2025年8月4日 周度报告 期指短周期小幅承压 金融工程周报 操作评级 股指 ☆☆☆ 国债 ☆☆☆ 王锴 金融工程组 010-58747784 gtaxinstitute@essence.com.cn Z0016943 F03091361 本报告版权属于国投期货有限公司 1 不可作为投资依据，转载请注明出处 p 截止8月1日当周，期指上涨，IH2508变化-1.47%，IF2508变 化-1.96%，IC2508变化-1.56%，IM2508变化-0.76%。全市场 日均成交额为 1.81 万亿，较上周减少 391 亿元，市场成 交活跃度有所回落。银行间资金偏宽松，但美元指数强势带 来压力。 p 从高频宏观基本面因子评分来看，期指方面，通胀指标7分， 流动性指标8分，估值指标11分，市场情绪指标9分。期债方 面，通胀指标7分，流动性指标10分，市场情绪指标8分。期 限结构方面，7月合约临近到期部分合约主力提前切换，受 到行情回调影响，主力合约基差再次走阔，IH由升水进入小 幅贴水。 p 金融衍生品量化CTA策略上周净值上升0.12%。盈利来自于周 一做多IC，亏损来自于周三IC持仓。长周期方面，7月中采 和 ...

Report Information - Report Date: June 26, 2025 [1] - Analyst: Fan Lijun from Guotou Futures Core Data Summary 50ETF - **Price and Volatility**: On June 24 - 26, 2025, the price ranged from 2.792 to 2.832. 5HV, 10HV, and 20HV showed fluctuations, with 5HV reaching 12.17% on June 25. The implied volatility (IV) also changed, with the monthly IV reaching 15.07% on June 25 [2]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 88%, and the minimum was 2% [7]. - **Skew Index**: The skew index of the main contract month was 91.48 on June 26 [9]. Shanghai 300ETF - **Price and Volatility**: From June 24 - 26, 2025, the price varied between 3.936 and 4.001. 5HV, 10HV, and 20HV had changes, with 5HV reaching 14.81% on June 25. The monthly IV was 14.85% on June 25 [11]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 110%, and the minimum was 1% [18]. - **Skew Index**: The skew index of the main contract month was 91.48 on June 26 [17]. Shenzhen 300ETF - **Price and Volatility**: During June 24 - 26, 2025, the price was between 4.059 and 4.126. 5HV, 10HV, and 20HV fluctuated, with 5HV reaching 14.83% on June 25. The monthly IV was 15.70% on June 25 [21]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 111%, and the minimum was 1% [29]. - **Skew Index**: The skew index of the main contract month was 90.04 on June 26 [27]. Shanghai CSI 500ETF - **Price and Volatility**: From June 23 - 25, 2025, the price ranged from 5.712 to 5.913. 5HV, 10HV, and 20HV changed, with 5HV reaching 20.36% on June 25. The monthly IV was 16.74% on June 25 [31]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 102%, and the minimum was 5% [38]. - **Skew Index**: The skew index of the main contract month was 90.75 on June 25 [37]. Shenzhen CSI 500ETF - **Price and Volatility**: On June 24 - 26, 2025, the price was between 2.320 and 2.361. 5HV, 10HV, and 20HV fluctuated, with 5HV reaching 19.69% on June 25. The monthly IV was 18.99% on June 25 [40]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 434%, and the minimum was 5% [49]. - **Skew Index**: The skew index of the main contract month was 91.14 on June 26 [47]. GEM ETF - **Price and Volatility**: From June 24 - 26, 2025, the price varied from 2.044 to 2.109. 5HV, 10HV, and 20HV changed, with 5HV reaching 30.91% on June 25. The monthly IV was 24.91% on June 25 [52]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 253%, and the minimum was 4% [59]. - **Skew Index**: The skew index of the main contract month was 86.99 on June 26 [58]. Shenzhen 100ETF - **Price and Volatility**: During June 24 - 26, 2025, the price was between 2.680 and 2.732. 5HV, 10HV, and 20HV fluctuated, with 5HV reaching 18.89% on June 25. The monthly IV was 18.83% on June 25 [63]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 134%, and the minimum was 4% [70]. - **Skew Index**: The skew index of the main contract month was 98.36 on June 26 [69]. Science and Technology Innovation 50ETF - **Price and Volatility**: From June 24 - 26, 2025, the price ranged from 1.029 to 1.048. 5HV, 10HV, and 20HV changed, with 5HV reaching 18.72% on June 26. The monthly IV was 20.49% on June 26 [72]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 222%, and the minimum was 5% [80]. - **Skew Index**: The skew index of the main contract month was 80.28 on June 26 [78]. Science and Technology Innovation 50ETF E Fund - **Price and Volatility**: On June 24 - 26, 2025, the price was between 1.003 and 1.022. 