1. Report Industry Investment Rating - No information provided in the report. 2. Core Views of the Report - Gold: Unemployment is rising [2] - Silver: Undergoing high - level adjustment [2] - Copper: The weakening dollar supports prices [2] - Zinc: Domestic and overseas markets are in resonance [2] - Lead: Lacking price drivers and experiencing price fluctuations [2] - Tin: Supply is disrupted again [2] - Aluminum: Trading sideways [2] - Alumina: Slightly rebounding [2] - Cast aluminum alloy: Following the trend of electrolytic aluminum [2] - Platinum: Showing a strong upward momentum [2] - Palladium: Continuously breaking through resistance levels and approaching previous highs [2] - Nickel: The structural surplus is changing, and attention should be paid to Indonesia's policy risks [2] - Stainless steel: Supply and demand are both weak, and steel prices are fluctuating at low levels [2] 3. Summary by Related Catalogs Gold - **Fundamentals**: The closing prices of various gold futures and spot products showed fluctuations. For example, the closing price of Shanghai Gold 2602 was 971.42, with a daily decline of 1.19%. Trading volume decreased, and inventory changes were relatively small [4] - **News**: US non - farm payrolls in October had the largest decline in five years, recovered in November but remained weak overall, and the unemployment rate reached a four - year high [4] - **Trend Intensity**: 0, indicating a neutral trend [8] Silver - **Fundamentals**: Similar to gold, silver prices fluctuated, trading volume decreased, and inventory changes were significant in some cases. For example, the Shanghai Silver 2602 closing price was 14666, with a daily decline of 0.85% [4] - **Trend Intensity**: 0, indicating a neutral trend [8] Copper - **Fundamentals**: The closing prices of Shanghai and London copper futures declined. Trading volume and open interest decreased. Inventory changes were mixed, and spot - futures spreads also changed [10] - **News**: In November, US non - farm payrolls exceeded expectations, but the unemployment rate unexpectedly reached a four - year high. In October, Codelco's copper production in Chile decreased by 14.3% year - on - year, while Peru's copper production increased by 4.8% [10][12] - **Trend Intensity**: 0, indicating a neutral trend [12] Zinc - **Fundamentals**: The closing prices of Shanghai and London zinc futures declined. Trading volume and open interest decreased. Spot premiums and discounts, inventory, and other indicators also changed [13] - **News**: US retail sales in October were flat overall, but core indicators strongly supported Q4 growth. The eurozone's December manufacturing PMI contracted further [14] - **Trend Intensity**: - 1, indicating a slightly bearish trend [15] Lead - **Fundamentals**: The closing prices of Shanghai and London lead futures declined. Trading volume and open interest showed different trends, and inventory and price spreads changed [16] - **News**: Similar to copper, US non - farm payrolls and the eurozone's manufacturing PMI had a certain impact [17] - **Trend Intensity**: 0, indicating a neutral trend [17] Tin - **Fundamentals**: The closing prices of Shanghai and London tin futures declined. Trading volume decreased, and inventory and price spreads changed [19] - **News**: Similar to gold, including US non - farm payrolls and other macro - news [20] - **Trend Intensity**: - 1, indicating a slightly bearish trend [21] Aluminum, Alumina, Cast Aluminum Alloy - **Fundamentals**: Aluminum prices were trading sideways, alumina prices slightly rebounded, and cast aluminum alloy followed electrolytic aluminum. Various futures and spot indicators such as closing prices, trading volume, open interest, inventory, and price spreads changed [22] - **News**: China plans to promote investment and consumption growth next year, and the real estate supply side will control increments and revitalize stocks. The US labor market is cooling [23] - **Trend Intensity**: 0, indicating a neutral trend for all three [23] Platinum and Palladium - **Fundamentals**: Platinum and palladium prices rose, trading volume and open interest changed, and ETF holdings and price spreads also changed [26] - **News**: US non - farm payrolls, ADP employment reports, and news related to the Fed chair candidate and international trade policies [29] - **Trend Intensity**: 1, indicating a slightly bullish trend for both [28] Nickel and Stainless Steel - **Fundamentals**: Nickel and stainless steel prices declined. Various industry indicators such as trading volume, open interest, product prices, and spreads changed [30] - **News**: Indonesian nickel mines have been affected by regulatory actions, China has adjusted import subsidies, and the US may impose additional tariffs on China. Also, some US Fed officials have made dovish statements, and China will implement export license management for some steel products [30][33] - **Trend Intensity**: 0, indicating a neutral trend for both [34]

