Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - For stock index futures, maintain a long - term bullish view on the economy. It is recommended to allocate long - term contracts of various varieties on dips. In the short term, the market shows signs of cooling [2]. - For bond futures, be bullish in the short term as the implied yield of ultra - long bonds at 2.2% is cost - effective. In the medium - to - long term, with the increase in risk appetite and the expectation of economic recovery, it is advisable to conduct hedging on T and TL contracts on rallies [2]. 3. Summary by Directory (1) Stock Index Futures and Spot Market Performance - On September 16, A - share four major stock indexes fluctuated strongly. The Shanghai Composite Index rose 0.04% to 3861.87 points, the Shenzhen Component Index rose 0.45% to 13063.97 points, the ChiNext Index rose 0.68% to 3087.04 points, and the STAR 50 Index rose 1.32% to 1358.05 points. Market turnover was 23,671 billion yuan, an increase of 639 billion yuan from the previous day. In terms of industry sectors, comprehensive (+3.63%), machinery and equipment (+2.06%), and computer (+2.06%) led the gains, while agriculture, forestry, animal husbandry and fishery (-1.29%), banks (-1.15%), and non - ferrous metals (-0.99%) led the losses. From the perspective of market strength, IM>IC>IF>IH, and the number of rising/flat/falling stocks was 3,627/111/1,688 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were - 6 billion, - 160 billion, - 67 billion, and 233 billion yuan respectively, with changes of +183 billion, - 8 billion, - 154 billion, and - 21 billion yuan respectively [1]. - The basis of the next - month contracts of IM, IC, IF, and IH was 91.63, 83.59, 15.94, and - 3.58 points respectively, and the annualized basis yields were - 17.01%, - 16.15%, - 4.89%, and 1.69% respectively, with three - year historical quantiles of 10%, 5%, 20%, and 67% respectively [1]. - The report also provides detailed data on various stock index futures contracts such as IC, IF, IH, and IM, including price, trading volume, open interest, basis, and annualized basis yield [5]. (2) Treasury Bond Futures and Spot Market Performance - On September 16, the yields of treasury bond futures declined across the board. Among the active contracts, the implied yield of the two - year bond was 1.373, down 2.79 bps from the previous day; the implied yield of the five - year bond was 1.556, down 2.87 bps; the implied yield of the ten - year bond was 1.747, down 1.29 bps; and the implied yield of the thirty - year bond was 2.166, down 0.2 bps [2]. - For the current active 2512 contracts, the CTD bonds, yield changes, net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are provided [2]. - In terms of the money market, the central bank's net injection was 400 billion yuan through open market operations [2]. - The report also provides detailed data on various treasury bond futures contracts, including price, trading volume, open interest, net basis, and CTD bond implied yield [7]. (3) Economic Data High - frequency data shows that the recent social activity sentiment is weak. The report also presents a chart of domestic meso - level data tracking, which is based on the comparison of meso - level data in each module with the same period in the past five years [10][11].

Report Industry Investment Ratings No relevant content provided. Core Views - The de - dollarization logic remains unchanged, with expectations of a Fed rate cut. Gold is bullish in the medium - term but may experience a short - term pullback after hitting new highs. Silver follows gold, and it is recommended to take profits in the domestic market after it breaks through the 10,000 - yuan mark [1]. - The aluminum market is expected to rise due to enhanced rate - cut expectations and pre - National Day stocking demand. Alumina is in a supply - demand surplus, and its rebound space is limited. Zinc requires observation. Lead is recommended to be bought at dips. Industrial silicon and polysilicon are expected to trade in a range, and polysilicon also presents a 11 - 12 reverse spread opportunity [1][2][3]. - For the black industry, steel supply and demand are seasonally weak with obvious structural differentiation. It is recommended to take profits on long positions in steel. Iron ore should be observed. For coking coal, close long positions in the 2605 contract [4][5]. - In the agricultural products market, short - term trends of soybean meal are affected by Sino - US negotiations, and medium - term trends depend on