商 品 研 究 2025 年 8 月 6 日 沥青：跌后盘整 王涵西 投资咨询从业资格号：Z0019174 wanghanxi@gtht.com -50000 0 50000 100000 150000 200000 250000 300000 2018-3 2018-7 2018-11 2019-3 2019-7 2019-11 2020-3 2020-7 2020-11 2021-3 2021-7 2021-11 2022-3 2022-7 2022-11 2023-3 2023-7 2023-11 2024-3 2024-7 2024-11 2025-3 2025-7 吨 江苏 山东 BU厂库仓单 资料来源：同花顺 iFinD，国泰君安期货研究 资料来源：同花顺 iFinD，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 【基本面跟踪】 表 1：沥青基本面数据 | | 项目 | 单位 | 昨日收盘价 | 日涨跌 | 昨夜夜盘收盘价 | 夜盘涨跌 | | --- | --- | --- | --- | --- | --- | --- | | | BU2509 | 元/吨 | 3,544 | -0. ...

Group 1: Investment Rating - No investment rating information provided in the report Group 2: Core View - The market expected price increases from late July to early August, but the group's volume reduction and price increase fell short of expectations. Retailers and second - fattening groups are panicked. The planned slaughter volume of groups in August is increasing, while demand growth is limited, leading to significant market pressure. The September contract is approaching the delivery month, with the futures price still at a large premium to the warehouse - receipt cost, increasing the industry's willingness to deliver. It is expected to operate weakly. Recently, the macro sentiment strongly supports the far - end contracts, creating a situation of weak reality and strong expectation, and the spread structure has switched to backwardation. Attention should be paid to stop - loss and take - profit. The short - term support level for the LH2509 contract is 13,500 yuan/ton, and the resistance level is 15,000 yuan/ton [4] Group 3: Summary by Directory 1. Fundamental Tracking - **Price Data**: Henan's spot price is 14,180 yuan/ton with a year - on - year increase of 50; Sichuan's is 13,500 yuan/ton with a year - on - year decrease of 100; Guangdong's is 15,540 yuan/ton with no year - on - year change. For futures, the prices of contracts 2509, 2511, and 2601 are 13,885 yuan/ton (down 55 year - on - year), 13,880 yuan/ton (down 25 year - on - year), and 14,170 yuan/ton (down 15 year - on - year) respectively [2] - **Trading Volume and Open Interest**: The trading volumes of contracts 2509, 2511, and 2601 are 13,732 hands (down 9,396 from the previous day), 16,849 hands (down 1,854 from the previous day), and 6,879 hands (down 4,350 from the previous day) respectively. The open interests are 35,710 hands (down 2,540 from the previous day), 55,042 hands (up 2,723 from the previous day), and 40,487 hands (down 21 from the previous day) respectively [2] - **Spread Data**: The basis of contracts 2509, 2511, and 2601 are 295 yuan/ton (up 105 year - on - year), 300 yuan/ton (up 75 year - on - year), and 10 yuan/ton (up 65 year - on - year) respectively. The spreads between contracts 9 - 11 and 11 - 1 are 5 yuan/ton (down 30 year - on - year) and - 290 yuan/ton (down 10 year - on - year) respectively [2] 2. Trend Intensity - The trend intensity is - 1, with the range of trend intensity being integers in the [- 2,2] interval. - 2 represents the most bearish view, and 2 represents the most bullish view [3] 3. Market Logic - The market expected price increases from late July to early August, but the group's volume reduction and price increase fell short of expectations. Retailers and second - fattening groups are panicked. The planned slaughter volume of groups in August is increasing, while demand growth is limited, leading to significant market pressure. The September contract is approaching the delivery month, with the futures price still at a large premium to the warehouse - receipt cost, increasing the industry's willingness to deliver. It is expected to operate weakly. Recently, the macro sentiment strongly supports the far - end contracts, creating a situation of weak reality and strong expectation, and the spread structure has switched to backwardation. Attention should be paid to stop - loss and take - profit. The short - term support level for the LH2509 contract is 13,500 yuan/ton, and the resistance level is 15,000 yuan/ton [4]

Group 1: Report Industry Investment Rating - No information provided Group 2: Core Viewpoints of the Report - The report focuses on the sugar market, covering price data, macro and industry news, and production, consumption, and import forecasts in domestic and international markets [1][2][3] Group 3: Summary Based on Related Content 1. Sugar Fundamental Data - The raw sugar price is 16.09 cents/pound, down 0.16 from the previous period; the mainstream spot price is 5990 yuan/ton, unchanged; the futures main contract price is 5697 yuan/ton, down 21 [1] - The 91 spread is 59 yuan/ton, down 23; the 15 spread is 64 yuan/ton, up 2; the mainstream spot basis is 293 yuan/ton, up 21 [1] 2. Macro and Industry News - High - frequency information