5HV, 10HV, and 20HV fluctuated, with 5HV reaching 18.87% on June 26. The monthly IV was 20.97% on June 26 [86]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 219%, and the minimum was 4% [90]. - **Skew Index**: The skew index of the main contract month was 79.72 on June 26 [88]. 300 Index - **Price and Volatility**: From June 24 - 26, 2025, the price ranged from 3904.034 to 3960.066. 5HV, 10HV, and 20HV changed, with 5HV reaching 14.19% on June 25. The monthly IV was 17.09% on June 25 [93]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 99%, and the minimum was 1% [94]. - **Skew Index**: The skew index of the main contract month was 85.71 on June 26 [94]. 1000 Index - **Price and Volatility**: On June 24 - 26, 2025, the price was between 6194.666 and 6276.163. 5HV, 10HV, and 20HV fluctuated, with 5HV reaching 23.05% on June 25. The monthly IV was 19.27% on June 25 [95]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 128%, and the minimum was 8% [104]. - **Skew Index**: The skew index of the main contract month was 91.75 on June 26 [103]. SSE 50 Index - **Price and Volatility**: From June 24 - 26, 2025, the price ranged from 2715.922 to 2747.728. 5HV, 10HV, and 20HV changed, with 5HV reaching 11.06% on June 25. The monthly IV was 14.56% on June 25 [105]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 80%, and the minimum was 2% [110]. - **Skew Index**: The skew index of the main contract month was 85.47 on June 26 [109].

Report Summary 1. Report Industry Investment Rating No industry investment rating information is provided in the content. 2. Core Viewpoints There is no explicit core viewpoint presented in the given content. The report mainly offers a large amount of data on various ETFs and indexes, including historical volatility, implied volatility, skew index, and price trends. 3. Summary by Related Catalogs 3.1 50ETF - The current month's contract has 5 days until expiration [5] - Data on price, historical volatility, implied volatility, and their respective quantiles from May 19 - 21, 2025 are provided [2] - Information on historical volatility cones, skew index, and option smile curves is also included [7][9] 3.2 Shanghai 300ETF - The current month's contract has 5 days until expiration [10] - Similar data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are presented [10] - Historical volatility cones, skew index, and option smile curves are also covered [16][15] 3.3 Shenzhen 300ETF - The current month's contract has 5 days until expiration [20] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are shown [20] - Information on historical volatility cones, skew index, and option smile curves is provided [28][27] 3.4 Shanghai CSI 500ETF - The current month's contract has 5 days until expiration [31] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are given [31] - Historical volatility cones, skew index, and option smile curves are also included [38][37] 3.5 Shenzhen CSI 500ETF - The current month's contract has 5 days until expiration [42] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are presented [42] - Information on historical volatility cones, skew index, and option smile curves is provided [51][49] 3.6 GEM ETF - The current month's contract has 5 days until expiration [57] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are shown [57] - Historical volatility cones, skew index, and option smile curves are also covered [62][64] 3.7 Shenzhen 100ETF - The current month's contract has 5 days until expiration [65] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are given [65] - Historical volatility cones, skew index, and option smile curves are also included [72][71] 3.8 Science and Technology Innovation 50ETF - The current month's contract has 5 days until expiration [74] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are presented [74] - Historical volatility cones, skew index, and option smile curves are also covered [81][80] 3.9 Science