Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - According to the closing prices of adjacent trading days, the Nanhua Composite Index fell by -0.07% on March 25, 2025. Among the sector indices, the Nanhua Energy and Chemical Index had the largest increase of 0.07%, and the Nanhua Industrial Products Index had the smallest increase of 0.02%. The Nanhua Agricultural Products Index had the largest decline of -0.31%, and the Nanhua Precious Metals Index had the smallest decline of -0.03%. Among the theme indices, the Building Materials Index had the largest increase of 0.48%, and the Energy Index had the smallest increase of 0.47%. The Coal Chemical Index had the largest decline of -0.6%, and the Economic Crops Index had the smallest decline of -0.02%. Among the single - variety indices of commodity futures, the Rapeseed Index had the largest increase of 1.89%, and the Palm Oil Index had the largest decline of -1.96% [1][4][5]. 3. Summary by Related Catalogs 3.1 Nanhua Commodity Index Market Data | Index Name | Today Close | Pre. Close | Points | Daily Change (%) | Annualized Return Rate (%) | Annualized Volatility (%) | Sharpe Ratio | | --- | --- | --- | --- | --- | --- | --- | --- | | Composite Index NHCI | 2542.65 | 2544.41 | -1.76 | -0.07 | 0.21 | 12.80 | 0.02 | | Precious Metals Index NHPMI | 1138.12 | 1138.44 | -0.32 | -0.03 | 35.90 | 18.69 | 1.92 | | Industrial Products Index NHII | 3766.58 | 3765.82 | 0.75 | 0.02 | -5.18 | 14.14 | -0.37 | | Metal Index NHMI | 6427.82 | 6436.21 | -8.39 | -0.13 | 0.02 | 15.70 | 0.00 | | Energy and Chemical Index NHECI | 1783.33 | 1782.09 | 1.24 | 0.07 | -9.67 | 14.54 | -0.66 | | Non - ferrous Metals Index NHNF | 1714.48 | 1718.97 | -4.49 | -0.26 | 6.98 | 14.44 | 0.48 | | Black Index NHFI | 2550.87 | 2551.78 | -0.91 | -0.04 | -15.01 | 22.37 | -0.67 | | Agricultural Products Index NHAI | 1070.53 | 1073.88 | -3.36 | -0.31 | -1.85 | 10.14 | -0.18 | | Mini Composite Index NHCIMi | 1149.92 | 1153.02 | -3.09 | -0.27 | 0.91 | 10.61 | 0.09 | | Energy Index NHEI | 1108.44 | 1103.20 | 5.24 | 0.47 | -1.09 | 21.31 | -0.05 | | Petrochemical Index NHPCI | 980.43 | 982.73 | -2.30 | -0.23 | -1.46 | 10.70 | -0.14 | | Coal Chemical Index NHCCI | 1094.39 | 1101.02 | -6.63 | -0.60 | -0.53 | 11.17 | -0.05 | | Black Raw Materials Index NHFM | 1018.74 | 1022.33 | -3.59 | -0.35 | -0.44 | 19.38 | -0.02 | | Building Materials Index NHBMI | 805.83 | 802.00 | 3.83 | 0.48 | -0.22 | 14.58 | -0.01 | | Oilseeds and Oils Index NHOOI | 1192.39 | 1197.31 | -4.92 | -0.41 | 3.98 | 15.32 | 0.26 | | Economic Crops Index NHAECI | 874.04 | 874.24 | -0.20 | -0.02 | 2.16 | 8.36 | 0.26 | [4] 3.2 Contribution of Single - Variety Indices to Major Indices - **Nanhua Composite Index**: Positive contributors include Crude Oil (21.84%), Rebar (8.26%), Glass (6.49%), etc.; negative contributors include Palm Oil (-16.95%), Methanol (-8.59%), etc. [9][10] - **Nanhua Mini Composite Index**: Positive contributors include Soybean Meal (11.20%); negative contributors include Coke (-10.64%), etc. [9] - **Nanhua Industrial Products Index**: Positive contributors include Crude Oil (24.23%), Rebar (9.82%), Glass (8.11%); negative contributors include Manganese Silicate (-1.22%), etc. [9] - **Nanhua Metal Index**: Positive contributors include Rebar (28.70%), Copper (3.88%); negative contributors include Tin (-2.06%), etc. [9] - **Nanhua Energy and Chemical Index**: Positive contributors include Crude Oil (29.32%), Glass (11.07%); negative contributors include PTA (-21.58%), etc. [10] - **Nanhua Agricultural Products Index**: Positive contributors include Rapeseed Meal (11.47%), Soybean Meal (6.96%); negative contributors include Cotton (-2.24%), etc. [10] 3.3 Single - Variety Index Daily Changes in Energy and Chemical Sector - Soda Ash: -0.69%; Glass: 1.61%; Synthetic Ammonia: 0.59%; Polyvinyl Chloride: -0.62%; Coal: 0.50%; LLDPE: -0.54%; Polypropylene: -0.30%; Natural Rubber: -1.47%; Butadiene: -0.88%; 20 - number Rubber: -0.57%; Ethylene Glycol: 0.04%; Styrene: -1.95%; Short - fiber: -0.70%; LPG: 0.31%; Aromatics: 0.31%; PTA: -0.16%; Cotton Yarn: 0.73%; Cotton: -0.25%; Asphalt: 1.40%; Low - sulfur Fuel Oil: 1.20%; Fuel Oil: 0.57% [16] 3.4 Single - Variety Index Daily Changes in Agricultural Sector - Palm Oil: -1.96%; Rapeseed: 1.89%; Rapeseed Meal: 1.47%; Soybean Meal: 0.35%; Apple: 2.14%; Corn: 0%; Starch: -0.04%; etc. [5][20]

