Investment Rating - The report rates the dollar as "volatile" [6] Core Insights - Market risk appetite continues to decline, with most global stock markets experiencing downturns and bond yields rising, particularly US Treasury yields which have slightly increased to 4.31% [9][11] - The US dollar index fell by 0.12% to 103.7, while non-US currencies showed mixed performance [9][22] - The latest US CPI data for February was below expectations, with year-on-year growth dropping from 3% to 2.8% and core CPI decreasing from 3.3% to 3.1% [2][29] - Inflation expectations have risen, with the one-year inflation expectation jumping from 4.3% to 4.9% and the five-to-ten-year expectation increasing from 3.5% to 3.9% [2][11] Summary by Sections Global Market Overview - The market is characterized by a continued decline in risk appetite, with most stock markets down and bond yields up, particularly US Treasury yields which rose to 4.31% [9][11] - The dollar index decreased by 0.12% to 103.7, while gold prices increased by 2.6% to 2984 USD/oz [9][25] Market Trading Logic and Asset Performance - The US stock market has seen a four-week decline, influenced by tariff policies and recession expectations, with the S&P 500 dropping by 2.27% [11] - The February CPI data indicates a cooling inflation trend, with core inflation pressures easing, although food prices are rising [2][29] - The Federal Reserve is expected to maintain its current interest rates in the upcoming meeting, with inflation risks increasing [2][11] Hotspot Tracking - The February CPI data from the US was notably below expectations, indicating a temporary easing of inflation concerns [3][29]

周度报告——期权保值 商品期权周报：部分品种显著升波，关注 卖权机会 报告日期： 2025 年 3 月 15 日 ★ 商品期权市场活跃度 ★ 商品期权主要数据点评 标的涨跌情况：本周商品期权标的涨跌不一，有色、农产品 板块涨多跌少。周度涨幅较高的品种有沪锡（+9.47%）、菜 粕（+9.08%）；跌幅较高的品种有烧碱（-3.92%）、氧化铝 （-3.43%）、鸡蛋（-3.20%）。 市场波动情况：本周商品期权市场大部分品种隐波维持相对 低位，38 个品种当前隐波位于历史 50%分位以下，买权相对 较为便宜，可关注单边买入看涨或看跌期权的 Delta 策略。 当前隐波历史分位较高的品种为沪锡（100%）、苹果 （82.17%），市场对于标的价格波动的预期相对较为强烈， 警惕单边风险，可以关注后续做空波动率的机会。 期权市场情绪：当前菜油、鸡蛋和聚丙烯的成交量 PCR 处于 历史高位，市场短期看跌情绪较为强烈，注意标的价格回调 风险；碳酸锂、镍和氧化铝的成交量 PCR 处于历史低位，短 期看涨情绪较为集中。菜粕、锡、LPG 持仓量 PCR 位于历史 高位，市场看跌情绪已积累至较高水平；而 PTA、锌、氧化 铝持仓 ...

热点报告——商品期权 沪锡期权盘中飙升 3200 倍点评 报告日期： 2025 年 3 月 14 日 ★ 沪锡期权盘中飙升 3200 倍 2025 年 3 月 13 日，产能占全球供应 6%的 Bisie South 矿区因 武装冲突全面停产。此前缅甸禁矿令已导致中国进口锡矿同 比下滑 17.79%，此次事件进一步加剧原料短缺恐慌。 13 日夜盘，沪锡主力 SN2504 一路震荡走高，最高涨幅达 9.50%以上，14 日开盘后迅速涨停封板。与此同时沪锡 SN2504 看涨期权部分期权费从 2 元飙升至最高约 6478 元，涨幅超 3200 倍，创造了中国商品期权市场历史上最高单日涨幅。 ★ 期权为何能够创造千倍收益？ 此次沪锡期权市场出现罕见行情，部分合约实现超 3000 倍涨 幅，这一极端收益是多重风险因子共振的结果。 1）方向性收益：在期货价格震荡上行的过程中，Delta 和 Gamma 也同时上升，带来了较高的方向性收益。2）波动率 收益：14 日盘中主力平值隐波飙升至 38%左右，单日增幅达 137%。买权在升波的过程中获取了高额波动率收益。3）临 近到期，初始时间价值低：4）标的期货涨停缺乏流动性， ...