1. Report Industry Investment Ratings No information about industry investment ratings is provided in the report. 2. Core Views of the Report - Nickel: The surplus shows a structural shift, and attention should be paid to Indonesia's policy risks [2][4]. - Stainless steel: Supply and demand are both weak, and steel prices fluctuate at a low level [2][4]. - Lithium carbonate: The impact of mining right cancellation is limited, but sentiment may be supported [2][9]. - Industrial silicon: The strategy is mainly to short on rallies [2][12]. - Polysilicon: Some companies have raised their quotes, and attention should be paid to actual transactions [2][13]. 3. Summary by Relevant Catalogs Nickel and Stainless Steel Fundamental Data - **Futures**: The closing price of the Shanghai Nickel main contract was 112,290, down 2,400 from the previous day; the closing price of the stainless - steel main contract was 12,320, down 160 from the previous day [4]. - **Industry Chain**: The price of 1 imported nickel was 112,350, down 2,700 from the previous day; the price of 304/2B coil - cut edge (Wuxi, Taiyuan/Zhangpu) was 13,250, down 50 from the previous day [4]. Macro and Industry News - Indonesia's forestry working group took over more than 148 hectares of the PT Weda Bay Nickel mining area, which is expected to affect nickel ore production by about 600 metal tons per month [4]. - China suspended an unofficial subsidy for copper and nickel imports from Russia [5]. - Indonesia's energy and mineral resources ministry imposed sanctions on 190 mining companies [5]. - Indonesia's OSS platform suspended the issuance of new smelting licenses [7]. - Some nickel wet - process projects in Indonesia's industrial park will reduce production in December, affecting about 6000 nickel metal tons [7]. Trend Intensity The trend intensity of nickel is 0, and that of stainless steel is 0 [8]. Lithium Carbonate Fundamental Data - **Futures**: The closing price of the 2601 contract was 98,740, down 360 from the previous day; the closing price of the 2605 contract was 100,600, down 460 from the previous day [9]. - **Industry Chain**: The price of battery - grade lithium carbonate was 95,850, up 700 from the previous day; the price of lithium mica (2.0% - 2.5%) was 2,700, up 80 from the previous day [9]. Macro and Industry News - The SMM battery - grade lithium carbonate index price rose by 724 yuan/ton compared with the previous trading day [10]. - Jiangxi Special Electric Co., Ltd.'s mining right in the Shiziling mining area may be cancelled, and the company is striving to renew it and promote the production of the Xikeng lithium mine [11]. Trend Intensity The trend intensity of lithium carbonate is 0 [11]. Industrial Silicon and Polysilicon Fundamental Data - **Futures Market**: The closing price of the Si2605 contract was 8,365, up 15 from the previous day; the closing price of the PS2605 contract was 58,600, up 570 from the previous day [13]. - **Price and Profit**: The price of Xinjiang 99 - silicon was 8,750, unchanged from the previous day; the profit of silicon plants in Xinjiang (new standard 553) was - 2,919.5 yuan/ton, down 85 from the previous day [13]. - **Inventory**: The industrial silicon - social inventory (including warehouse receipt inventory) was 56.1 tons, with an increase of 0.3 tons compared with a week ago; the polysilicon - manufacturer inventory was 29.3 tons, with an increase of 0.2 tons compared with a week ago [13]. Macro and Industry News In 2025, the total installed power generation capacity in China will exceed 3.8 billion kilowatts, a year - on - year increase of 14%, and the total social electricity consumption is expected to exceed 10 trillion kilowatt - hours for the first time [13][15]. Trend Intensity The trend intensity of industrial silicon is - 1, and that of polysilicon is 1 [15].

| 铁矿石：下游需求空间有限，估值偏高 | 2 | | --- | --- | | 螺纹钢：低位震荡 | 3 | | 热轧卷板：低位震荡 | 3 | | 硅铁：多空情绪博弈，宽幅震荡 | 5 | | 锰硅：多空情绪博弈，宽幅震荡 | 5 | | 焦炭：宽幅震荡 | 7 | | 焦煤：宽幅震荡 | 7 | | 原木：低位震荡 | 9 | 国泰君安期货商品研究晨报-黑色系列 观点与策略 国 泰 君 安 期 货 研 究 请务必阅读正文之后的免责条款部分 1 2025年12月17日 【基本面跟踪】 铁矿石基本面数据 期货研究 商 品 研 究 所 商 品 研 究 2025 年 12 月 17 日 铁矿石：下游需求空间有限，估值偏高 张广硕 投资咨询从业资格号：Z0020198 zhangguangshuo@gtht.com | 期 货 | | | 昨日收盘价（元/吨） | 涨跌（元/吨） | 涨跌幅 1.06% | | --- | --- | --- | --- | --- | --- | | | | | 761.0 | 8.0 | | | | I2605 | | | 昨日持仓（手） | 持仓变动（手） | | | | ...