and Technology Innovation 50ETF E Fund - The current month's contract has 5 days until expiration [89] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are shown [89] - Historical volatility cones, skew index, and option smile curves are also included [92][91] 3.10 300 Index - The current month's contract has 21 days until expiration [96] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are given [96] - Historical volatility cones, skew index, and option smile curves are also included [97] 3.11 1000 Index - The current month's contract has 21 days until expiration [98] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are presented [98] - Historical volatility cones, skew index, and option smile curves are also covered [102][106] 3.12 Shanghai 50 Index - The current month's contract has 21 days until expiration [107] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are shown [107] - Historical volatility cones, skew index, and option smile curves are also included [113][112]

1. Report Industry Investment Rating - No information provided in the content 2. Report Core Viewpoints - No clear core viewpoints are presented in the given content 3. Summary by Related Catalogs 3.1 50ETF - The current month contract has 9 days until expiration. From April 8 - 10, 2025, the underlying price rose from 2.628 to 2.672, 5HV increased from 44.61% to 46.81%, 10HV from 30.39% to 31.50%, 20HV from 25.02% to 25.41%, and the current month IV decreased from 24.88% to 18.89% [2] - The主力月份skew指数 decreased from 121.27 yesterday to 110.07 today [9] 3.2 Shanghai 300ETF - The current month contract has 9 days until expiration. From April 8 - 10, 2025, the underlying price rose from 3.730 to 3.829, 5HV increased from 47.87% to 53.42%, 10HV from 33.33% to 36.11%, 20HV from 26.38% to 27.60%, and the current month IV decreased from 27.91% to 20.10% [12] - The主力月份skew指数 decreased from 121.27 yesterday to 110.07 today [17] 3.3 Shenzhen 300ETF - The current month contract has 9 days until expiration. From April 8 - 10, 2025, the underlying price rose from 3.764 to 3.851, 5HV increased from 47.35% to 52.24%, 10HV from 32.97% to 35.37%, 20HV from 26.13% to 27.17%, and the current month IV decreased from 27.08% to 20.02% [22] - The主力月份skew指数 decreased from 118.98 yesterday to 113.77 today [24] 3.4 Shanghai CSI 500ETF - The current month contract has 9 days until expiration. From April 8 - 10, 2025, the underlying price rose from 5.313 to 5.535, 5HV increased from 68.57% to 76.41%, 10HV from 47.60% to 52.03%, 20HV from 35.15% to 37.25%, and the current month IV decreased from 33.43% to 26.15% [29] - The主力月份skew指数 decreased from 122.70 yesterday to 119.74 today [35] 3.5 Shenzhen CSI 500ETF - The current month contract has 9 days until expiration. From April 8 - 10, 2025, the underlying price rose from 2.124 to 2.211, 5HV increased from 72.18% to 79.08%, 10HV from 49.85% to 53.89%, 20HV from 36.61% to 38.55%, and the current month IV decreased from 36.59% to 26.74% [40] - The主力月份skew指数 decreased from 126.40 yesterday to 114.78 today [48] 3.6 ChiNext ETF - The current month contract has 9 days until expiration. From April 8 - 10, 2025, the underlying price rose from 1.804 to 1.863, 5HV increased from 88.62% to 95.31%, 10HV from 61.71% to 65.09%, 20HV from 45.89% to 47.45%, and the current month IV decreased from 50.69% to 35.49% [53] - The主力月份skew指数 decreased from 123.29 yesterday to 110.32 today [58] 3.7 Shenzhen 100ETF - The current month contract has 9 days until expiration. From April 8 - 10, 2025, the underlying price rose from 2.487 to 2.556, 5HV increased from 62.39% to 69.02%, 10HV from 44.15% to 47.24%, 20HV from 33.89% to 35.32%, and the current month IV decreased from 33.80% to 26.31% [61] - The主力月份skew指数 decreased from 125.64 yesterday to 119.23 today [68] 3.8 Science and Technology Innovation 50ETF - The current month contract has 9 days until expiration. From April 8 - 10, 2025, the underlying price rose from 0.986 