日度报告——综合晨报 美国 2 月 CPI 低于预期，欧盟将对美国商品 征收反制性关税 [T报ab告le_日R期an：k] 2025-03-13 宏观策略（外汇期货(美元指数)） 美国 2 月份通胀数据低于预期 美国 2 月 CPI 低于预期，核心 CPI 环比增速走低，这使得市场 对于通胀的担忧暂时放缓，市场风险偏好回升。 宏观策略（国债期货） 央行开展了 1754 亿元 7 天期逆回购操作 综 降息预期回吐的行情处于尾声，后续驱动市场走势的逻辑应逐 渐转为央行态度的变化。做多债券虽然略偏左，但赔率已经逐 渐合适。 合 宏观策略（股指期货） 晨 国常会讨论 2025 年重点工作分工方案 报 股票市场冲高回落，港股回调幅度大于 A 股，市场震荡调整逐 渐开始。近期美股回调对全球资金再平衡也形成一定支撑，后 续若美股反弹，全球资金或将减配中国权益资产。 农产品（豆油/菜油/棕榈油） 3 月 USDA 报告豆油部分解读 美豆油生物燃料需求下调，豆油弱势整理。 有色金属（铜） 铜陵有色冶炼厂采取检修应对矿紧困境 基本面因素对铜价支撑增强，减产预期提升市场多头信心，预 计铜价震荡偏强运行为主，策略上短期偏多头思维操作 ...

Investment Rating - The report indicates a "震荡" (fluctuating) rating for the dollar in the short term, with expectations of a 5% to 15% increase over the next 1-3 months [39]. Core Insights - Market risk appetite continues to decline, with most stock markets experiencing downturns and bond yields generally falling, as evidenced by the U.S. Treasury yield dropping to 4.21% [9][11]. - The U.S. dollar index rose by 0.94% to 107.6, while all non-U.S. currencies depreciated, including a 0.54% drop in offshore RMB and a 2.1% decline in Brent crude oil to $73.4 per barrel [9][25][28]. - The imposition of tariffs by Trump on non-energy imports from Mexico and Canada at 25% and an additional 10% on China is expected to further suppress market risk appetite [2][32]. Summary by Sections Global Market Overview - The report highlights a continued decline in market risk appetite, with most stock markets down and bond yields falling, particularly the U.S. Treasury yield at 4.21% [9][11]. - The dollar index increased by 0.94% to 107.6, while gold prices fell by 2.7% to $2858 per ounce, and the VIX index rose to 19.6 [9][28]. Market Trading Logic and Asset Performance - Stock markets globally are mostly retreating, with the S&P 500 down 0.98% and the Shanghai Composite Index down 1.72% [10][11]. - Economic data shows signs of weakening, with new home sales in January annualized at 657,000, below expectations of 680,000 [11]. - The Federal Reserve's monetary policy remains on hold, with hawkish comments suggesting a need for higher interest rates [2][11]. Hotspot Tracking - The report notes an increase in tariff pressures from Trump, which is expected to have significant implications for market dynamics and economic conditions [3][32].

★宏观因子配置策略 本月宏观动量预测结果分别为：增长(下行)，通胀(上行)，信用 (上行)，利率(上行)；宏观因子 S1 策略本月配置比例为：股票 (35.98%)，债券(14.39%)，商品(49.63%)；本月至今股债商策略 回报为-0.04%，股债策略回报为 1.57%。 宏观因子 S2 策略配置比例为：沪深 300(28.32%)，中证 500(7.04%)，中证 1000(8.76%)，利率债(11.8%)，金融债(12.52%)， 信用债(1.1%)，农产品(13.98%)，金属(3.86%)，化工(7.41%)，能 源(2.35%)，黄金(2.86%)，本月至今回报为 0.33%。 周度报告—金融工程 金工大类资产配置周报 [Table_Rank] 报告日期： 2024 年 12 月 29 日 [Table_Summary] ★市场回顾 宽基指数方面，本周涨跌幅排名前五的宽基指数及其涨跌幅分 别为日经 225(4.1%)，大盘价值(2.9%)，上证 50(2.0%)，恒生指 数(1.9%)，胡志明股市指数(1.4%)；本周涨跌幅排名后五的宽基 指数及其涨跌幅分别为北证 50(-6.6%)，中证 ...