Report Industry Investment Rating No relevant content provided. Core View of the Report - The performance of the subjective CTA strategy line in 2026 will be better than that in 2025. The decline in Sino-US macro uncertainty and the rise in commodity volatility in a low-interest rate environment are favorable for subjective CTA managers in the commodity sector [1][37]. Summary by Relevant Catalogs 1. 2025 Subjective CTA Review 1.1 Subjective CTA Strategy Net Value Performance - In 2025, the net value performance of managers in the observation pool was weaker than that in the same period of 2024. Due to the interference of Sino-US trade friction uncertainty, the trading certainty of managers based on industrial supply and demand research declined significantly, resulting in weakened position-holding confidence and reduced income [7]. - In terms of sectors, black sector managers were relatively prominent in 2025. In the first half of the year, the cost collapse of coal drove the downward trend of black sector prices, and some black managers obtained trading opportunities with industrial and macro resonance. In the second half of the year, the divergence between the futures market sentiment and the spot market led to a significant decline in the net value of black sector managers. Agricultural product managers were greatly affected by foreign trade frictions, and the predictability of agricultural product imports was extremely poor, which affected their income acquisition [9][10]. - In terms of scale, there was little difference in the income performance of managers of different scales in 2025. The large-scale multi-sector managers did not show more obvious investment research advantages, and the small-scale managers did not show more income acquisition ability [14]. 1.2 2025 Subjective CTA Strategy Income Attribution - In 2025, the Nanhua Commodity Index fluctuated throughout the year, and some varieties showed structural differentiation, but the overall commodity index did not show a trending market. In the first half of the year, affected by Sino-US trade friction, the commodity index was under pressure to decline. After June, with the stalemate of Sino-US trade friction, "anti-involution" became a new theme, driving the commodity index to stabilize and rebound [17][18]. - The annual commodity index fluctuation and subjective CTA income acquisition in 2025 were mainly divided into two stages: - From January to May 2025, driven by the uncertainty brought by Sino-US trade friction, precious metals continued the upward trend at the end of 2024, with the London Spot Gold Index rising by 25.5% from January to May. At the same time, domestic industrial products, mainly domestic demand, weakened, with the CSI Steel Index falling by 13% from January to May. Managers mainly trading precious metals and black sector managers who shorted coal and coke or held positions such as buying ore and shorting coal obtained good income [20]. - From June to December 2025, Sino-US trade friction entered a stalemate stage, and the market generally expected that there would be no more negative news. "Anti-involution" became the core driving force in domestic industrial policies. There was a great divergence between subjective CTA private equity managers and industrial participants on whether "anti-involution" could be compared with the supply-side reform in 2016 - 2021. The net value of black sector managers declined significantly after June. In the agricultural product sector, the income of some managers was damaged due to the decline in palm oil prices. In the non-ferrous sector, managers using unilateral trading strategies performed better than those using arbitrage trading strategies [24][25]. 2. Subjective CTA Strategy Industry Ecological Changes 2.1 Head Managers Iterate towards Multi-Asset and Multi-Strategy - Head managers are rapidly iterating towards multi-asset and multi-strategy. The reasons may include limited capital capacity of single-asset futures trading, quarterly income convergence of single-commodity assets, increasing linkage between the equity market and the commodity market, and the need to reduce the impact of single-asset judgment errors on the net value and obtain beta opportunities of other assets [30]. - Expanding the ability circle does not necessarily lead to a significant decline in income. For commodity managers aiming at the asset management path, expanding the trading ability of other sectors can form a positive iteration between asset management scale and investment research [31]. 2.2 Start-up Private Equity Shows Strong Drawdown Control Ability in the Early Stage - In 2025, start-up private equity showed strong drawdown control ability in the early stage. Small-scale managers' weekly drawdown control ability was not weaker than that of large-scale managers. Domestic subjective futures private equity asset management has an obvious sample effect, and small-scale managers are clear about the subsequent asset management path and pay attention to controlling drawdown to improve investors' holding experience [33]. 2.3 In the Market with a Diverse Structure, Single-Industry Logic is Slightly Weak in Trading, Requiring Managers to Have More Comprehensive Abilities - The pricing ability of industrial logic in commodity futures has been weakened, and non-industrial logic forces such as macro strategies and multi-asset strategies have entered the market, making it difficult for teams relying solely on industrial logic to trade [35]. - From the perspective of capital allocation, industry is still the basis for studying subjective CTA managers, but managers should not have obvious shortcomings in macro judgment, trading, and risk control. Research determines the winning rate, trading and risk control determine the profit-loss ratio, and excellent traders are not necessarily excellent asset management managers [35][36]. 3. 2026 Subjective CTA Outlook - The decline in Sino-US macro uncertainty will make the commodity's own supply and demand the dominant factor, which is beneficial to subjective CTA managers based on industrial supply and demand research. There may be industrial contradictions in coking coal, iron ore in the black sector, and lithium carbonate in the new energy sector [37]. - In a low-interest rate environment, the rise in commodity volatility is conducive to managers to create better income. In 2026, the domestic low-interest rate environment will continue, and the main line of commodity trading may shift from precious metals in 2025 to basic bulk commodities [38]. - Subjective CTA managers are extending towards multi-asset and multi-strategy to provide better holding experience for investors. This change also makes the scale of subjective CTA managers further included in the capital allocation options [39].