to 1.042, 5HV increased from 67.29% to 80.42%, 10HV from 46.97% to 54.31%, 20HV from 35.16% to 39.91%, and the current month IV decreased from 44.19% to 35.44% [73] - The主力月份skew指数 decreased from 125.78 yesterday to 111.76 today [79] 3.9 Science and Technology Innovation 50ETF E Fund - The current month contract has 9 days until expiration. From April 8 - 10, 2025, the underlying price rose from 0.960 to 1.015, 5HV increased from 60.70% to 75.14%, 10HV from 42.41% to 50.74%, 20HV from 32.30% to 37.48%, and the current month IV decreased from 43.30% to 33.92% [83] - The主力月份skew指数 decreased from 124.60 yesterday to 110.24 today [90] 3.10 300 Index - The current month contract has 6 days until expiration. From April 8 - 10, 2025, the underlying price rose from 3650.759 to 3735.115, 5HV increased from 52.80% to 56.84%, 10HV from 36.31% to 38.39%, 20HV from 28.02% to 28.88%, and the current month IV decreased from 28.54% to 20.68% [94] - The主力月份skew指数 decreased from 116.65 yesterday to 110.46 today [101] 3.11 1000 Index - The current month contract has 6 days until expiration. From April 8 - 10, 2025, the underlying price rose from 5530.019 to 5784.585, 5HV increased from 80.82% to 89.38%, 10HV from 56.19% to 60.89%, 20HV from 41.21% to 43.55%, and the current month IV decreased from 42.12% to 31.88% [103] - The主力月份skew指数 decreased from 126.71 yesterday to 126.20 today [107] 3.12 Shanghai Composite 50 Index - The current month contract has 6 days until expiration. From April 8 - 10, 2025, the underlying price rose from 2574.353 to 2612.619, 5HV increased from 44.77% to 46.63%, 10HV from 30.43% to 31.40%, 20HV from 24.88% to 25.15%, and the current month IV decreased from 26.37% to 19.55% [113] - The主力月份skew指数 decreased from 120.10 yesterday to 112.34 today [121]

Investment Rating - The report does not explicitly state an investment rating for the industry or specific ETFs analyzed. Core Insights - The report provides detailed volatility data for various ETFs, including 50ETF,沪300ETF, 深300ETF, 沪中证500ETF, 创业板ETF, and 深证100ETF, highlighting their implied volatility (IV) and historical volatility (HV) trends over recent days. - The implied volatility for the 50ETF on March 18, 2025, was recorded at 16.16%, with a historical volatility of 15.36% over 20 days, indicating a relatively stable market condition [2][3][4]. - The report notes a skew index for the main month of the 50ETF at 82.83, suggesting a slight preference for puts over calls in the options market [9]. - For the沪300ETF, the implied volatility on March 18, 2025, was 15.63%, with a 20-day historical volatility of 14.48%, reflecting a similar stability [11][12]. - The report indicates that the 创业板ETF had an implied volatility of 23.46% on March 18, 2025, which is higher compared to other ETFs, suggesting greater market uncertainty or potential for price movement [52][53]. Summary by Sections 50ETF Analysis - The 50ETF's price on March 18, 2025, was 2.800, with an implied volatility of 16.16% and a 20-day historical volatility of 15.36% [2][3]. - The report shows a decreasing trend in the implied volatility over the past few days, indicating a potential stabilization in market expectations [4][5]. 沪300ETF Analysis - The 沪300ETF's price on March 18, 2025, was 4.103, with an implied volatility of 15.63% and a 20-day historical volatility of 14.48% [11][12]. - The report highlights a consistent pattern in the implied volatility, suggesting a stable outlook for this ETF [12]. 深300ETF Analysis - The 深300ETF's price on March 18, 2025, was 4.207, with an implied volatility of 15.56% and a 20-day historical volatility of 14.70% [22][23]. - The report indicates a slight decrease in implied volatility, reflecting a potential reduction in market uncertainty [23]. 沪中证500ETF Analysis - The 沪中证500ETF's price on March 18, 2025, was 6.126, with an implied volatility of 20.04% and a 20-day historical volatility of 16.95% [29][30]. - The report notes a higher implied volatility compared to other ETFs, indicating greater market expectations for price movements [30]. 