金融研究 2025年3月26日 星期三 股指期货早班车 招商期货有限公司 | 代码 | 名称 | 涨跌幅% | 现价 | 涨跌 | 总量 | 总金额 | 持仓量 | 仓差 | 结算价 | 基差 | 基差年化 收益率 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | 中证 | | | | | | | | | | | | IC2504 | 2504 | 0.24 | 5895.2 | 14.4 | 49430 | 5832047 | 73750 | 2196 | 5890.2 | 51.8 | -12.1 | | IC2505 | 中证 2505 | 0.33 | 5858.0 | 19.2 | 3020 | 353990 | 3187 | 314 | 5851 | 89.0 | -10.7 | | IC2506 | 中证 2506 | 0.26 | 5794.0 | 15.0 | 33411 | 3872299 | 100043 | -131 | 5786.2 | 153.0 | -10.9 | | I ...

金融研究 2025年3月25日 星期二 股指期货早班车 招商期货有限公司 | 代码 | 名称 | 涨跌幅% | 现价 | 涨跌 | 总量 | 总金额 | 持仓量 | 仓差 | 结算价 | 基差 | 基差年化 收益率 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | IC2504 | 中证 2504 | -1.19 | 5903.8 | -0.6 | 52006 | 6130816 | 71554 | 71554 | 5880.8 | 65.3 | -14.4 | | IC2505 | 中证 2505 | -0.71 | 5862.4 | -42.0 | 2904 | 340046 | 2873 | -74320 | 5838.8 | 106.7 | -12.4 | | IC2506 | 中证 2506 | 0.03 | 5802.0 | 1.8 | 38793 | 4493597 | 100174 | -2092 | 5779 | 167.1 | -11.7 | | IC2509 | 中证 2509 | ...

商品期货早班车 招商期货 2025年03月25日 星期二 黄金市场 招商评论 贵 金 属 市场表现：周一国际贵金属市场震荡；消息面，特朗普对关税态度软化，未来几天将宣布汽车、木材和芯片 关税，可能对多国减免关税征收。此外其发推特呼吁美联储尽快降息同时表示将对购买委内瑞拉油气国家征 收 25%关税。经济数据方面，美国 3 月制造业 PMI 超预期下降至 49.8。服务业 PMI 初值并未如预期持平 2 月，而是升至 54.3，综合 PMI 初值不降反升至 53.5。但服务业前景恶化，对未来一年的信心下滑至 2022 年 以来的第二低点。库存数据方面，印度 2 月白银进口减至 250 吨左右；上期所白银库存周五减少 25 吨至 1176 吨，金交所白银库存上周增加 61 吨 1695 吨，伦敦 2 月库存减少 1056 吨至 22446 吨，主要流向美国。近期 伦敦市场白银可能再次出现挤仓，部分投资者认为银价相对金价低估而涌入白银市场。操作上，建议白银空 单适当控制仓位或者做多金银比。风险点：美国经济大幅衰退 基本金属 | 招商评论 | | | | | | | | | --- | --- | --- | --- ...

策略报告 标的资产分化 隐含波动率回升 2025 年3 月16 日 金融期权周度报告20250310-20250314 本周市场先抑后扬，内部结构出现分化；从各期权标的资产近 1 年以来的相 关性情况看，上证 50ETF 与科创 50ETF 正相关性上升至 0.939，中长期仍 保持较高的系统性，但短期大盘风格指数存在转强的迹象。本周现货市场成 交量先降后升，成交额整体下降至 1.66 万亿元水平附近。标的资产对应期权 持仓量全线增加，而成交量涨跌互现，表明期权作为衍生品，投资者通过期 权参与标的日内交易出现分化，科创 50ETF、创业板 ETF 日内交易机会下 降；投资者更多的参与日间波段交易为主。持仓 PCR 方面，本周各标的资产 期权持仓 PCR 出现分化，与标的资产走势匹配度较高。此外，仅（沪）中证 500ETF 期权持仓 PCR 在 1 以上，关注上方压力情况，而其他各标的资产期 权持仓 PCR 数值均在 1 以下，表明标的资产在测试压力位之后转为测试支 撑的概率较大。另一方面，各标的资产期权成交额 PCR 以下降为主，其中上 证 50ETF、300ETF、500ETF、创业板 ETF 与标的资产走 ...