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - In the second half of 2025, the uncertainty of domestic and foreign policies improved. With the improvement of global liquidity and the stabilization of the domestic economy, the diversification effect among stocks, bonds, and commodities significantly recovered since mid - year, and the effectiveness of asset allocation increased. The overseas policy path became clearer, the Fed entered the interest - rate cut cycle, and major economies increased fiscal expansion, driving the global economy to show signs of mild recovery and supporting emerging market demand. In this context, market risk appetite recovered, and the resonance risk of assets decreased. The external environment for macro - hedging strategies improved significantly compared to the beginning of the year, and profits were achieved in the second half of the year [2]. - In 2026, the allocation cost - performance of macro - hedging strategies will increase. Risk - parity strategies have more bottom - position value in an environment where asset correlations decline, which can balance return acquisition and drawdown control. However, the market may still experience periodic fluctuations, so it is necessary to pay attention to whether the manager has a perfect tail - risk protection mechanism. In the pattern where asset differentiation reappears, moderately increasing the allocation of asset - rotation managers with single - asset alpha - capture ability can enhance the portfolio's return elasticity and optimize the risk - return structure [3]. Summary According to the Table of Contents 1. Review of the Performance of Macro - Hedging Strategies in 2025 1.1 Review of the Performance of Risk - Parity and Asset - Rotation Strategies - The "risk - parity" index of domestic macro - hedging managers had a net value of 1.172 as of November 28, 2025. The weekly average return was 0.36%, with an annualized value of 20.29%, and the weekly volatility was 1.41%, with an annualized volatility of 10.15%. The cumulative maximum drawdown was - 4.09%, reaching the bottom in the week after April 11 (Tomb - Sweeping Festival). The "asset - rotation" index had a net value of 1.101. The weekly average return was 0.21%, with an annualized value of 11.72%, and the weekly volatility was 0.93%, with an annualized volatility of 6.67%. The cumulative maximum drawdown was - 3.73%, reaching the bottom on May 23. Overall, the performance of risk - parity strategies was better than that of asset - rotation strategies in 2025, but the volatility was also greater [6][7]. - For risk - parity macro - hedging managers, the average weekly return was positive in 30 weeks and negative in 16 weeks from January 3 to November 28, 2025. The highest single - week return was 5.87%, occurring in the week of May 23, mainly due to the sharp increase in gold prices, and the maximum single - week drawdown was - 2.35%, occurring after the Tomb - Sweeping Festival on April 11. For asset - rotation macro - hedging managers, the weekly return was positive in 25 weeks and negative in 20 weeks. The highest single - week return was 2.57%, also occurring after the Spring Festival in February, and the maximum single - week drawdown was - 2.06%, occurring in the week of November 21, following the stock decline that week [8]. - The performance of macro - hedging strategies was differentiated in the first and second halves of the year, with the second - half performance being significantly better. In the first half, due to high macro - volatility and global macro - uncertainties, the drawdown and volatility of risk - parity managers were greater than those of asset - rotation managers. After the Tomb - Sweeping Festival, the net values of the two strategies diverged significantly. In the second half, the stock - bond bull market and the continuous strengthening of gold after the third quarter led to a significant increase in the returns of macro - hedging strategies. After September, the risk - parity strategies outperformed the asset - rotation strategies due to their passive holding of gold positions, but the overall volatility was also greater [9]. 1.2 Review of the Performance of Subjective and Quantitative Strategies - As of November 28, 2025, the cumulative net value of the quantitative macro - hedging index was 1.128, and that of the subjective macro - hedging index was 1.118. The average weekly return of the quantitative macro - index was 0.27%, with a weekly volatility of 0.98% (annualized volatility of 7.06%). The average weekly return of the subjective macro - index was 0.25%, with a weekly volatility of 1.03% (annualized volatility of 7.46%). The single - week maximum return of the quantitative macro - hedging index was 3.36% on May 23, and the maximum single - week drawdown was - 2.47% after the Tomb - Sweeping Festival on April 11. The maximum single - week return of the subjective macro - hedging index was 3.00% on February 7, and the maximum single - week drawdown was - 2.37% on November 21 [12]. - In terms of return and drawdown, the volatility of the two strategies was similar. In the market in 2025, the return differences between the two strategies were not significant, but the market conditions affecting the returns were slightly different [13]. 