tariff policies. Corn futures are expected to decline. For sugar, go short in the futures market and sell call options. Cotton can be bought at dips. Logs should be observed. Palm oil is bullish in the medium - term. Eggs are expected to strengthen in the short - term. For pork, consider reverse spread strategies [6][7]. - In the energy and chemical sector, LLDPE and PP are expected to trade sideways in the short - term and become more bearish in the medium - to long - term. PVC can be shorted after a rebound. Glass and soda ash are expected to improve seasonally. Crude oil should be shorted at highs. Styrene is expected to trade sideways in the short - term and become more bearish in the long - term. Caustic soda can be bought [8][9][10]. Summaries by Relevant Catalogs Precious Metals - **Market Performance**: Precious metal prices continued to strengthen, with the London gold price reaching $3,700 per ounce [1]. - **Fundamentals**: Milan was confirmed as a Fed governor, and the US retail sales in August increased for three consecutive months. Gold ETF funds in China continued to flow in, and the inventories of gold and silver in various regions showed different changes [1]. - **Trading Strategy**: Bullish on gold in the medium - term but expect a short - term pullback. Take profits on silver after it breaks through 10,000 yuan in the domestic market [1]. Basic Metals Aluminum - **Market Performance**: The closing price of the electrolytic aluminum main contract decreased by 0.21% to 20,975 yuan per ton [2]. - **Fundamentals**: Electrolytic aluminum plants maintained high - load production, and downstream consumption continued to recover [2]. - **Trading Strategy**: Bullish on aluminum due to rate - cut expectations and pre - National Day stocking demand [2]. Alumina - **Market Performance**: The closing price of the alumina main contract increased by 1.50% to 2,979 yuan per ton [2]. - **Fundamentals**: Alumina plants had high operating capacity, and electrolytic aluminum plants maintained high - load production [2]. - **Trading Strategy**: The rebound of alumina prices is limited due to supply - demand surplus [2]. Zinc - **Market Performance**: The closing price of the Shanghai zinc 2510 contract decreased by 0.25% to 22,255 yuan per ton [2]. - **Fundamentals**: Supply was abundant with some disturbances, and consumption was "not in the peak season". Inventories continued to accumulate [2][3]. - **Trading Strategy**: Observe [2][3]. Lead - **Market Performance**: The closing price of the Shanghai lead 2510 contract decreased by 0.61% to 17,055 yuan per ton [3]. - **Fundamentals**: Supply tightened regionally, and consumption was expected to rise with pre - National Day stocking [3]. - **Trading Strategy**: Buy at dips [3]. Industrial Silicon - **Market Performance**: The main 11 - contract closed at 8,815 yuan per ton, up 1.31% [3]. - **Fundamentals**: Supply increased, and both social and warehouse inventories started to accumulate slightly. Demand was at a relatively high level this year [3]. - **Trading Strategy**: Trade in the 8,200 - 9,200 range and observe [3]. Polysilicon - **Market Performance**: The main 11 - contract closed at 53,670 yuan per ton, up 0.23% [3]. - **Fundamentals**: Supply was stable, and inventories started to accumulate. Demand from the photovoltaic industry was pessimistic in Q3 [3]. - **Trading Strategy**: Trade in the 52,000 - 57,000 range and consider 11 - 12 reverse spread opportunities [3]. Black Industry Rebar - **Market Performance**: The main 2601 contract of rebar closed at 3,151 yuan per ton, down 24 yuan [4]. - **Fundamentals**: Building material inventories increased, and the supply - demand of building materials was neutral to weak, while that of plates was stable [4][5]. - **Trading Strategy**: Take profits on long positions [4][5]. Iron Ore - **Market Performance**: The main 2601 contract of iron ore closed at 799.5 yuan per ton, down 12 yuan [5]. - **Fundamentals**: Australian and Brazilian shipments increased, and arrivals decreased. Iron ore supply and demand were neutral to strong [5]. - **Trading Strategy**: Observe [5]. Coking Coal - **Market Performance**: The main 2601 contract of coking coal closed at 1,233.5 yuan per ton, down 5.5 yuan [5]. - **Fundamentals**: Iron - making output increased, and the overall inventory of coking coal decreased. Futures were over - valued [5]. - **Trading Strategy**: Close long positions in the 2605 contract [5]. Agricultural Products Soybean Meal - **Market Performance**: CBOT soybeans rose on expectations