I 2025/03/10 2025/03/14 50ETF 122.32 30.10% - 0.66 0.97 300ETF 108.9 146.44 500ETF 142.33 126.68 50ETF 104.7 195.72 100ETF 4.99 13.1 ETF 120.05 157.27 300 11.81 21.81 1000 27.72 25.91 300 14.06% 0.00% 50ETF 13.85% 0.00% 1000 21.96% 0.00% 50ETF 16.69 300 19.05 1000 24.26 2011 1290 Z0014889 F03124116 I 2025/03/10 2025/03/14 1. 金融期权方面，50ETF期权本周日均成交量为122.32万张，较前周上升30.10%，其 中认沽期权成交量低于认购期权，认沽-认购成交比为0.66，相对前周有所下降， 低于历史均值水平。上周认沽认购持仓比为0.97，较前周上升，高于历史均值。华 泰柏瑞300ETF期权日均成交108.9万张，日均持仓量146.44万张；南方中证500ETF 期权日均成交142.33万张 ...

I 2025/03/10 2025/03/14 25.39%, 0.06% 19.09%, 2.54% 20.67%, 0.79% 16.81%, -0.31% 14.69%, -0.68%, - 0.31% 16.98%, -0.07% 20.48%, 0.57% 15.08%, -0.17% 25.55%, -0.08% 14.28%, -1.14% 10.42% 170.35% 70.52% 5.92% 30.17% 28.62% 8.60% 46.11% 37.50% 9 25.39%, 0.06% 19.09%, 2.54% 20.67%, 0.79% 16.81%, -0.31% 14.69%, -0.68%, - 0.31% 16.98%, -0.07% 20.48%, 0.57% 15.08%, -0.17% 25.55%, -0.08% 14.28%, -1.14% 10.42% 170.35% 70.52% 5.92% 30.17% 28.62% 8.60% 46.11% 37.50% 9 0 50000 100000 150000 200000 250000 1.1 2011 1290 ...

南华外汇（美元兑人民币）周报 关税影响不在于通胀而在经济是否会衰退 周骥 （投资咨询证号：Z0017101） 投资咨询业务资格：证监许可【2011】1290号 2025年3月17日 主要观点 目前来看，近期全球宏观市场出现了不少质变因素，外部约束条件也有所变化，但我们整体仍维持之前的 观点，在内部环境边际改善但仍以稳为主的基准假设下，美元兑人民币即期汇率短期走势仍主要取决于外部 因素，主要围绕下述三条路线展开交易：1）弱化后的关税风险；2）美国与非美国家经济及政策的相对表 现；3）地缘政治风险冲突的进程。考虑到近期公布的美国通胀数据显示美国滞涨叙事暂未成立，缓解了此前 市场对美国经济衰退的担忧，与此同时，对于欧洲的叙事也有所消退，因此美元指数的走弱或短暂告一段 落，留给美元兑人民币即期汇率的或是再次开启双向波动之旅，其运行区间或在7.20-7.30。 风险点：海外货币政策调整超预期、地缘政治冲突超预期、特朗普非常规出牌 . .. 一、一周行情回顾及展望 1.1 外汇市场行情回顾 人民币汇率三大指数方面，截至北京时间2025年3月17日，CFETS、 SDR、BIS指数皆较前值有所回落。即 期汇率方面，截至3月 ...

南华期货 金工周报 I 2025 年 02 月 24 日 南华期货 金工周报：南华指数量化解析 南华期货 近一周行情整体小幅上涨，趋势度较上周相比整体大幅下降， 成交活跃度小幅下降，市场整体中短期波动水平全面降低，市 场整体活跃程度依旧偏弱。 南华研究院 投资咨询业务资格： 证监许可【2011】1290 号 胡乐克 投资咨询证号：Z0013991 王人杰 投资咨询证号：Z0020087 南华期货 请务必阅读正文之后的免责条款部分 南华期货 南华期货 涨跌幅方面：本周市场整体上涨0.75%，各板块内上涨居多。 其中黑色板块涨幅最大达到了3.1%，金属板块涨幅次之为 1.1%。有色和贵金属板块本周出现了小幅下跌，跌幅分别达到 了-0.6%和-1.1%。本周市场同质化变动指数有明显回升，投资 者需注意市场同向变化风险。 南华期货 南华期货 趋势流畅度方面：本周市场整体趋势度大幅降低，除了工业品 板块趋势度出现了小幅度提升外，其余所有板块趋势度均出现 了不同程度的下跌。其中农产品，有色和贵金属板块的趋势度 跌幅最大，均超过了-40。目前所有板块中黑色和金属板块的趋 势度最低，均降到了接近0的水平，为历史低值水平。 成 ...