2. Review of Macro - Hedging Strategies and Market Conditions in 2025 2.1 Domestic Macro - Hedging Strategies 2.1.1 Analysis of the Correlation between Macro - Hedging Strategies and Major Asset Classes - In 2025, the negative correlation between bonds and equity indices weakened compared to the end of last year. Commodities were positively correlated with stock indices, negatively correlated with bonds, and positively correlated with gold. Gold was negatively correlated with equities and had a higher correlation with bonds compared to the end of last year, indicating its status as a primary safe - haven asset. Overall, asset correlations showed further differentiation in 2025 [18]. - The weekly return of the risk - parity index had the highest correlation with the return of the gold ETF, reaching 0.453, followed by the CSI Commodity Index and the SSE 50 Index, reaching 0.441 and 0.230 respectively. So, the returns of risk - parity strategies mainly relied on gold this year. In contrast, the asset - rotation index had the highest correlation with the CSI 1000 Index, reaching 0.641, and a much higher correlation with the SSE 50 Index than the risk - parity strategies, reaching 0.628. Therefore, the returns of asset - rotation managers were more dependent on their equity exposure. The exposure of both strategies to bonds decreased compared to the first half of the year [19]. 2.1.2 Review of Macro - Hedging Strategies and Equity Assets - In 2025, the asset - rotation strategy was more dependent on stocks for returns than the risk - parity strategy. The A - share market showed a trend of first falling and then rising. As of November 28, 2025, the CSI 1000 Index had a higher increase than the SSE 50 Index, with a net value of 1.304 after normalization at the beginning of the year, while the SSE 50 Index was 1.199. The weekly average return of the SSE 50 Index was 0.40%, with a volatility of 1.66% (annualized volatility of 11.96%), and the weekly average return and volatility increased compared to mid - year. The weekly average return of the CSI 1000 Index was 0.60%, with a volatility of 2.61% (annualized volatility of 18.8%), and the weekly average return increased while the volatility decreased compared to mid - year [21]. - In the first quarter, the stock market fluctuated and differentiated, with risk appetite recovering but volatility also increasing significantly. The market showed an overall upward - fluctuating trend, and the macro - hedging strategies diverged, with the risk - parity index being dragged down by bonds and commodities and performing weakly, while the asset - rotation index benefited from the growth market. In the second quarter, the market was affected by policy disturbances and trade risks, with significant fluctuations. The macro - hedging strategies also showed differentiation. In the third quarter, driven by the "anti - involution" policy, the stock market rose strongly, and the macro - hedging strategies generally benefited. In the fourth quarter, the market adjusted, and the macro - hedging strategies faced drawdowns [22][23][24][25]. 2.1.3 Review of Macro - Hedging Strategies and Treasury Bond Assets - The correlation between the risk - parity strategy and the 10 - year Treasury bond futures was 0.221, while that of the asset - rotation strategy was - 0.068. Many managers believed that the Treasury bond market had entered a bear market, so asset - rotation managers mostly reduced or shorted Treasury bonds, while risk - parity strategies still held bond positions [28]. - In the first quarter, the bond market adjusted at a high level. Most macro - managers actively reduced bond durations, with risk - parity strategies slightly reducing positions and asset - rotation strategies starting to reduce or short bond assets. In the second quarter, the bond market fluctuated at a high level. In May, the risk - parity managers who held Treasury bonds achieved positive returns, while the asset - rotation managers had drawdowns. In the third quarter, the bond market was under pressure, but the macro - hedging managers were not significantly affected. In the fourth quarter, the bond market showed a short - term recovery with limited space. The risk - parity managers obtained some returns from the bond market recovery in October, while the asset - rotation managers had slightly lower returns due to their low bond allocation [28][29][30][31]. 2.1.4 Review of Macro - Hedging Strategies and Commodity Assets - From January 3 to November 28, 2025, the normalized cumulative net value of the CSI Commodity Index was 1.087. The correlation between the risk - parity index and the CSI Commodity Index was 0.441, and that of the asset - rotation strategy was 0.506. Commodities had a greater impact on asset - rotation strategies, but the correlations decreased compared to mid - year [33]. - In the first half of 2025, the commodity index trended weakly with high volatility. The asset - rotation managers with short positions in industrial products performed better. In the third quarter, driven by the "anti - involution" policy, the commodity market rose and then partially corrected, and many macro - hedging strategies obtained some returns. In the fourth quarter, the commodity market consolidated, and the contribution of commodities to macro - hedging strategies was not significant, but there were some drawdowns in November [33][34][35]. 2.1.5 Review of Macro - Hedging Strategies and Gold ETF Assets - In 2025, gold reached new highs and was one of the strongest - performing assets. The cumulative net value of the gold ETF from January 3 to November 28, 2025, was 1.588. The correlation between the risk - parity strategy and the gold ETF was 0.453, while that of the asset - rotation strategy was 0.110. Gold had a much greater impact on risk - parity strategies, and the asset - rotation managers were more willing to participate in the equity market. Compared to mid - year, the correlations of both strategies with the gold ETF decreased, with the asset - rotation strategy showing a larger decrease [37]. - In the first quarter, gold fluctuated strongly. Although it contributed positively to the macro - hedging strategies, the contribution was limited due to low positions. In the second quarter, gold was supported by weak US economic data and geopolitical risks, bringing positive returns to the strategies but being partially offset by the drawdowns of equity and commodity assets. In May, gold entered an adjustment phase, and the risk - parity strategies faced relatively large drawdowns. In the third quarter, gold fluctuated and consolidated, and its contribution to the strategies was limited. In the fourth quarter, gold maintained a strong pattern. In October, the risk - parity strategies benefited significantly from the new high of gold, while the asset - rotation managers had a weaker increase in returns. In November, there were some drawdowns due to the gold price correction [38][39][40][41][42]. 