The basic logic of market neutrality strategy is to hedge the risk of market fluctuation with stock index futures or other tools by constructing a portfolio that exceeds the index, so as to obtain alpha income independent of the market.

The following figure is a schematic diagram of market neutral strategy: short the stock index, make multiple stock selection combinations, and obtain interval returns.

At the same time, in order to fully tap the residual value of the bottom stock pool and hedging instruments, some market-neutral strategies will also increase the intra-day T0 of the stock end and the intra-day T0 of the stock index futures end, as well as cross-period and cross-variety arbitrage to improve returns.