创业板ETF Analysis - The 创业板ETF's price on March 18, 2025, was 2.185, with an implied volatility of 23.46% and a 20-day historical volatility of 24.33% [52][53]. - The report suggests that this ETF is experiencing higher volatility, which may present both risks and opportunities for investors [53]. 深证100ETF Analysis - The 深证100ETF's price on March 18, 2025, was 2.845, with an implied volatility of 18.43% and a 20-day historical volatility of 17.53% [62][63]. - The report indicates a stable trend in implied volatility, suggesting a balanced market outlook [63].

Investment Rating - The report does not explicitly state an investment rating for the industry or specific companies Core Insights - The report provides detailed volatility data for various ETFs, indicating a fluctuating market environment with significant historical volatility levels observed across different time frames [10][20][28] - Implied volatility (IV) for the 50ETF, Hu300ETF, and other ETFs shows a trend of increasing IV, suggesting heightened market expectations for future volatility [11][23][54] - The skew index for the main months of options indicates a shift in market sentiment, with recent values showing an upward trend, reflecting changing investor expectations [9][18][38] Summary by Sections 50ETF - The current price is 2.723 with an implied volatility (IV) of 13.56% and historical volatility (HV) values showing a range from 5.43% to 12.91% over the past days [2][3][10] - The IV percentile for the past year is 39.10%, indicating a relatively high level of implied volatility compared to historical data [2][3] Hu300ETF - The current price is 4.005 with an IV of 14.39% and HV values ranging from 4.80% to 11.43% [11][12] - The IV percentile for the past year is 43.60%, suggesting increased market expectations for volatility [11][12] Deep300ETF - The current price is 4.106 with an IV of 14.21% and HV values from 4.40% to 11.99% [23][24] - The IV percentile for the past year is 37.10%, indicating a moderate level of implied volatility [23][24] Entrepreneur Board ETF - The current price is 2.125 with an IV of 23.06% and HV values ranging from 9.93% to 19.19% [54][55] - The IV percentile for the past year is 40.40%, reflecting significant market expectations for future volatility [54][55] Deep100ETF - The current price is 2.770 with an IV of 18.31% and HV values from 5.00% to 13.57% [60][61] - The IV percentile for the past year is 42.80%, indicating a relatively high level of implied volatility [60][61]

Investment Rating - The report does not explicitly state an investment rating for the industry or specific ETFs analyzed Core Insights - The report provides detailed volatility metrics for various ETFs, including 50ETF, Hu300ETF, Shen300ETF, and others, indicating a range of implied volatility (IV) and historical volatility (HV) levels across different time frames [6][10][20][54][60][69] - The analysis includes skew indices for the main contract months, reflecting market sentiment and expectations regarding future volatility [9][15][23][36][48][65] - The report highlights the historical volatility ranges, with maximum values reaching up to 434% for ShenZheng 500ETF, indicating significant fluctuations in the market [25][51][67] Summary by Relevant Sections 50ETF Analysis - The 50ETF showed an implied volatility of 13.77% on March 12, 2025, with historical volatility (HV) values of 12.91% (5-day), 12.77% (10-day), and 11.70% (20-day) [6] - The skew index for the main contract month was recorded at 87.47 on the same date, indicating a slight decrease from previous days [9] Hu300ETF Analysis - The Hu300ETF had an implied volatility of 13.93% on March 12, 2025, with HV values of 11.43% (5-day), 12.58% (10-day), and 11.89% (20-day) [10] - The skew index for the main contract month was noted at 87.47, reflecting market sentiment [14] Shen300ETF