shows that the sugarcane crushing progress in the central - southern region of Brazil has accelerated; India's monsoon precipitation is higher than the long - period average (LPA); Brazil exported 3.36 million tons of sugar in June, a 5% year - on - year increase; China imported 420,000 tons of sugar in June [1] 3. Domestic Market - CAOC predicts that the domestic sugar production in the 24/25 sugar - crushing season will be 11.16 million tons, consumption will be 15.8 million tons, and imports will be 5 million tons; in the 25/26 sugar - crushing season, production will be 11.2 million tons, consumption will be 15.9 million tons, and imports will be 5 million tons [2] - As of the end of May in the 24/25 sugar - crushing season, the national sugar production was 11.16 million tons (+1.2 million tons), cumulative sugar sales were 8.11 million tons (+1.52 million tons), and the cumulative sugar sales rate was 72.7% [2] - As of the end of June in the 24/25 sugar - crushing season, China's cumulative sugar imports were 2.51 million tons (-650,000 tons) [2] 4. International Market - ISO predicts a global sugar supply shortage of 5.47 million tons in the 24/25 sugar - crushing season (previously forecasted a shortage of 4.88 million tons) [3] - As of July 16 in the 25/26 sugar - crushing season, the cumulative sugarcane crushing volume in the central - southern region of Brazil decreased by 9.6 percentage points year - on - year, with cumulative sugar production of 15.66 million tons (-1.59 million tons), and the cumulative MIX was 51.02%, up 2.69 percentage points year - on - year [3] - As of May 15 in the 24/25 sugar - crushing season, India's sugar production was 25.74 million tons (-5.8 million tons) [3] - In the 24/25 sugar - crushing season, Thailand's cumulative sugar production was 10.08 million tons (+1.27 million tons) [3] 5. Sugar Trend Intensity - The sugar trend intensity is 0, indicating a neutral outlook [4]

Report Summary 1. Report Industry Investment Rating No information provided regarding the industry investment rating. 2. Core Viewpoints - Fuel oil had a narrow - range adjustment during the night session, with a short - term oscillating trend [1]. - Low - sulfur fuel oil was weaker than high - sulfur fuel oil in the short term, and the price spread between high - and low - sulfur in the overseas spot market declined again [1]. 3. Summary by Related Catalogs 3.1 Fundamental Tracking - **Futures Prices and Changes**: - For FU2509, the closing price was 2,842 yuan/ton, down 0.14%, and the settlement price was 2,818 yuan/ton, down 1.78% [1]. - For FU2510, the closing price was 2,863 yuan/ton, down 1.78%, and the settlement price was 2,839 yuan/ton, down 1.73% [1]. - For LU2509, the closing price was 3,562 yuan/ton, up 0.11%, and the settlement price was 3,544 yuan/ton, down 0.78% [1]. - For LU2510, the closing price was 3,560 yuan/ton, down 0.78%, and the settlement price was 3,539 yuan/ton, down 1.37% [1]. - **Trading Volume and Open Interest Changes**: - The trading volume of FU2509 was 333,121 lots, a decrease of 183,814 lots, and the open interest was 137,503 lots, a decrease of 4,374 lots [1]. - The trading volume of FU2510 was 144,527 lots, a decrease of 16,999 lots, and the open interest was 80,705 lots, a decrease of 1,103 lots [1]. - The trading volume of LU2509 was 3,561 lots, a decrease of 4,868 lots, and the open interest was 9,868 lots, a decrease of 792 lots [1]. - The trading volume of LU2510 was 86,813 lots, a decrease of 22,368 lots, and the open interest was 51,179 lots, a decrease of 1,869 lots [1]. - **Warehouse Receipts**: The total warehouse receipts of fuel oil in the whole market were 110,980, and for low - sulfur fuel oil were 40,050, with no change [1]. - **Spot Prices and Changes**: - Singapore MOPS (3.5%S) was 406.4 dollars/ton, up 0.47%, and (0.5%S) was 498.8 dollars/ton, down 0.19% [1]. - Singapore Bunker (3.5%S) was 419.0 dollars/ton, up 0.72%, and (0.5%S) was 511.0 dollars/ton, down 0.20% [1]. - Other spot prices in different regions also had corresponding changes [1]. - **Price Spreads**: - The spread of FU09 - 10 was - 21 yuan/ton, with no change compared to the settlement spread [1]. - The spread of LU09 - 10 was 2 yuan/ton, compared to the settlement spread of 5 yuan/ton [1]. - The spread of LU09 - FU09 was 720 yuan/ton, compared to the settlement spread of 726 yuan/ton [1]. - Other price spreads also had corresponding changes, such as the spread between futures and spot prices and the spread between different sulfur - content products [1]. 3.2 Trend Intensity - The trend intensity of fuel oil was 0, and that of low - sulfur fuel oil was also 0, indicating a neutral view. The trend intensity ranges from - 2 (most bearish) to 2 (most bullish) [1].