目录 contents 期货研究报告 | 金融工程研究 本周主要宽基指数普跌，后市小微盘和 TMT风格继续保持谨慎 ——招期金工股票策略环境监控周报 （ 2025年02月24日-2025年02月28日） ·研究员-赵嘉瑜 ·联系电话：13686866941 ·联系人-卢星·联系电话：13120557519 ·luxing1@cmschina.com.cn ·zhaojiayu@cmschina.com.cn ·执业资格号: Z0016776 2025年03月02日 01 权益市场回顾 4 因子日历总览：本周权益市场整体下行 图表1.1-本周宽基指数、因子及策略收益日历总览 | 日期 | | | 宽基指数 | | | | | | | | | 残差波动 | Barra风格因子 | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | 沪深300 | 中证500 | 中证1000 | 中证2000 | 创业板指 | 科创50 | ...

Core Insights - The report indicates that the equity market is currently in a large-cap style, with a focus on valuation recovery in the short term (Q1 2025), suggesting a preference for investing in the CSI 300 ETF or CSI 300 index funds, while maintaining a balanced allocation in other index funds [2][6]. Group 1: Style Rotation Model Overview - The report introduces a multi-level monitoring model developed by the research team to capture signals of style rotation between large-cap and small-cap stocks [5]. - The first level of monitoring uses the one-month return difference between the CSI 800 large-cap index and the CSI 2000 small-cap index as an indicator of relative strength [5]. - The second level involves weekly tracking of the net value trends of the market capitalization factor from the MSCI Barra risk model to confirm style rotation signals [5]. - The third level combines fast and slow variable trend analysis to further validate the signals of style rotation [5]. Group 2: Performance Review of Style Rotation Model - The report reviews the performance of the style rotation model, showing that the CSI 300 index had a cumulative return of 11.07% over three months, with a Sharpe ratio of 2.90 [7]. - The CSI 500 index had a cumulative return of 13.00% with a Sharpe ratio of 1.94, while the CSI 1000 and CSI 2000 indices had lower cumulative returns of 10.29% and 3.52%, respectively [7]. Group 3: Signal Confirmation of Style Rotation - The model indicates a shift towards a large-cap style as of December 27, 2024, with the large-cap style expected to continue [15]. - The report provides a table of signal indicators showing the performance of large-cap versus small-cap indices over time, confirming the transition to a large-cap style [12][15]. Group 4: Fundamental Analysis - The report highlights that the CSI 300 index has the highest average net profit growth of 3.48% year-on-year compared to the CSI 500 (0.4%) and CSI 1000 (-7.7%) [27]. - The CSI 300 is identified as the preferred investment choice based on both fundamental and valuation analyses, with a focus on its strong performance metrics [27][28]. Group 5: Valuation and Market Sentiment - The report notes that as of January 17, 2025, the dividend yield of the CSI 300 index is at a high percentile, indicating a favorable investment environment [30]. - The analysis of trading volume and market sentiment suggests that the large-cap style is likely to perform well in the upcoming quarter, reinforcing the preference for the CSI 300 index [35].

Market Overview - No mainstream commodities reached new highs this week, while several agricultural products like soybeans and soybean meal hit one-year lows[4] - The palm oil market saw a significant drop in volume, while canola meal experienced a rise in volume[28] Macroeconomic Insights - Domestic policies since September have improved expectations, while Trump's trade policies continue to pose uncertainties for commodities in the medium to long term[5] - Economic data for November showed mixed results, with durable goods consumption supported by "trade-in" policies, while non-durable goods consumption declined[6] Investment Recommendations - Precious metals remain a long-term allocation target to hedge against currency credit risks, with gold expected to outperform silver in the near term[7] - Basic metals like copper, aluminum, and zinc are expected to experience supply disruptions, with a medium to long-term upward trend anticipated[7] - The black metal sector is expected to stabilize as domestic demand improves, with a potential trend shift anticipated before the Two Sessions in March[7] Commodity Performance - The week saw significant declines in agricultural products, with palm oil down by 6.5% and live pigs down by 7.5%[11][49] - The overall commodity market sentiment remains subdued, with many agricultural products facing trading difficulties due to weak demand expectations[13] Risk Factors - Key risks include the potential for the U.S. economy to weaken unexpectedly, slower-than-expected fiscal progress, and financial system panic[21]