2.2 Overseas Macro - Hedging Strategies 2.2.1 Review of Overseas Macro - Hedging Strategies - As of October 2025, the net value of the "unidentified" macro - hedging index was 1.088, with a monthly average return of 0.86% (annualized to 10.88%), a monthly volatility of 1.44% (annualized volatility of 4.97%), and a maximum monthly drawdown of - 1.10% in April. The net value of the "subjective" macro - hedging index was 1.129, with a monthly average return of 1.23% (annualized to 15.81%), a monthly volatility of 1.41% (annualized volatility of 4.90%), and a maximum drawdown of - 1.68% in March. The net value of the "quantitative" macro - hedging index was 1.159, with a monthly average return of 19.55%, a monthly volatility of 1.54% (annualized volatility of 5.35%), and a maximum drawdown of - 0.77% also in April. Overall, the quantitative macro - hedging strategy performed the best, followed by the subjective strategy, and the overall returns were similar to those in the domestic market [45][46]. 2.2.2 Analysis of the Correlation between Overseas Macro - Hedging Strategies and Major Asset Classes - In 2025, from January to October, the S&P 500 and the GSCI Commodity Index had a positive correlation, while they were negatively correlated with the US Treasury bond index and New York gold. The US Treasury bond index was negatively correlated with the commodity index. The return of gold had a low correlation with stocks, bonds, and commodities, and its correlation with the S&P 500 changed from positive to negative compared to mid - 2025 [49]. - The return of the unidentified macro - hedging index had a more balanced correlation with major asset classes, with a near - zero correlation with New York gold. The subjective macro - hedging index had a high correlation with the S&P 500 (0.792) and a negative correlation with New York gold, indicating that its returns were more dependent on the overall performance of the US stock market. The quantitative macro - hedging index also had a high correlation with the S&P 500 (0.627) and the GSCI (0.300), but a negative correlation with US Treasury bonds and gold, suggesting that its returns were also more related to the US stock market, and overseas macro - hedging managers' returns did not seem to rely much on the gold market this year [50]. 2.2.3 Review of Overseas Macro - Hedging Strategies and US Assets - The S&P 500 was the asset most correlated with the subjective and quantitative macro - hedging strategies. The overseas equity market performed well in 2025, and the S&P 500 index rose by about 16.7% during the year, bringing significant returns to overseas macro - hedging strategies [52][53]. - The US Treasury bond market was mainly traded around interest - rate cut expectations. The short - term interest rates declined, while the long - term interest rates remained relatively high, resulting in a bull market in US Treasury bonds and bringing returns to some overseas macro - hedging strategies [55]. - The GSCI index was more correlated with the unidentified and quantitative macro - hedging indices and negatively correlated with the subjective macro - hedging index. The GSCI index performed weakly and was volatile, and its decline in April affected the net values of some overseas macro - hedging managers [59]. - Only the unidentified macro - hedging strategy had a positive correlation with New York gold, while the subjective and quantitative macro - hedging strategies had negative correlations. The strong performance of gold this year seemed to have a weak correlation with the returns of overseas macro - hedging strategies. Although gold reached new highs in April and October, the increase in April did not offset the losses of overseas macro - hedging strategies [62]. 3. Conclusion and Investment Outlook 3.1 Judgment on Macro - Hedging Strategies in 2026 - Since the transition from mid - year to the fourth quarter, the correlation between assets has decreased significantly compared to mid - year, and the diversification effect among stocks, bonds, and commodities has gradually recovered. With the stabilization of the domestic economy and the improvement of the global liquidity environment, the three major asset classes have shown more differentiated performance, and the effectiveness of asset allocation has increased [64]. - In 2026, the overseas policy path will be clearer, with the Fed entering a continuous interest - rate cut cycle and major economies increasing fiscal expansion, driving the global economy to show signs of mild recovery. The domestic policy will focus on "anti - involution" and structural optimization. Under the improvement of the economy and liquidity, market risk appetite will recover, and the resonance risk between assets will decrease. The external environment for macro - hedging strategies will improve significantly compared to the beginning of the year [64][65]. 3.2 Investment Outlook - In 2026, the allocation value of macro - hedging strategies will increase, and the overall return cost - performance will rise. In the market environment where both gold and equities are at relatively high levels but still have continuous allocation value, macro - hedging strategies can balance return acquisition and drawdown control. Some investors are