of improved US soybean exports [6]. - **Fundamentals**: US soybeans had a slight reduction in production, and South American soybeans were expected to increase. Demand was structurally differentiated [6]. - **Trading Strategy**: Short - term trends are affected by Sino - US negotiations, and medium - term trends depend on tariff policies [6]. Corn - **Market Performance**: The 2511 contract of corn traded in a narrow range, with spot prices rising in the Northeast and falling in the North [6]. - **Fundamentals**: Imported grain auctions increased supply, and new - crop corn was expected to increase production with lower costs [6]. - **Trading Strategy**: Futures prices are expected to decline [6]. Sugar - **Market Performance**: The 01 contract of Zhengzhou sugar closed at 5,544 yuan per ton, down 0.2% [6]. - **Fundamentals**: Brazil's sugar production was high, and the growth of sugarcane in different regions in China showed different situations [6][7]. - **Trading Strategy**: Go short in the futures market and sell call options [7]. Cotton - **Market Performance**: US cotton futures rose, and Zhengzhou cotton futures trended upwards [7]. - **Fundamentals**: The US cotton boll - opening rate was behind last year, and the domestic retail sales of clothing increased [7]. - **Trading Strategy**: Buy at dips in the 13,800 - 14,500 range [7]. Logs - **Market Performance**: The 09 contract of logs closed at 806.5 yuan per cubic meter, up 0.25% [7]. - **Fundamentals**: Port inventories decreased slightly, and the supply - demand contradiction was not prominent [7]. - **Trading Strategy**: Observe [7]. Palm Oil - **Market Performance**: The Malaysian palm oil market was closed [7]. - **Fundamentals**: Supply was in a seasonal increase period, and exports increased [7]. - **Trading Strategy**: Bullish in the medium - term, with the core driver being seasonal production cuts [7]. Eggs - **Market Performance**: The 2511 contract of eggs corrected, and some spot prices rose [7]. - **Fundamentals**: Demand increased seasonally, but supply was abundant [7]. - **Trading Strategy**: Expected to strengthen in the short - term [7]. Pork - **Market Performance**: The 2511 contract of pork corrected, and spot prices fell [7]. - **Fundamentals**: Consumption increased, but supply was also abundant. Policy support was expected to reduce future supply pressure [7]. - **Trading Strategy**: Consider reverse spread strategies [7]. Energy and Chemical LLDPE - **Market Performance**: The main contract of LLDPE rose slightly, with a weakening basis [8]. - **Fundamentals**: Domestic supply increased, and imports were expected to decrease slightly. Demand improved seasonally [8]. - **Trading Strategy**: Trade sideways in the short - term and go short in the medium - to long - term [8]. PVC - **Market Performance**: The V01 contract of PVC rose 1% [8]. - **Fundamentals**: Supply and demand were in a weak balance, and inventories reached a new high [8]. - **Trading Strategy**: Short after a rebound [8]. Glass - **Market Performance**: The FG01 contract of glass rose 3.5% [8]. - **Fundamentals**: Supply was large, and inventories decreased seasonally. Downstream demand improved slightly [8]. - **Trading Strategy**: Go long [8]. PP - **Market Performance**: The main contract of PP rebounded slightly, with a weakening basis [8]. - **Fundamentals**: Supply increased, and demand improved seasonally [8]. - **Trading Strategy**: Trade sideways in the short - term and go short in the medium - to long - term [8]. Crude Oil - **Market Performance**: Oil prices rose for three consecutive days due to supply concerns [9]. - **Fundamentals**: Supply was expected to increase, and demand was weakening [9]. - **Trading Strategy**: Short at highs [9]. Styrene - **Market Performance**: The main contract of styrene rebounded slightly, with a weakening basis [9]. - **Fundamentals**: Pure benzene and styrene inventories were at normal - to - high levels, and downstream demand improved seasonally [9]. - **Trading Strategy**: Trade sideways in the short - term and go short in the long - term [9]. Soda Ash - **Market Performance**: The SA01 contract of soda ash rose 3.1% [9]. - **Fundamentals**: Supply was increasing, and demand from the photovoltaic and glass industries improved seasonally [9]. - **Trading Strategy**: Observe [9]. Caustic Soda - **Market Performance**: The SH01 contract of caustic soda rose 0.5% [10]. - **Fundamentals**: Supply was stable, and non - aluminum demand improved seasonally [10]. - **Trading Strategy**: Go long [10].