2025 年 8 月 6 日 LPG：成本支撑偏弱 丙烯：供需格局宽松，短期弱势震荡 陈鑫超 投资咨询从业资格号：Z0020238 chenxinchao@gtht.com | | | 昨日收盘价 | 日涨幅 | 夜盘收盘价 | 夜盘涨幅 | | --- | --- | --- | --- | --- | --- | | | PG2509 | 3,845 | -1.31% | 3,829 | -0.42% | | 期货价格 | PG2510 | 4,281 | -0.65% | 4,308 | 0.63% | | | PL2601 | 6,512 | 0.48% | 6,476 | -0.55% | | | PL2602 | 6,571 昨日成交 | 0.52% 较前日变动 | 6,542 昨日持仓 | -0.44% 较前日变动 | | | PG2509 | 94,257 | 1692 | 101,941 | 5819 | | 持仓&成交 | PG2510 | 33,586 | 1922 | 78,899 | 8017 | | | PL2601 | 1,971 | -166 | 4,461 | -25 | | ...

Report Summary 1. Industry Investment Rating - No specific industry investment rating is provided in the report. 2. Core View - The report suggests holding long positions in crude oil and paying attention to US sanctions on Russian energy [1]. 3. Summary by Related Catalogs International Crude Oil - WTI9 crude oil futures closed down $1.13 per barrel, a decline of 1.70%, at $65.16 per barrel; Brent October crude oil futures closed down $1.12 per barrel, a decline of 1.63%, at $67.64 per barrel; SC2509 crude oil futures closed down 6.60 yuan per barrel, a decline of 1.30%, at 502.50 yuan per barrel [1]. Market News - Russia is considering an aerial cease - fire but will not agree to a full cease - fire [2]. - Trump said if energy prices drop low enough, Putin will stop the conflict. He will decide whether to sanction countries buying Russian energy after a meeting in Witkov on Wednesday. There is a high possibility of imposing a 100% tariff on Russian oil, but the result is undetermined [2]. - US API crude oil inventory for the week ending August 1 was - 4233000 barrels, compared with an expected - 1845000 barrels and a previous value of 1539000 barrels. API Cushing crude oil inventory, gasoline inventory, and heating oil inventory also had corresponding changes [2]. - The CEO of Bank of America said their economists expect the US economy to grow about 1% - 1.5% this year [2]. - Trump will "significantly" raise tariffs on Indian imports in the next 24 hours due to India's continued purchase of Russian oil, with the current tariff rate at 25% [2]. - Eurozone's July composite PMI rose from 50.6 in June to 50.9, slightly lower than the initial estimate of 51.0, still indicating economic weakness. The service - sector PMI climbed from 50.5 in June to 51.0 [2]. - Dutch International Bank believes OPEC+ may end production increases [3]. Trend Intensity - The trend intensity of crude oil is 1, with a range of [-2, 2] and a classification of weak,偏弱, neutral, 偏强, strong, where - 2 is most bearish and 2 is most bullish [4].

