.019809 |
-0.037553 |
0.017744 |
-0.041948 |
-0.001678 |
-0.406061 |
- |
4285.2 |
4452.4 |
- |
4472.828 |
20240315 |
25 |
55 |
| CFFEX.IC2406 |
-0.019809 |
-0.042592 |
0.022783 |
-0.071281 |
-0.000801 |
-0.19382 |
- |
4154.0 |
4338.8 |
- |
4472.828 |
20240621 |
89 |
55 |
| CFFEX.IC2409 |
-0.019809 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
4472.828 |
20240920 |
152 |
55 |
| CFFEX.IF2401 |
0.009166 |
- |
- |
- |
- |
- |
- |
- |
3266.8 |
- |
3208.772 |
20240119 |
0 |
55 |
| CFFEX.IF2402 |
0.009166 |
0.001832 |
0.007334 |
-0.011709 |
-0.002342 |
-0.566723 |
- |
3171.2 |
3165.4 |
- |
3208.772 |
20240216 |
5 |
55 |
| CFFEX.IF2403 |
0.009166 |
-0.007858 |
0.017024 |
-0.024175 |
-0.000967 |
-0.234014 |
- |
3131.2 |
3156.0 |
- |
3208.772 |
20240315 |
25 |
55 |
| CFFEX.IF2406 |
0.009166 |
-0.010287 |
0.019453 |
-0.034522 |
-0.000388 |
-0.093868 |
- |
3098.0 |
3130.2 |
- |
3208.772 |
20240621 |
89 |
55 |
| CFFEX.IF2409 |
0.009166 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
3208.772 |
20240920 |
152 |
55 |
| CFFEX.IH2401 |
0.013422 |
- |
- |
- |
- |
- |
- |
- |
2238.6 |
- |
2258.931 |
20240119 |
0 |
55 |
| CFFEX.IH2402 |
0.013422 |
0.008101 |
0.005321 |
-0.008381 |
-0.001676 |
-0.405617 |
- |
2240.0 |
2222.0 |
- |
2258.931 |
20240216 |
5 |
55 |
| CFFEX.IH2403 |
0.013422 |
0.002708 |
0.010714 |
-0.016437 |
-0.000657 |
-0.159114 |
- |
2221.8 |
2215.8 |
- |
2258.931 |
20240315 |
25 |
55 |
| CFFEX.IH2406 |
0.013422 |
0.003436 |
0.009985 |
-0.0175 |
-0.000197 |
-0.047584 |
- |
2219.4 |
2211.8 |
- |
2258.931 |
20240621 |
89 |
55 |
| CFFEX.IH2409 |
0.013422 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
2258.931 |
20240920 |
152 |
55 |