1. Report Industry Investment Rating - Not provided 2. Core Viewpoints - In the medium to long term, maintain the judgment of going long on the economy and recommend allocating long - term contracts of various varieties on dips; in the short term, the market shows signs of cooling [3] - With the upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies in the medium and long term [4] 3. Summary by Directory 3.1 Market Performance - On September 15, most of the four major A - share stock indexes moved up, with the Shanghai Composite Index down 0.26% at 3860.5 points, the Shenzhen Component Index up 0.63% at 13005.77 points, the ChiNext Index up 1.51% at 3066.18 points, and the STAR 50 Index up 0.18% at 1340.4 points. Market turnover was 2303.2 billion yuan, a decrease of 245.1 billion yuan from the previous day. In the industry sector, power equipment (+2.22%), media (+1.94%), and agriculture, forestry, animal husbandry and fishery (+1.79%) led the gains; comprehensive (-1.8%), communication (-1.52%), and national defense and military industry (-1.05%) led the losses. In terms of market strength, IF>IM>IC>IH. The number of rising/flat/falling stocks was 1914/138/3374 respectively. The net inflows of institutional, main, large - scale and retail investors in the Shanghai and Shenzhen stock markets were - 18.9 billion, - 15.1 billion, 8.7 billion and 25.4 billion yuan respectively, with changes of +2.2 billion, +1 billion, +2.3 billion and - 5.6 billion yuan respectively [2] - On September 15, the yields of treasury bond futures declined across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.399, down 0.26 bps from the previous day; the implied interest rate of the five - year bond was 1.59, down 1.91 bps; the implied interest rate of the ten - year bond was 1.764, down 2.43 bps; and the implied interest rate of the thirty - year bond was 2.17, down 1.57 bps [3] 3.2 Stock Index Futures - The basis of the next - month contracts of IM, IC, IF, and IH was 114.57, 87.16, 13.26, and - 0.18 points respectively, with annualized basis yields of - 20.33%, - 16.07%, - 3.85%, and 0.08% respectively, and three - year historical quantiles of 3%, 5%, 23%, and 45% respectively [3] - The performance data of various stock index futures contracts such as IC2509, IC2510, etc. including their code, name, daily change rate, current price, trading volume, etc. are presented in Table 1 [6] 3.3 Treasury Bond Futures - The current active contract is the 2512 contract. The CTD bond, yield change, corresponding net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are provided. For example, the CTD bond of the 2 - year treasury bond futures is 250012.IB, with a yield change of - 0.5 bps, a corresponding net basis of - 0.005, and an IRR of 1.5% [4] - In terms of the money supply, the central bank injected 280 billion yuan and withdrew 191.5 billion yuan, resulting in a net injection of 88.5 billion yuan [4] - The performance data of various treasury bond futures contracts such as TS2512, TS2603, etc. including their code, name, daily change rate, current price, trading volume, etc. are presented in Table 2 [8] 3.4 Economic Data - High - frequency data shows that the recent social activity sentiment is weak [11] - Based on the comparison of medium - term data of each module with the same period in the past five years (year - on - year month - on - month), the sentiment of manufacturing, real estate, social activities, infrastructure, and import and export is scored. Positive scores indicate an improvement in sentiment, negative scores indicate a weakening, and zero scores indicate little change [13][14]

1. Report Industry Investment Ratings No relevant content provided. 2. Core Views of the Report - The de - dollarization logic remains unchanged, with expectations of a Fed rate cut. Gold may face a short - term pullback but is bullish in the medium term; silver should be sold for profit after hitting a high [2]. - For basic metals, maintain a buy - on - dips strategy for copper, go long on aluminum on dips, and wait and see for alumina [3]. - In the black industry, hold or take profit on long positions in rebar, wait and see for iron ore, and hold long positions in coking coal 2605 [5]. - In the agricultural product market, pay attention to trade negotiation progress for soybean meal, expect corn prices to decline, short sugar futures, go long on cotton on dips, wait and see for logs, be bullish on palm oil in the medium term, expect short - term strength in egg prices, and expect short - term low - level oscillation in hog prices [6][7][8]. - In the energy and chemical sector, short LLDPE and PP in the long - term, short PVC, short PTA in the long - term, be cautiously bullish on rubber in the medium term, go long on glass, take profit on MEG short positions, short crude oil, wait and see for EB and soda ash, and go long on caustic soda on dips [9][10][11]. 