2025年08月06日 国泰君安期货商品研究晨报-农产品 观点与策略 | 棕榈油：宏观情绪反复，低位布多为主 | 2 | | --- | --- | | 豆油：高位震荡，关注中美贸易协议 | 2 | | 豆粕：隔夜美豆冲高回落，连粕跟随回落 | 4 | | 豆一：跟随豆类，回落震荡 | 4 | | 玉米：弱势运行 | 6 | | 白糖：印度恢复性增产 | 7 | | 棉花：注意外部市场影响 | 8 | | 鸡蛋：现货看涨预期落空 | 9 | | 生猪：近端现货压力略超预期 | 10 | | 花生：关注产区天气 | 11 | 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 2025 年 8 月 6 日 商 品 研 究 棕榈油：宏观情绪反复，低位布多为主 豆油：高位震荡，关注中美贸易协议 | | | 【基本面跟踪】 油脂基本面数据 | | 棕榈油主力 | 单 位 元/吨 | 收盘价 (日盘） 9,064 | 涨跌幅 2.56% | 收盘价 （夜盘） 8,996 | 涨跌幅 -0.75% | | --- | --- | --- | --- | --- | --- ...

Group 1: Report Overview - Investment Rating: Not mentioned - Core View: The report analyzes the July stock index basis market. In the short - term, the risk preference in the futures market has declined, and the short - side power has increased marginally. In the medium - to - long - term, the index is expected to rise and the discount to converge this year, but the subsequent upward momentum may weaken, and the discount convergence may slow down [5][22] Group 2: Recent Basis Review - Market Trends: In July, the market revolved around domestic and overseas mainlines. Domestically, the "anti - involution" concept boosted the market, which then cooled down. Overseas, the US tariff negotiations affected the dollar index and domestic assets. The market sentiment was mainly optimistic, with high trading volume and continuous inflow of leveraged funds. Most broad - based indices had strong monthly lines, and small - and micro - cap stocks were still strong, while large - cap indices were dragged down by the banking sector [5][6] - Basis Changes: By July 31, 2025, the quarterly contract annualized basis rates of IH, IF, IC, and IM were 1.19%, - 2.02%, - 9.65%, and - 11.6% respectively. IH, IF, and IC were basically flat compared to the end of last month, and the IM discount slightly converged. The basis support weakened in July, and the basis turned down earlier than the index. The intraday 1 - minute frequency basis divergence among varieties increased, indicating a decline in risk preference [8][15] - Product - side Situation: Index - related products saw net outflows, with the scale of four broad - based index ETFs and A500ETF and index - enhanced products declining. The new issuance of index - enhanced products continued. The positions of private - equity neutral strategies increased, and the short - side power strengthened marginally. The CTA strategy maintained a relatively high net long position in stock index futures and was optimistic about the index and futures [17][18] - Strategy Performance: In July, the excess return of long - side substitution relative to the index was about 1%. The short - side hedging cost of IC and IM current - month contracts was lower than that of quarterly contracts by about 0.5%. The inter - period spread was affected by contract roll - over and declined at the end of the month [21] Group 3: Long - side Roll - over Performance Review - Performance Data: As of July 2025, the annualized excess returns of IF, IH, IC, and IM long - side roll - over strategies in the past 250 trading days were - 3.6%, 0.5%, 1.5%, and - 4.6% respectively [26] Group 4: Short - side Roll - over Performance Review - Performance Data: As of July 2025, the annualized excess returns of IF, IH, IC, and IM short - side roll - over strategies in the past 250 trading days were - 0.5%, - 0.3%, 2.0%, and - 0.1% respectively [33]

Report Summary Core View The stock index options showed an upward movement with a decreasing volatility, and the implied volatility premium narrowed [1]. Market Data Summary Underlying Market Statistics - **Indices**: The Shanghai Composite 50 Index closed at 2790.73, up 21.34 points, with a trading volume of 41.26 billion hands, a decrease of 0.70 billion hands. The CSI 300 Index closed at 4103.45, up 32.75 points, with a trading volume of 178.85 billion hands, an increase of 16.58 billion hands. The CSI 1000 Index closed at 6787.48, up 47.79 points, with a trading volume of 223.72 billion hands, an increase of 10.23 billion hands [2]. - **ETFs**: The Shanghai Composite 50 ETF closed at 2.912, up 0.022, with a trading volume of 7.24 billion hands, an increase of 2.44 billion hands. The Huatai-PB CSI 300 ETF closed at 4.183, up 0.031, with a trading volume of 5.48 billion hands, an increase of 1.13 billion hands [2]. Option Market Statistics - **Trading Volume and Open Interest**: The trading volume of Shanghai Composite 50 Index Options was 30,577, an increase of 280, and the open interest