Analysis - The Shen300ETF reported an implied volatility of 13.96% on March 12, 2025, with HV values of 11.99% (5-day), 12.99% (10-day), and 12.27% (20-day) [20] - The skew index for the main contract month was 93.53, indicating a shift in market expectations [23] Other ETFs Analysis - The report also covers the performance of the ChiNext ETF, with an implied volatility of 23.16% on March 12, 2025, and HV values of 19.19% (5-day), 23.96% (10-day), and 23.74% (20-day) [54] - The skew index for the ChiNext ETF was recorded at 89.02, suggesting a stable market outlook [59] Historical Volatility Insights - Historical volatility metrics for various ETFs indicate significant fluctuations, with maximum values reaching 434% for ShenZheng 500ETF and 253% for ChiNext ETF [25][51] - The report provides a comprehensive view of the volatility landscape, highlighting the potential for investment opportunities based on historical trends and current market conditions [38][66]

Investment Rating - The report does not explicitly state an investment rating for the industry or specific ETFs analyzed. Core Insights - The report provides detailed volatility metrics for various ETFs, including the 50ETF, Hu300ETF, and others, indicating a range of implied volatility (IV) and historical volatility (HV) levels, which are critical for assessing market conditions and potential investment opportunities. Summary by Relevant Sections 50ETF Analysis - As of February 20, 2025, the 50ETF price was 2.708 with an implied volatility (IV) of 14.04% and a 20-day historical volatility (20HV) of 9.50% [2][3][8] - The one-year IV percentile was 42.00%, indicating a moderate level of volatility compared to historical data [2][3][8] Hu300ETF Analysis - On February 20, 2025, the Hu300ETF price was 4.021, with an IV of 14.52% and a 20HV of 10.07% [13][14] - The one-year IV percentile was 42.00%, suggesting a similar volatility profile to the 50ETF [13][14] Deep300ETF Analysis - The Deep300ETF was priced at 4.122 on February 20, 2025, with an IV of 14.97% and a 20HV of 10.49% [23][24] - The one-year IV percentile was 47.70%, indicating slightly higher volatility compared to the Hu300ETF [23][24] ChiNext ETF Analysis - The ChiNext ETF had a price of 2.184 on February 20, 2025, with an IV of 24.59% and a 20HV of 22.98% [55][56] - The one-year IV percentile was 50.60%, reflecting a higher volatility environment compared to the other ETFs analyzed [55][56] Skew Index and Smile Curve - The skew index for the main months of the 50ETF, Hu300ETF, and Deep300ETF showed variations, with the 50ETF at 100.42 on the latest date, indicating market sentiment towards volatility [10][19][26] - The smile curves for these ETFs suggest varying levels of demand for options at different strike prices, which can indicate market expectations for future volatility [12][18][25] Historical Volatility Metrics - Historical volatility metrics for the ETFs indicate a maximum of 88% for the 50ETF and 110% for the Hu300ETF, suggesting significant past price fluctuations [11][21][28] - The report highlights the importance of these metrics in understanding the risk and potential return profiles of the ETFs [11][21][28]

Quantitative Models and Construction - **Model Name**: Composite Signal Model **Construction Idea**: The model integrates multiple factors, including supply, demand, inventory, and price spread, to generate a composite signal for market positioning. [5][9][11] **Construction Process**: - **Supply Factor**: Tracks production metrics such as glass production and iron ore shipment volumes. Signals are derived based on production trends and their deviations from historical averages. [9][10][11] - **Demand Factor**: Incorporates metrics like commodity house sales and battery prices to assess downstream consumption trends. [9][11] - **Inventory Factor**: Monitors stock levels at ports and warehouses, such as iron ore inventory and glass inventory changes. [10][11] - **Price