I 2025/02/10 2025/02/14 23.54%, -4.51% 22.03%, -1.24% 14.93%, - 0.69% 25.10%, -2.84% 15.92%, 0.66%, - 2.84% 24.45%, 0.79% 21.61%, 0.01% 18.12%, -0.20% 17.80%, -1.70% 21.68%, 1.24% 50.79% 169.08% 128.83% 8.78% 68.98% 67.73% 2011 1290 Z0014889 F03124116 2025/02/10—2025/02/14 50.79% 169.08% 128.83% 8.78% 68.98% 67.73% 0 50000 100000 150000 200000 250000 1.1 wind 1 2025/02/10—2025/02/14 1.2 0.00% 5.00% 10.00% 15.00% 20.00% 25.00% 30.00% 35.00% 40.00% 45.00% wind 1. 23.54%, - 4.51% 22.03%, -1.24% 14.93%, -0.69% ...

I 2025/02/10 2025/2/14 50ETF 103.6 -23.43% - 0.77 0.91 300ETF 93.6 138.61 500ETF 124.11 124.35 50ETF 77.81 157.89 100ETF 7.25 12.45 ETF 119.26 130.68 300 9 20.01 1000 22 25.97 300 16.02% 3.82% 50ETF 14.81% 4.18% 1000 21.92% 10.19% 50ETF 16.01 300 19.06 1000 25.27 2011 1290 Z0014889 F03124116 I 2025/02/10 2025/2/14 1. 金融期权方面，50ETF期权本周日均成交量为147.62万张，较前周上升9.11%，其中 认沽期权成交量高于认购期权，认沽-认购成交比为1.03，相对前周有所上升，高 于历史均值水平。上周认沽认购持仓比为0.67，较前周下降，低于历史均值。华泰 柏瑞300ETF期权日均成交142.29万张，日均持仓量151.21万张；南方中证500ETF期 权日均成交164.15万张，日均持仓量13 ...

摘要：在内部基本盘仍以稳为主的背景下，央行对汇率的态度至关重要。 人民币汇率周报 2025年2月17日 主要观点 在春节之后，外汇市场主要围绕下述几个线索展开交易：1、特朗普实施关税政策的节奏及言论；2、美国与 非美国经济数据的相对表现；3、俄乌战事进程。目前来看， 随着特朗普在2024年11月25日打响关税"第一 枪"以及在2025年2月正式实施关税政策，我们发现，通过对比特朗普第一任期和第二任期内对关税的执行态 度，其已经发生了较大变化：从之前的"先谈判再落地"变成了如今的"先落地再谈判"。在这样的策略和节奏 下，对于美元兑人民币即期汇率而言，我们认为其受到的上行压力整体可控。俄乌双方的和谈即将到来，预 计此次会议的主旋律将倾向于缓和紧张局势，同时，近期也没有新的关税措施出台。伴随着这些积极信号的 出现，市场的风险情绪得到了一定程度的修复。内部方面，在内部基本盘仍以稳为主的背景下，央行对汇率 的态度至关重要。从2024年四季度货币政策执行报告来看，目前我国央行稳汇率的态度依然坚决。 展望后 市，基准情形下，我们预计美元兑人民币即期汇率整体可能呈现宽幅震荡走势，短期运行区间或在7.24- 7.35。购汇方向 ...

- The report introduces a market homogenization index developed by Nanhua Futures, which is a risk indicator measuring the synchronized movement of different sectors over a specific period. When the index increases, the risk of sectors moving in the same direction rises, requiring investors to control overall leverage and avoid excessive exposure in one direction [23] - The trend strength is calculated using the Efficiency Ratio (ER) indicator, which standardizes trend intensity based on price changes over a period and the total price fluctuation during that time. The formula produces values between 0 and 100, with higher values indicating stronger trends [27] - Volatility is measured using the Yang-Zhang volatility method, which incorporates not only daily closing price changes but also opening gaps and intraday price ranges, providing a more accurate and comprehensive volatility estimation [47] - The volatility cone visualizes the volatility levels of different sectors across various timeframes, helping to identify whether current volatility levels are high or low in specific periods [50] - The report highlights that the black and industrial sectors currently exhibit high trend strength and low risk, making them favorable for timing strategies. Conversely, the non-ferrous sector shows low trend strength, suggesting a cautious approach [58][59]