Group 1: China Macro Policy Insights - Incremental monetary policy measures include a 50bps reduction in existing mortgage rates and a decrease in the down payment for second homes to 15%[7] - A total of 300 billion yuan has been allocated for housing refinancing, with the support ratio increased from 50% to 100%[7] - The government has introduced a special bond program to support stock buybacks, exceeding market expectations[7] Group 2: Economic Indicators - China's GDP growth for Q3 2024 is reported at 4.6%, slightly below the previous quarter's 4.7%[20] - The retail sales growth in September 2024 reached 3.2%, surpassing the expected 2.5%[20] - Exports in September 2024 amounted to 2.17 trillion yuan, marking a 6.2% year-on-year increase, the highest in the last decade[20] Group 3: U.S. Economic Outlook - The U.S. economy is showing signs of a soft landing, with unemployment rates and job performance exceeding market expectations[11] - Inflation remains a key concern, with the CPI's downward trend halting, indicating potential risks of rising inflation[11] - The market anticipates a 25bps interest rate cut in November 2024, influenced by strong economic data[25] Group 4: Global Economic Context - Global PMI indicators are predominantly below the growth line, while inflation continues to decline[24] - The U.S. fiscal deficit has expanded, with interest costs surpassing military spending, highlighting fiscal pressures[24] - Emerging markets are expected to recover, particularly in Mexico, while India and Russia show neutral growth prospects[32]

期货研究报告|宏观研究 专题报告：失业与就业 ·研究员-赵嘉瑜·联系电话：13686866941·联系人：王昊昇-18674061227 2024年08月9日 ·zhaojiayu@cmschina.com.cn·执业资格号:Z0016776 | --- | --- | --- | |----------|-------|-----------------| | | | 01 引言 | | | | | | 目录 | | 02 失业的衡量 | | contents | | 03 失业的类型 | | | | 04 应用 | CMF ூ 招商期货 | --- | --- | --- | --- | |----------|-------|-------|-----------------| | | | | 01 引言 | | 目录 | | | 02 失业的衡量 | | contents | | | 03 失业的类型 | | | | | 04 应用 | 短期经济波动：总供给与总需求 让学员理解短期经济波动的现象，并从总供给和总需求的角度讲解短期经济波动。 短期经济波动：经济波动机制、货币和财政政策 主要是讲解货币、财 ...

期货研究报告 | 宏观研究 专题报告：四个企稳迹象 2024年07月31日 ·研究员-赵嘉瑜 ·联系电话：13686866941 · zhaojiayu@cmschina.com.cn ·执业资格号: Z0016776 2024年07月31日 商品市场的四个企稳迹象 5月底以来的下跌交 易逻辑扭转 价格有底部支撑 中国：低内需预期→政策加码预期 欧洲：短期经济扰动→中期复苏前景 美国："特朗普交易"降温 商品市场 企稳回升 金工指标提示拐点到来 商-股共振向上 数据来源：招商期货 2 商品市场的企稳迹象 5月底我们成功预测到了商品趋势的逆转，而近期我们观察到了商品市场的企稳迹象。 ➢ 过去一个月，商品市场在交易什么？美国-"特朗普2.0"、中国-内需疲弱、欧洲-复苏不及预期，但目前这三 点都出现了改善的迹象。 ➢ 目前商品价格估值较低，悲观情绪已充分释放。 ➢ 更长周期看，全球制造业上升期即将到来； ➢ 股市情绪已经见底，股-商共振会引导商品企稳回升。 3.28 买国债传 3.31 PMI 大超预期 买卖国 债消息 落地 517新 政 531 PMI远不及 预期，央行说卖 国债 625 北京放政策 央行借券国 ...