Group 1: Report Industry Investment Rating - No information provided Group 2: Core Views of the Report - In the context of global liquidity easing, the long - term allocation value of quantitative CTA strategies is optimistic. In 2026, it is expected that international varieties may lead domestic varieties into an upward cycle, and the market may continue the imbalance in volatility distribution in 2025. However, the short - term commodity supply - demand structure is difficult to reverse, and the CTA "bull market" still needs to be observed. Beta - type strategies can wait for the confirmation of the trend and then make a right - hand side layout. Focus on managers with alpha in sector/sub - strategy weight allocation and risk control [3] Group 3: Summary According to the Table of Contents 1. Commodity Market Performance Overview - **1.1 Commodity market shows significant structural differentiation, and multi - factors drive the phased evolution of the market**: Since the beginning of the year, commodity prices have been affected by multiple factors such as loose liquidity, policy expectations, geopolitical frictions, and weak reality. The precious metals and non - ferrous sectors are strong, while the energy - chemical and black sectors are weak. As of November 28, 2025, the Nanhua Commodity Index rose 2.24%, with different sector indices showing significant differences in performance [6]. - **1.2 Trading volume and open interest have moderately recovered, and tariffs and policies drive volatility differentiation**: As of November 28, the trading volume and open interest of active varieties are at relatively high historical levels, which is slightly beneficial to short - cycle CTA strategies. The market has two rapid volatility - increasing stages, and the cross - sectional volatility of each variety has been at a low level, but the long - term strength relationship between sectors is relatively stable, providing a favorable environment for cross - sectional momentum strategies [12][15][18] 2. Performance of Each CTA Strategy Line - **2.1 The phased evolution of the market drives strategy rotation, and the composite strategy has been dominant throughout the year**: In different market stages, different cycle and type strategies perform alternately. The composite strategy with medium - long cycle and multiple sub - strategies has achieved high returns [21][25]. - **2.2 The equity CTA has achieved positive returns periodically, and long - cycle strategies perform better than intraday strategies**: The equity CTA strategy has suffered losses in the low - volatility environment in the first half of the year and achieved positive returns when the equity volatility increased in August. Long - cycle strategies have stronger return offensiveness. Overall, the performance of the equity CTA strategy this year is worse than that of last year [28] 3. Performance of Mainstream CTA Factors - **3.1 Factors first decline and then rise, with continuous performance differentiation**: Throughout the year, different factors show significant differentiation. Long - cycle cross - sectional and long - cycle rule - based factors in price - volume factors perform well, while inventory factors in fundamental factors perform poorly [34][36]. - **3.2 Under the dynamic differentiation of different stages, the return contribution and wear - and - tear path of trend factors**: The core contributing varieties of trend factors are concentrated in coking coal, precious metals, and some energy - chemical varieties. After the "anti - involution" market, the return contribution of some varieties to trend factors has decreased [44] 4. Market Changes in CTA Strategies in 2025 - **4.1 Under the "imbalance" of volatility distribution, strategy allocation may be the key to success**: In 2025, the volatility of the Nanhua Commodity Index is low, but the volatility distribution of its components is imbalanced. The weight allocation of varieties in commodity CTA strategies is a key variable affecting strategy returns. The equity CTA strategy shows a pattern of periodic return outbreaks and long - term wear - and - tear [51][53]. - **4.2 The returns of long - cycle strategies have recovered, and the value of "beta" strategies has gradually emerged**: In 2025, the returns of medium - long - cycle CTA strategies have recovered, and beta - type strategies are better than cross - sectional and composite allocation strategies. The market environment of medium - long - cycle CTA strategies may shift from alpha - dominated to beta - dominated [57] 5. Outlook for CTA Strategies in 2026 - **5.1 Under global liquidity easing, overseas inflation may lead domestic inflation**: In 2026, the impact of tariffs on the economy is weakening. In the context of global liquidity easing, overseas demand may drive the recovery of domestic demand. The commodity market may continue the "imbalance" of volatility in 2025, and attention should be paid to the capabilities of managers [60]. - **5.2 The supply - demand situation is difficult to reverse in the short term, and the CTA "bull market" still needs to be observed**: In 2026, although the commodity market has inflation conditions, it is still different from the CTA "bull market" in 2020. The CTA "bull market" needs more fundamental data for verification, and beta - type strategies can be arranged after confirming the trend [61]

【期货行情前瞻要点】 通过宏观基本面分析和黄金分割线、水平线、日均线等技术面分析，预期今日期货主力合约行情走势大概率如 下： 2025 年 12 月 16 日 股指期货将偏弱震荡 铂、钯期货将震荡偏强 铂、钯、多晶 硅期货将创下上市以来新高 镍、玻璃期货将震荡偏弱 陶金峰 期货投资咨询从业资格号：Z0000372 邮箱：taojinfeng@gtht.com 【正文】 【声明】 本报告的观点和信息仅供风险承受能力合适的投资者参考。本报告难以设置访问权限，若给您造成不 便，敬请谅解。若您并非风险承受能力合适的投资者，请勿阅读、订阅或接收任何相关信息。本报告不构 成具体业务或产品的推介，亦不应被视为相应金融衍生品的投资建议。请您根据自身的风险承受能力自行 作出投资决定并自主承担投资风险，不应凭借本内容进行具体操作。 股指期货大概率将偏弱震荡：IF2512 阻力位 4575 和 4600 点，支撑位 4511 和 4500 点；IH2512 阻力位 3001 和 3015 点，支撑位 2958 和 2952 点；IC2512 阻力位 7196 和 7262 点，支撑位 7053 和 7027 点；IM2512 阻 ...