3. Summary by Directory Precious Metals - Market Performance: Precious metal prices are oscillating at high levels. Gold prices may face short - term pullbacks after hitting new highs, while silver has broken through the 10,000 - yuan mark in China [2]. - Fundamentals: Sino - US cooperation framework agreements, potential Fed rate cuts, and changes in gold and silver inventories globally [2]. - Trading Strategy: Be bullish on gold in the medium term, take profit on silver [2]. Basic Metals Copper - Market Performance: Copper prices continued to strengthen [3]. - Fundamentals: Weakening dollar before rate cuts, tight copper ore supply, and small inventory accumulation in China [3]. - Trading Strategy: Maintain a buy - on - dips strategy [3]. Aluminum - Market Performance: The closing price of the electrolytic aluminum main contract decreased by 0.47% to 21,120 yuan/ton [3]. - Fundamentals: High - load production of aluminum plants and improving downstream consumption [3]. - Trading Strategy: Go long on dips [3]. Alumina - Market Performance: The closing price of the alumina main contract decreased by 0.07% to 2,935 yuan/ton [3]. - Fundamentals: High operating capacity of alumina plants and high - load production of electrolytic aluminum plants [3]. - Trading Strategy: Wait and see [3]. Lead - Market Performance: The closing price of the lead main contract increased by 0.70% to 17,160 yuan/ton [4]. - Fundamentals: Tight supply due to refinery maintenance and stable - to - rising consumption [4]. - Trading Strategy: Go long on dips [4]. Industrial Silicon - Market Performance: The main contract fluctuated widely, with the price increasing by 0.63% to 8,800 yuan/ton [4]. - Fundamentals: New furnace openings in the northwest and potential policy - driven capacity reduction [4]. - Trading Strategy: Wait and see as the price is expected to oscillate between 8,200 - 9,000 yuan/ton [4]. Lithium Carbonate - Market Performance: The main contract price increased by 2.1% to 72,680 yuan/ton [4]. - Fundamentals: Increasing production and strong demand from the energy storage and new - energy vehicle sectors [4]. - Trading Strategy: Wait and see as the price is expected to oscillate between 68,000 - 75,000 yuan/ton [4]. Polysilicon - Market Performance: The main contract price decreased by 0.12% to 53,545 yuan/ton [4]. - Fundamentals: Stable production, increasing inventory, and uncertain demand in the photovoltaic industry [4]. - Trading Strategy: Wait and see as the price is expected to oscillate between 52,000 - 57,000 yuan/ton, and consider 11 - 12 reverse spreads [4]. Black Industry Rebar - Market Performance: The main contract price increased by 55 yuan/ton to 3,175 yuan/ton [5]. - Fundamentals: Slightly weak supply - demand balance, with inventory accumulation and seasonal demand patterns [5]. - Trading Strategy: Hold or take profit on long positions [5]. Iron Ore - Market Performance: The main contract price increased by 15.5 yuan/ton to 811.5 yuan/ton [5]. - Fundamentals: Neutral - to - strong supply - demand balance, with expected slow inventory accumulation [5]. - Trading Strategy: Wait and see [5]. Coking Coal - Market Performance: The main contract price increased by 77 yuan/ton to 1,238.5 yuan/ton [5]. - Fundamentals: Decreasing steel mill profits and potential supply disruptions [5]. - Trading Strategy: Hold long positions in 2605 [5]. Agricultural Product Market Soybean Meal - Market Performance: CBOT soybeans fell overnight [6]. - Fundamentals: Slight US soybean production reduction and potential South American production increase [6]. - Trading Strategy: Pay attention to trade negotiation progress [6]. Corn - Market Performance: The 2511 contract decline accelerated, with mixed spot price trends [6]. - Fundamentals: Increased supply from imports and expected new - crop production increase [6]. - Trading Strategy: Expect price decline [6]. Sugar - Market Performance: The 01 contract price increased by 0.43% to 5,569 yuan/ton [6]. - Fundamentals: High Brazilian sugar production and varying crop conditions in China [6]. - Trading Strategy: Short futures and sell call options [6]. Cotton - Market Performance: US cotton futures were flat overnight, and Chinese cotton futures rebounded [7]. - Fundamentals: Declining US cotton quality and varying planting areas in India [7]. - Trading Strategy: Go long on dips [7]. Logs - Market Performance: The 09 contract price increased by 0.81% to 804.5 yuan/cubic meter [7]. - Fundamentals: Stable inventory and weak demand [7]. - Trading Strategy: Wait and see [7]. Palm Oil - Market