Investment Rating - The report indicates a positive outlook for the new energy vehicle (NEV) industry, with a recommendation to focus on companies with strong product capabilities and stable supply chains [32][30]. Core Insights - The NEV market is transitioning from policy-driven growth to market-driven growth, with a penetration rate surpassing 30% in 2023 and expected to exceed 50% in 2024, marking a significant shift where NEVs outpace traditional fuel vehicles for the first time [32][31]. - The report highlights a strong market performance in December, with retail sales of NEVs reaching 536,000 units from December 1-15, a year-on-year increase of 71%, and an estimated total of 1.4 million units for the month, achieving a penetration rate of approximately 51.9% [40][43]. - The report notes that major Japanese automakers Honda and Nissan are negotiating a merger to better compete globally, particularly against Tesla and Chinese manufacturers [31]. Summary by Sections 1. Key Targets Tracking - The report tracks significant companies in the NEV sector, emphasizing the competitive landscape and market dynamics [19]. 2. Industry Data Collection 2.1 Global Vehicle Sales - Global NEV sales data is presented, showcasing trends and growth rates across different regions [4]. 2.2 China Vehicle Sales - In China, NEV sales are projected to continue growing, with specific figures indicating a robust market response [27][40]. 2.3 European Vehicle Sales - The report includes insights into NEV sales in Europe, highlighting regional performance and market penetration [4]. 2.4 North American Vehicle Sales - North American NEV sales trends are also discussed, providing a comparative analysis with other regions [4]. 3. Industry News Summary 3.1 China Industry Data - The report summarizes key industry data from China, reflecting the rapid growth and adoption of NEVs [30]. 3.2 Company Dynamics - Updates on major companies in the NEV sector are provided, including strategic moves and market positioning [31]. 3.3 Overseas Policy Updates - The report discusses international policy changes affecting the NEV market, particularly in relation to incentives and regulations [31]. 4. Industry Perspective - The report presents a comprehensive view of the NEV industry's future, emphasizing the shift towards market-driven growth and the importance of competitive strategies [32]. 5. Investment Recommendations - Recommendations focus on companies with strong product offerings and effective international expansion strategies, as well as those with stable supply chains [32].

Market Overview - During the week of December 16-22, government bond futures experienced fluctuations and ultimately rose[1] - As of December 20, the settlement prices for the 2-year, 5-year, 10-year, and 30-year government bond futures were 103.066, 106.685, 108.860, and 118.240 yuan, reflecting changes of +0.168, +0.275, +0.320, and +0.470 yuan respectively compared to the previous week[1] Economic Data Impact - November financial and economic data fell short of market expectations, leading to a strong opening for government bond futures on Monday[1] - Key economic indicators included a year-on-year growth in fixed asset investment of 3.3%, retail sales growth of 3.0%, and industrial production growth of 5.4%[1] Market Sentiment and Strategy - The market is expected to maintain a balanced and loose liquidity environment, with a low probability of significant negative factors emerging[1] - Investment strategies suggested include maintaining existing positions, focusing on steepening yield curve strategies, and considering short hedging strategies to lock in previous gains[1] Interest Rate Trends - As of December 20, the yields for the 2-year, 5-year, 10-year, and 30-year government bonds were 1.08%, 1.38%, 1.71%, and 1.96%, showing declines of 9.40, 5.47, 6.49, and 4.50 basis points respectively[1] - The DR007 rate was reported below 1.6%, indicating limited downward space for policy rates[1] Financing and Market Activity - This week, the net financing amount for government bonds was -724.55 billion yuan, with total issuance and net financing for local government bonds at 357.77 billion and 150.05 billion yuan respectively[1] - The average daily trading volume for government bond futures was reported at 42606, 73081, 90173, and 98935 contracts for the 2-year, 5-year, 10-year, and 30-year bonds respectively, indicating an increase in trading activity[1]

Market Overview - A-shares showed resilience amidst market fluctuations, with the Shanghai and Shenzhen stock exchanges recording a trading volume of 1.53 trillion yuan, down 0.19 trillion yuan from the previous day[9] - The North China 50 index led the decline with a drop of 3.22%, while the ChiNext and Sci-Tech 50 indices fell nearly 1.5%[9] - The overall market displayed a clear style reversal, with large-cap indices like the Shanghai 50 and CSI 300 gaining, while mid and small-cap indices dropped over 4%[9] Economic Indicators - In November, the industrial added value of large-scale enterprises increased by 5.4% year-on-year, while the service production index rose by 6.1%[15] - The total retail sales of consumer goods reached 43,763 billion yuan, marking a 3.0% year-on-year increase[15] - Fixed asset investment (excluding rural households) totaled 465,839 billion yuan from January to November, up 3.3% year-on-year[15] Global Market Context - The MSCI global index fell by 2.53%, with emerging markets declining by 3.14% and developed markets down by 2.46%[54] - Chinese stocks experienced a smaller decline of 0.95%, outperforming global markets, while South Africa's market saw the largest drop at 6.24%[54] Sector Performance - The technology sector in China led gains with a 2.33% increase, while the real estate sector faced the largest decline at 4.84%[58] - Among A-share sectors, communication services rose by 3.58%, while real estate dropped by 5.01%[60] Investment Insights - The report suggests a focus on changes in trading volume for the upcoming week, indicating potential shifts in market dynamics[18] - The analysis highlights the importance of monitoring macroeconomic policies and their impact on market trends, particularly regarding government investment and debt management strategies[34]