was 72,824, a decrease of 1,212. The trading volume of CSI 300 Index Options was 78,143, an increase of 5,831, and the open interest was 205,892, an increase of 668 [2]. - **Volatility and PCR**: The ATM-IV of Shanghai Composite 50 Index Options was 11.59%, a decrease of 0.57%, and the VL-PCR was 48.61%, and the OI-PCR was 57.04%. The ATM-IV of CSI 300 Index Options was 11.16%, a decrease of 1.41%, and the VL-PCR was 52.69%, and the OI-PCR was 70.72% [2][5]. Individual Option Analysis The report provides detailed analysis and charts for various options, including Shanghai Composite 50 Index Options, CSI 300 Index Options, CSI 1000 Index Options, and multiple ETF options, covering aspects such as PCR, skew, volatility cone, and volatility term structure [8][12][15].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Building an effective timing factor framework for Shanghai copper futures can identify price trend turning points through quantitative means, providing a scientific basis for trading decisions and helping investors capture excess returns. The framework includes 14 fundamental and macro - quantitative factors and 7 volume - price factors. After back - testing and screening, factors are combined equally weighted to output trend strength signals. The fundamental and volume - price factors have low correlation, and investors can adjust the proportion of the two types of factors according to their target returns and risk requirements [3][4]. 3. Summary According to the Table of Contents 3.1 Shanghai Copper Single Commodity Timing Factor Framework - The model divides factors into fundamental and macro - quantitative factors and volume - price factors. Fundamental factors are constructed from dimensions such as inventory, basis, upstream inventory, profit, spread, and macro - indicators, while volume - price factors are constructed from dimensions such as momentum, moving averages, trading volume, price - volume correlation, and technical indicators [6]. - The model currently contains 14 fundamental and macro - quantitative factors and 7 volume - price factors, with specific factor names provided [8]. - Back - testing and screening settings: Fundamental factors are back - tested from January 2016, volume - price factors from January 2010, and out - of - sample back - testing from January 2022 to December 2024. Other settings include unified bilateral commission of 0.03%, 1 - fold leverage, cumulative return calculation, factor value mapping to 0, 1, - 1, and more [9][10][11]. 3.2 Introduction and Back - testing Results of Shanghai Copper Fundamental Quantitative Factors - **Processing Profit**: Low processing profit may reduce supply and pressure prices, while high profit may increase supply and support prices. From 2020, its back - tested annualized return is 23.9%, with a Sharpe ratio of 1.94 [17]. - **Downstream Processing Fee**: Rising fees may increase demand and push up prices, while falling fees may reduce demand and prices. From 2021, its back - tested annualized return is 10.5%, with a Sharpe ratio of 0.66 [19]. - **Cathode Copper Inventory**: Rising inventory indicates supply surplus and may pressure prices. From 2016, its back - tested annualized return is 17.4%, with a Sharpe ratio of 1.62 [21]. - **Basis**: Expanding basis may indicate supply shortage, while narrowing basis may indicate supply surplus. From 2016, its back - tested annualized return is 17.4%, with a Sharpe ratio of 1.71 [23]. - **Social Inventory**: Similar to cathode copper inventory, rising social inventory may pressure prices. From 2016, its back - tested annualized return is 15.4%, with a Sharpe ratio of 1.6 [25]. - **LME Electrolytic Copper Inventory**: An important external market inventory factor. From 2016, its back - tested annualized return is 21.8%, with a Sharpe ratio of 1.99 [27]. - **Futures Inventory**: Similar to the logic of warehouse receipts. From 2016, its back - tested annualized return is 19.1%, with a Sharpe ratio of 1.73 [30]. - **Comex Copper Inventory**: Different from other inventory factors, more inventory indicates stronger buying sentiment. From 2016, its back - tested annualized return is 15.3%, with a Sharpe ratio of 1.26 [32]. - **Scrap Copper Spread**: Widening spread may suppress refined copper prices, while narrowing spread may support prices. From 2016, its back - tested annualized return is 7.9%, with a Sharpe ratio of 0.86 [34]. - **Imported Copper Concentrate Index (TC)**: Higher TC may increase supply