Spread Factor**: Evaluates price differences across regions or timeframes, e.g., methanol price spreads and freight costs. [8][10][11] **Evaluation**: The model effectively captures multi-dimensional market dynamics but may face challenges in volatile environments. [5][9][11] Quantitative Factors and Construction - **Factor Name**: Supply Factor **Construction Idea**: Measures production activity and its impact on market supply. [5][9][10] **Construction Process**: - Glass production trends and iron ore shipment volumes are analyzed. [9][10] - Formula: $ \text{Supply Signal} = \text{Production Change} - \text{Historical Average} $ **Evaluation**: Provides reliable insights into supply-side pressures but may lag during sudden disruptions. [9][10] - **Factor Name**: Demand Factor **Construction Idea**: Tracks downstream consumption metrics to gauge market demand. [5][9][11] **Construction Process**: - Metrics include commodity house sales and battery prices. [9][11] - Formula: $ \text{Demand Signal} = \text{Consumption Change} - \text{Historical Average} $ **Evaluation**: Captures demand trends effectively but may underperform in rapidly shifting consumption patterns. [9][11] - **Factor Name**: Inventory Factor **Construction Idea**: Monitors stock levels to assess market balance. [5][9][10] **Construction Process**: - Tracks port and warehouse inventory changes, e.g., iron ore and glass inventory. [10][11] - Formula: $ \text{Inventory Signal} = \text{Current Inventory} - \text{Historical Average} $ **Evaluation**: Useful for identifying market imbalances but sensitive to reporting delays. [10][11] - **Factor Name**: Price Spread Factor **Construction Idea**: Evaluates price differences across regions or timeframes to identify arbitrage opportunities. [5][8][10] **Construction Process**: - Analyzes methanol price spreads and freight costs. [8][10] - Formula: $ \text{Price Spread Signal} = \text{Regional Price Difference} - \text{Historical Spread} $ **Evaluation**: Effective for arbitrage identification but may struggle in highly volatile markets. [8][10] Backtesting Results - **Composite Signal Model**: - Weekly Return: 0.18% [5] - Monthly Return: -0.08% [5] - **Supply Factor**: - Weekly Return: 1.20% [9] - Monthly Return: 2.66% [9] - **Demand Factor**: - Weekly Return: 0.42% [5] - Monthly Return: -0.29% [9] - **Inventory Factor**: - Weekly Return: 0.00% [9] - Monthly Return: 0.91% [9] - **Price Spread Factor**: - Weekly Return: 1.10% [9] - Monthly Return: 2.22% [9] - **Profit Factor**: - Weekly Return: 0.42% [9] - Monthly Return: 3.23% [9]

Quantitative Models and Construction Methods 1. Model Name: Composite Signal Model - **Model Construction Idea**: The composite signal model integrates multiple factors, including supply, demand, inventory, and price spread, to generate a comprehensive signal for market positioning [3][7] - **Model Construction Process**: - The model aggregates signals from individual factors such as supply, demand, inventory, and price spread - Each factor contributes to the overall signal based on its respective weight and directional strength - The final composite signal is determined by summing the weighted contributions of these factors [3][7] - **Model Evaluation**: The model provides a balanced view by incorporating multiple dimensions of market dynamics, but its effectiveness depends on the relative strength and alignment of individual factors [3][7] 2. Model Name: Momentum Model - **Model Construction Idea**: The momentum model captures price trends over time (time-series momentum) and across assets (cross-sectional momentum) to identify potential trading opportunities [3][4] - **Model Construction Process**: - **Time-Series Momentum**: Measures the directional strength of price movements within a single asset over a specific period - **Cross-Sectional Momentum**: Compares the relative performance of multiple assets to identify outperformers and underperformers - The model assigns scores to assets based on their momentum strength and aggregates these scores for sector-level analysis [3][4] - **Model Evaluation**: The model effectively identifies trend-following opportunities but may underperform in mean-reverting or range-bound markets [3][4] --- Backtesting Results of Models 1. Composite Signal Model - Weekly Return: 1.33% [7] - Monthly Return: 2.04% [7] 2. Momentum Model - Sector-Level Performance: - Black Metals: Time-Series Momentum (0), Cross-Sectional Momentum (0.09) [4] - Non-Ferrous Metals: Time-Series Momentum (0.05), Cross-Sectional Momentum (-0.21) [4] - Energy and Chemicals: Time-Series Momentum (-0.02), Cross-Sectional Momentum (0.18) [4] - Agricultural Products: Time-Series Momentum (0.13), Cross-Sectional Momentum (0.35) [4] - Stock Indices: Time-Series Momentum (-0.71), Cross-Sectional Momentum (0.46) [4] - Precious Metals: Time-Series Momentum (0.12), Cross-Sectional Momentum (N/A) [4] --- Quantitative Factors and Construction Methods 1. Factor Name: Supply Factor - **Factor Construction Idea**: Measures the supply-side dynamics of commodities, including production levels and inventory changes [3][7] - **Factor Construction Process**: - Tracks production data, such as operating rates and output levels - Incorporates inventory trends to assess supply-side pressure - Aggregates these metrics into a single supply signal [3][7] - **Factor Evaluation**: The factor effectively captures supply-side influences but may lag in responding to sudden disruptions [3][7] 2. Factor Name: Demand Factor - **Factor Construction Idea**: Evaluates demand-side conditions using consumption data and downstream activity levels [3][7] - **Factor Construction Process**: - Monitors downstream consumption metrics, such as procurement volumes and production activity - Aggregates these indicators to generate a demand signal [3][7] - **Factor Evaluation**: The factor provides insights into consumption trends but may be influenced by seasonal variations [3][7] 3. Factor Name: Inventory Factor - **Factor Construction Idea**: Tracks inventory levels to assess market balance and potential price pressure [3][7] - **Factor Construction Process**: - Collects inventory data from key regions and aggregates it into a composite signal - Differentiates between regional inventory trends to identify localized imbalances [3][7] - **Factor Evaluation**: The factor is useful for identifying supply-demand mismatches but may not fully capture speculative inventory behavior [3][7] 4. Factor Name: Price Spread Factor - **Factor Construction Idea**: Analyzes price differentials across contracts or regions to identify arbitrage opportunities [3][7] - **Factor Construction Process**: - Calculates the spread between near-month and far-month contracts or between regional prices - Normalizes the spread to account for seasonal and structural differences - Aggregates the spread data into a directional signal [3][7] - **Factor Evaluation**: The factor is effective in identifying relative value opportunities but may be sensitive to short-term noise [3][7] 5. Factor Name: Profit Factor - **Factor Construction Idea**: Measures profitability dynamics in production and processing activities [7] - **Factor Construction Process**: - Tracks input costs and output prices to calculate profit margins - Aggregates margin data across regions and production methods to generate a profit signal [7] - **Factor Evaluation**: The factor captures economic incentives but may lag in responding to rapid cost or price changes [7] --- Backtesting Results of Factors 1. Supply Factor - Weekly Return: 1.92% [7] - Monthly Return: 2.04% [7] 2. Demand Factor - Weekly Return: -1.28% [7] - Monthly Return: 1.14% [7] 3. Inventory Factor - Weekly Return: 0.00% [7] - Monthly Return: 2.77% [7] 4. Price Spread Factor - Weekly Return: 0.00% [7] - Monthly Return: 1.50% [7] 5. Profit Factor - Weekly Return: 1.89% [7] - Monthly Return: 0.26% [7]