Quantitative Models and Construction Methods - **Model Name**: OLS Model **Construction Idea**: Linear regression-based model to predict commodity returns using historical data[159][158] **Construction Process**: 1. Data preprocessing: Adjust frequency, handle missing values, remove outliers, and normalize data[155][157] 2. Feature extraction: Use PCA to reduce dimensionality and avoid overfitting[155] 3. Model training: Train OLS model using rolling five-year data (2015-2020) and predict T+1 to T+6 VWAP returns[158] 4. Strategy construction: Build market-neutral and directional long-short strategies based on predictions[158] **Evaluation**: Directional long-short strategies outperform market-neutral ones in terms of annualized returns and Sharpe ratio[159] **Formula**: Not explicitly provided - **Model Name**: XGB Model **Construction Idea**: Non-linear regression model leveraging gradient boosting for commodity return predictions[163][158] **Construction Process**: 1. Data preprocessing: Similar to OLS model[155][157] 2. Feature extraction: PCA for dimensionality reduction[155] 3. Model training: Train XGB model using rolling five-year data (2015-2020) and predict T+1 to T+6 VWAP returns[158] 4. Strategy construction: Build market-neutral and directional long-short strategies based on predictions[158] **Evaluation**: Directional long-short strategies show higher stability and returns compared to market-neutral ones[166] **Formula**: Not explicitly provided - **Model Name**: Composite Model **Construction Idea**: Combine predictions from OLS and XGB models using equal weights[167][158] **Construction Process**: 1. Data preprocessing: Same as OLS and XGB models[155][157] 2. Feature extraction: PCA for dimensionality reduction[155] 3. Model training: Combine OLS and XGB predictions with equal weights[158] 4. Strategy construction: Build market-neutral and directional long-short strategies based on combined predictions[158] **Evaluation**: Market-neutral strategies outperform directional ones in 2024, showing higher annualized returns and Sharpe ratio[167] **Formula**: Not explicitly provided Model Backtesting Results - **OLS Model**: - Market-neutral strategy: Annualized return 3.08%, Sharpe ratio 0.44[159][170] - Long-short strategy: Annualized return 0.59%, Sharpe ratio 0.07[159][170] - **XGB Model**: - Market-neutral strategy: Annualized return -7.74%, Sharpe ratio -1.25[166][165] - Long-short strategy: Annualized return -5.36%, Sharpe ratio -0.41[166][165] - **Composite Model**: - Market-neutral strategy: Annualized return 3.08%, Sharpe ratio 0.44[167][170] - Long-short strategy: Annualized return 0.59%, Sharpe ratio 0.07[167][170] Quantitative Factors and Construction Methods - **Factor Name**: Carry Factor **Construction Idea**: Exploit price differences across contract maturities[137][138] **Construction Process**: 1. Identify futures contracts with significant price spreads[137] 2. Construct portfolios based on long-short positions across maturities[137] **Evaluation**: Stable performance with annualized return 8.4%, Sharpe ratio 1.72[134][137] - **Factor Name**: Trend Factor **Construction Idea**: Capture momentum in commodity prices[137][138] **Construction Process**: 1. Use historical price data to identify upward or downward trends[137] 2. Construct portfolios based on trend-following signals[137] **Evaluation**: Moderate performance with annualized return 6.3%, Sharpe ratio 1.05[134][137] - **Factor Name**: Value Factor **Construction Idea**: Identify undervalued or overvalued commodities based on historical price metrics[137][138] **Construction Process**: 1. Compare current prices to historical averages[137] 2. Construct portfolios based on valuation signals[137] **Evaluation**: Lower performance with annualized return 3.2%, Sharpe ratio 0.58[134][137] Factor Backtesting Results - **Carry Factor**: Annualized return 8.4%, Sharpe ratio 1.72[134][137] - **Trend Factor**: Annualized return 6.3%, Sharpe ratio 1.05[134][137] - **Value Factor**: Annualized return 3.2%, Sharpe ratio 0.58[134][137] Commodity Strategy Tracking Results - **CWFT Strategy**: Annualized return 10.2%, Sharpe ratio 1.69, Calmar ratio 1.16[152][153] - **C_frontnext & Short Trend Strategy**: Annualized return 13.0%, Sharpe ratio 1.95, Calmar ratio 1.94[152][153] - **Long CWFT & Short CWFT Strategy**: Annualized return 14.5%, Sharpe ratio 1.54, Calmar ratio 1.11[152][153] - **CS XGBoost Strategy**: Annualized return 9.6%, Sharpe ratio 1.63, Calmar ratio 1.31[152][153] - **RuleBased TS Sharp-combine Strategy**: Annualized return 12.3%, Sharpe ratio 1.54, Calmar ratio 1.49[152][153] - **RuleBased TS XGB-combine Strategy**: Annualized return 12.8%, Sharpe ratio 2.11, Calmar ratio 2.84[152][153] - **CS Strategies EW Combine**: Annualized return 15.9%, Sharpe ratio 2.15, Calmar ratio 2.15[152][153]