and pressure prices, while lower TC may reduce supply and support prices. From 2020, its back - tested annualized return is 18.8%, with a Sharpe ratio of 1.43 [36]. - **CFTC Non - Commercial Position**: Net long position has a positive predictive effect on prices. From 2016, its back - tested annualized return is 11.0%, with a Sharpe ratio of 0.79 [38]. - **US Dollar Index**: Rising dollar index may suppress copper prices. From 2016, its back - tested annualized return is 8.0%, with a Sharpe ratio of 0.71 [40]. - **VIX Index**: Copper prices are mostly negatively correlated with the VIX index. From 2016, its back - tested annualized return is 11.4%, with a Sharpe ratio of 1.02 [42]. - **US Manufacturing PMI**: As a leading economic indicator, it affects copper prices. From 2016, its back - tested annualized return is 15.3%, with a Sharpe ratio of 1.32 [44]. - **Fundamental Multi - Factor**: Combining the first 4 fundamental single factors equally weighted, from 2016, the back - tested annualized return is 33.5%, with a Sharpe ratio of 4.0 [46]. 3.3 Introduction and Back - testing Results of Shanghai Copper Volume - Price Factors - **Intraday Momentum**: A larger value indicates a stronger upward momentum. From 2010, its back - tested annualized return is 8.9%, with a Sharpe ratio of 1.3 [48]. - **Median Double Moving Averages**: Short - term moving average crossing above the long - term moving average is a buy signal, and vice versa. From 2010, its back - tested annualized return is 10.1%, with a Sharpe ratio of 0.92 [50]. - **Kaufman Adaptive Moving Average (KAMA)**: Calculated through efficiency coefficient and smoothing constant. From 2010, its back - tested annualized return is 7.2%, with a Sharpe ratio of 0.56 [52][53]. - **On - Balance Volume (OBV)**: Calculated based on price and volume, and a long - short double moving average strategy is constructed. From 2010, its back - tested annualized return is 8.9%, with a Sharpe ratio of 0.77 [55][56]. - **Price - Volume Correlation**: Stronger correlation is more likely to form a trending market. From 2010, its back - tested annualized return is 7.3%, with a Sharpe ratio of 0.63 [61]. - **Rebound Momentum**: Calculated based on the difference between closing price and low price, and high price and low price. From 2010, its back - tested annualized return is 11.1%, with a Sharpe ratio of 0.93 [61]. - **TRIX**: A long - short double moving average strategy is constructed based on the daily change rate of EX3. From 2010, its back - tested annualized return is 12.4%, with a Sharpe ratio of 1.16 [63][66]. - **Volume - Price Multi - Factor**: Combining the first 7 volume - price single factors equally weighted, from 2010, the back - tested annualized return is 13.5%, with a Sharpe ratio of 1.32 [68]. 3.4 Comprehensive Model of Fundamental Quantification and Volume - Price Multi - Factors - **All - Factor Combined Long - Short Model**: Combining all single factors equally weighted, from 2010, the back - tested annualized return is 18.1%, with a Sharpe ratio of 1.53 [70]. - **Long - Only Model**: - Fundamental long - only model: Combining the first 14 single factors equally weighted, from 2010, the back - tested annualized return is 8.0%, with a Sharpe ratio of 0.51 [72]. - Volume - price long - only model: Combining the last 7 single factors equally weighted, from 2010, the back - tested annualized return is 7.4%, with a Sharpe ratio of 0.82 [73]. - All - factor comprehensive long - only model: Combining all single factors equally weighted, from 2010, the back - tested annualized return is 10.1%, with a Sharpe ratio of 0.92 [76]. - **Short - Only Model**: - Fundamental short - only model: Combining the first 14 single factors equally weighted, from 2010, the back - tested annualized return is 7.1%, with a Sharpe ratio of 0.77 [77]. - Volume - price short - only model: Combining the last 7 single factors equally weighted, from 2010, the back - tested annualized return is 5.1%, with a Sharpe ratio of 0.55 [79]. - All - factor comprehensive short - only model: Combining all single factors equally weighted, from 2010, the back - tested annualized return is 7.7%, with a Sharpe ratio of 0.85 [81]. - The long - only and short - only models can help enterprises with timing hedging. The comprehensive model of factors is relatively stable in different years, and investors can adjust the proportion of fundamental and volume - price factors according to their target returns and risks [85].