Performance: Malaysian palm oil market was closed [7]. - Fundamentals: Seasonal production increase and rising exports [7]. - Trading Strategy: Be bullish in the medium term [7]. Eggs - Market Performance: The 2511 contract oscillated narrowly, with rising spot prices [7]. - Fundamentals: Increased demand from holiday stocking and sufficient supply [7]. - Trading Strategy: Expect short - term strength [7]. Hogs - Market Performance: The 2511 contract opened low and closed high, with slightly falling spot prices [8]. - Fundamentals: Increasing supply and potential policy support [8]. - Trading Strategy: Expect short - term low - level oscillation [8]. Energy and Chemical Sector LLDPE - Market Performance: The main contract oscillated slightly, with weakening basis [9]. - Fundamentals: Increasing domestic supply and improving demand in the agricultural film season [9]. - Trading Strategy: Short in the long - term [9]. PVC - Market Performance: The V01 contract price increased by 1% [9]. - Fundamentals: Weak supply - demand balance and high inventory [9]. - Trading Strategy: Short [9]. PTA - Market Performance: PX prices were strong, and PTA had a negative basis [9]. - Fundamentals: High supply of PX and PTA, and improving polyester demand [9]. - Trading Strategy: Short PTA in the long - term [9]. Rubber - Market Performance: The RU2601 contract price increased by 1.17% [9]. - Fundamentals: Declining raw material prices and decreasing inventory [9]. - Trading Strategy: Be cautiously bullish in the medium term [9]. Glass - Market Performance: The FG01 contract price increased by 2.7% [10]. - Fundamentals: Weak supply - demand balance and decreasing inventory [10]. - Trading Strategy: Go long [10]. PP - Market Performance: The main contract oscillated slightly, with weakening basis [10]. - Fundamentals: Increasing supply and improving demand in the peak season [10]. - Trading Strategy: Short in the long - term [10]. MEG - Market Performance: The spot price was 4,378 yuan/ton, with a positive basis [10]. - Fundamentals: High supply and low inventory [10]. - Trading Strategy: Take profit on short positions [10]. Crude Oil - Market Performance: Oil prices rebounded slightly, with SC being strong [10]. - Fundamentals: Increasing supply and weakening demand [10]. - Trading Strategy: Short [10]. EB - Market Performance: The main contract rebounded slightly [11]. - Fundamentals: High inventory and improving demand in the peak season [11]. - Trading Strategy: Wait and see in the short - term, short in the long - term [11]. Soda Ash - Market Performance: The SA01 contract price increased by 1.7% [11]. - Fundamentals: Stable supply - demand balance and high inventory [11]. - Trading Strategy: Wait and see [11]. Caustic Soda - Market Performance: The SH01 contract price increased by 0.1% [11]. - Fundamentals: Healthy supply - demand balance and potential price increase [11]. - Trading Strategy: Go long on dips [11].

Quantitative Models and Construction Methods 1. Model Name: Barra Style Factors - **Model Construction Idea**: The model aims to capture the performance of various style factors in the equity market, such as momentum, size, and residual volatility[12][27] - **Model Construction Process**: The model calculates the returns of different style factors over a specified period. For example, the momentum factor return is calculated as: $$ \text{Momentum Factor Return} = \frac{\sum (\text{Stock Returns} \times \text{Momentum Scores})}{\sum \text{Momentum Scores}} $$ where the momentum scores are derived from the past performance of stocks[12][27] - **Model Evaluation**: The model effectively captures the performance of different style factors, providing insights into market trends and investor behavior[12][27] 2. Model Name: Excess Return Monitoring Model - **Model Construction Idea**: This model monitors the relative performance of small and mid-cap indices against a large-cap benchmark to capture market style rotation signals[86] - **Model Construction Process**: The model calculates the rolling 20-day excess returns of indices such as CSI 2000, CSI 1000, and CSI 500 relative to the CSI 300. For example: $$ \text{Excess Return} = \text{CSI 1000 Return} - \text{CSI 300 Return} $$ The model then tracks the percentile rank of these excess returns over a three-year period to identify significant deviations[86] - **Model Evaluation**: The model provides a systematic approach to detect market style rotations, aiding in strategic asset allocation decisions[86] Model Backtest Results - **Barra Style Factors**: - **Momentum Factor**: Weekly return 0.61%, monthly return 0.96%, annualized Sharpe ratio 2.20[12][27] - **Size Factor**: Weekly return 0.56%, monthly return 1.71%, annualized Sharpe ratio -1.78[12][27] - **Residual Volatility Factor**: Weekly return -0.48%, monthly return -0.77%, annualized Sharpe ratio -1.65[12][27] - **Excess Return Monitoring Model**: - **CSI 1000 vs. CSI 300**: 20-day rolling return -3.32%, 3-year percentile 17.0%[86] - **CSI 2000 vs. CSI 300**: 20-day rolling return -4.78%, 3-year percentile 15.1%[86] - **CSI 500 vs. CSI 300**: 20-day rolling return 1.21%, 3-year percentile 66.7%[86] Quantitative Factors and Construction Methods 1. Factor Name: Momentum - **Factor Construction Idea**: The momentum factor captures the tendency of stocks that have performed well in the past to continue performing well in the future[12][27] - **Factor Construction Process**: The momentum score for each stock is calculated based on its past returns over a specified period, typically 12 months. The factor return is then computed as: $$ \text{Momentum Factor Return} = \frac{\sum (\text{Stock Returns} \times \text{Momentum Scores})}{\sum \text{Momentum Scores}} $$ where the momentum scores are derived from the past performance of stocks[12][27] - **Factor Evaluation**: The momentum factor has shown consistent positive returns, indicating its effectiveness in capturing market trends[12][27] 2. Factor Name: Size - **Factor Construction Idea**: The size factor captures the performance difference between small-cap and large-cap stocks[12][27] - **Factor Construction Process**: The size score for each stock is calculated based on its market capitalization. The factor return is then computed as: $$ \text{Size Factor Return} = \frac{\sum (\text{Stock Returns} \times \text{Size Scores})}{\sum \text{Size Scores}} $$ where the size scores are derived from the market capitalization of stocks[12][27] - **Factor Evaluation**: The size factor has shown mixed performance, reflecting the varying investor preferences for small-cap versus large-cap stocks over time[12][27] Factor Backtest Results - **Momentum Factor**: Weekly return 0.61%, monthly return 0.96%, annualized Sharpe ratio 2.20[12][27] - **Size Factor**: Weekly return 0.56%, monthly return 1.71%, annualized Sharpe ratio -1.78[12][27] - **Residual Volatility Factor**: Weekly return -0.48%, monthly return -0.77%, annualized Sharpe ratio -1.65[12][27]

1. Report Industry Investment Ratings No information provided in the content 2. Core Views of the Report - The precious metal market is in high - level oscillation. The non - recessionary interest rate cut expectation is favorable for the aluminum price, while the copper price is expected to rise as well. For gold, the short - term may see a callback, but the medium - term outlook is positive; silver is recommended to take profit. The alumina price may remain weakly oscillating. The lithium carbonate price is expected to oscillate between 68,000 - 75,000 yuan, and it's advisable to wait and see. The tin price is expected to be strongly oscillating. In the black industry, steel supply and demand are seasonally weak with obvious structural differentiation, iron ore supply and demand are marginally neutral - strong, and coking coal futures are over - valued. In the agricultural product market, the short - term performance of soybeans is internally and externally differentiated, corn prices are expected to decline, sugar prices are recommended to short, cotton prices are recommended to long, log prices are recommended to wait and see, palm oil is medium - term bullish, egg prices are expected to be strong in the short - term, and pig prices are expected to oscillate at a low level. In the energy and chemical industry, LLDPE, PP, and styrene are recommended to short in the medium - and long - term, PVC and glass are recommended to wait and see, rubber is medium - term cautiously bullish, crude oil is recommended to short at high prices, soda ash is recommended to wait and see, and caustic soda is recommended to long [1][2][3] 3. Summary by Related Catalogs Precious Metals - **Gold Market**: The precious metal price is in high - level oscillation. The de - dollarization logic remains unchanged, and the Fed's interest rate cut expectation persists. However, as the price hits a new high, there may be a short - term callback due to profit - taking, and it's still bullish in the medium - term. The domestic gold ETF funds flowed in more than 10 tons on Friday, and the COMEX gold inventory remained unchanged at 1210 tons, while the SHFE gold inventory increased by 3 tons to 53 tons [1][3] - **Silver Market**: Silver follows gold. After the domestic price breaks through 10,000 yuan, it's recommended to take profit. The SHFE silver inventory increased by 6 tons to 1246 tons, the SGE silver inventory decreased by 11 tons to 1240 tons last week, the COMEX silver inventory increased by 91 tons to 