报告题目: Multifactor market sentiment risk index

报告人：夏厚芹，长安基金管理有限公司，专户投资部副总监, 投资经理

报告时间：2023年6月16日（周五）下午16:30点-17:30点

报告地点：腾讯会议：877-662-173

报告摘要：

There are a number of measures of market risk preference today. The most famous is the Fear Index (VIX), which is inverted from option trading prices to measure market sentiment. This is the implied volatility of the S&P 500 index for the next 30 days, but this is the market sentiment indicator for US stocks.

In A-shares, there are many indicators to observe market sentiment, such as HS300 volatility, PE, and stock-bond risk premium. This talk first introduces seven single-factor which represents market sentiment in one direction. Then according to the positive and negative correlation, different factors are unified by using statistical percentiles. Multi-factor is weighted into an index, which can be more comprehensive to observe the changes in Chinese market risk preference.

报告人简介：

夏厚芹，苏州大学金融工程硕士。2011年毕业于苏州大学数学系。FRM持证 ，12年证券从业，9年投资管理 。曾任浙商期货有限公司金融衍生品研究员（期间借调到中国金融期货交易所从事沪深300股指期权的开发和设计）、上海骐骏投资有限公司风控总监、长安基金管理有限公司专户理财部总经理助理等职，现任长安基金管理有限公司专户投资部副总监, 投资经理。