2025年12月16日 国泰君安期货商品研究晨报-贵金属及基本金属 观点与策略 | 黄金：如期降息 | 2 | | --- | --- | | 白银：高位调整 | 2 | | 铜：外强内弱，价格震荡 | 4 | | 锌：短期回调 | 6 | | 铅：缺乏明确驱动，价格震荡 | 8 | | 锡：供应再出扰动 | 9 | | 铝：高位震荡 | 11 | | 氧化铝：继续磨底 | 11 | | 铸造铝合金：跟随电解铝 | 11 | | 铂：内盘领涨，料继续突破 | 13 | | 钯：ETF增持边际上扬，继续冲击前高 | 13 | | 镍：过剩结构性转向，关注印尼政策风险 | 15 | | 不锈钢：供需双弱运行，钢价低位震荡 | 15 | 国 泰 君 安 期 货 研 究 所 请务必阅读正文之后的免责条款部分 1 期货研究 商 品 研 究 商 品 研 究 2025 年 12 月 16 日 黄金：如期降息 白银：高位调整 【基本面跟踪】 贵金属基本面数据 | | | 昨日收盘价 | 日涨幅 | 昨日夜盘收盘价 | 夜盘涨幅 | | --- | --- | --- | --- | --- | --- | | | 沪金260 ...

Group 1: Report Industry Investment Rating - Zinc: Short - term correction [1] Group 2: Core View - The report presents the latest market data of zinc, including prices, trading volumes, open interests, premiums, inventories, etc., and indicates a short - term correction trend for zinc. [1] Group 3: Summary by Relevant Catalog Fundamental Tracking - Price: - Shanghai Zinc main contract closing price was 23,430 yuan/ton, down 0.74% [1] - LME Zinc 3M electronic closing price was 3,139 dollars/ton, down 1.84% [1] - Trading Volume: - Shanghai Zinc main contract volume was 168,578 lots, down 20,452 lots [1] - LME Zinc trading volume was 18,374 lots, down 1,756 lots [1] - Open Interest: - Shanghai Zinc main contract open interest was 83,302 lots, down 8,072 lots [1] - LME Zinc open interest was 223,499 lots, up 3,372 lots [1] - Premiums: - Shanghai 0 zinc premium was 70 yuan/ton, up 5 yuan/ton [1] - LME CASH - 3M premium was 90.6 dollars/ton, down 82.21 dollars/ton [1] - Inventory: - Shanghai Zinc futures inventory was 50,703 tons, down 579 tons [1] - LME Zinc inventory was 64,475 tons, up 2,550 tons [1] - Other Products: - 1.0mm hot - dipped galvanized coil tax - included price was 4,113 yuan/ton, unchanged [1] - Shanghai Zamak - 5 zinc alloy price was 24,695 yuan/ton, down 230 yuan/ton [1] News - The "Qiushi" magazine published President Xi Jinping's important article "Expanding domestic demand is a strategic move", emphasizing measures to expand domestic demand including promoting consumption and investment [2] - Hasset's momentum as a candidate for the Fed chair is unstable, and Trump's亲信 recommend Warsh. Hasset's winning probability in the prediction market has dropped from over 80% earlier this month to 51% [3] Trend Intensity - Zinc trend intensity is 0, indicating a neutral view [3]

商 品 研 究 2025 年 12 月 16 日 铜：外强内弱，价格震荡 季先飞 投资咨询从业资格号：Z0012691 jixianfei@gtht.com 美国非农就业报告发布前夕，市场情绪谨慎。AI 概念股的抛售潮仍在继续，博通和甲骨文等延续了上 周的跌势，拖累了科技股和整体美股大盘。（华尔街见闻） 产业方面，智利央行公布的数据显示，智利 11 月铜出口额为 42.82 亿美元，较上年同期增长 4.57%。 请务必阅读正文之后的免责条款部分 1 【基本面跟踪】 铜基本面数据 | | | 昨日收盘价 | 日涨幅 | 昨日夜盘收盘价 | 夜盘涨幅 | | --- | --- | --- | --- | --- | --- | | | 沪铜主力合约 | 92,400 | -1.79% | 92410 | 0.01% | | | 伦铜3M电子盘 | 11,686 | 1.16% | - | - | | | | 昨日成交 | 较前日变动 | 昨日持仓 | 较前日变动 | | 期 货 | 沪铜指数 | 560,196 | 144,589 | 630,265 | -16,648 | | | 伦铜3M电子盘 | 23,1 ...