16402 tons, and the London silver inventory in August increased by 447 tons to 24643 tons [3] Basic Metals - **Copper**: On Friday, the copper price stood firm at 80,000 yuan. The US CPI data met expectations, the initial jobless claims exceeded expectations, and the ECB ended the interest rate cut cycle, leading to a continuous weakening of the US dollar. On the supply side, copper smelters enter the maintenance season, and the domestic output is expected to decline in September and October. It's recommended to buy on dips [2] - **Aluminum**: On Friday, the closing price of the main electrolytic aluminum contract increased by 0.98% to 21,120 yuan/ton. The supply side maintains high - load production with a slight increase in operating capacity, and the demand side shows continuous recovery. It's expected that the price will oscillate strongly, and it's recommended to buy on dips [2] - **Alumina**: On Friday, the closing price of the main alumina contract decreased by 0.65% to 2933 yuan/ton. The operating capacity of alumina plants is at a high level, and the electrolytic aluminum plants maintain high - load production. The price may remain weakly oscillating, and it's recommended to wait and see [2][4] - **Lithium Carbonate**: On Friday, the main contract LC2511 closed at 71,160 yuan/ton, an increase of 0.2%. The SMM lithium carbonate price was reported at 72,450 yuan/ton, and the basis weakened to 1350 yuan/ton. The supply is increasing, and the demand is also strong. It's expected that the price will oscillate between 68,000 - 75,000 yuan, and it's advisable to wait and see [4] - **Tin**: On Friday, the tin price oscillated strongly. The US CPI data met expectations, the initial jobless claims exceeded expectations, and the ECB ended the interest rate cut cycle, leading to a continuous weakening of the US dollar. The supply of tin ore remains tight, and the domestic smelting start - up rate is at a low level. It's recommended to maintain a strongly oscillating view [4] Black Industry - **Rebar**: The main rebar 2601 contract closed at 3120 yuan/ton, up 35 yuan/ton from the previous night - session closing price. The supply and demand of building materials are seasonally weak with obvious structural differentiation. It's recommended to hold long positions, and the reference range for RB01 is 3080 - 3160 [5] - **Iron Ore**: The main iron ore 2601 contract closed at 796 yuan/ton, down 1.5 yuan/ton from the previous night - session closing price. The supply and demand of iron ore are marginally neutral - strong. It's recommended to wait and see, and the reference range for I01 is 775 - 805 [5][6] - **Coking Coal**: The main coking coal 2601 contract closed at 1161.5 yuan/ton, up from the previous night - session closing price. The iron water output increased, the steel mill's profit margin narrowed, and the coking coal inventory at steel mills and coking plants is at a low level. It's recommended to try long positions, and the reference range for 2605 JM01 is 1130 - 1190 [6] Agricultural Products - **Soybean Meal**: Last Friday, CBOT soybeans rose. The near - term US soybean area increased slightly, the yield per unit decreased slightly, and the output increased slightly. The far - term South American production is expected to increase. The demand side shows structural differentiation. It's recommended to pay attention to the progress of Sino - US negotiations, and the medium - term trend depends on tariff policies [7] - **Corn**: The corn 2511 contract was weakly running, and the spot price of North China corn declined. The increase in imported grain auctions and the expected increase in new crops suppress the price. It's expected that the futures price will decline in an oscillating manner [7] - **Sugar**: The ICE raw sugar 10 contract closed at 15.58 cents/pound, with a weekly decline of 0.85%. The Zhengzhou sugar 01 contract closed at 5523 yuan/ton, with a weekly decline of 1.38%. It's recommended to short in the futures market and sell call options [7] - **Cotton**: Last Friday, the US cotton futures price oscillated flat. The latest CFTC fund net long - position ratio decreased, and the USDA data in September adjusted the global cotton ending inventory downwards, which supports the cotton price. It's recommended to buy on dips, with a strategy in the range of 13,800 - 14,500 yuan/ton [7][8] - **Log**: The log 09 contract closed at 798 yuan/cubic meter, with a weekly decline of 0.25%. The inventory of major ports decreased slightly, and the supply - demand contradiction is not prominent. It's recommended to wait and see [8] - **Palm Oil**: Last Friday, the Malaysian palm oil closed lower. The supply side is in the seasonal production - increasing cycle, and the demand side shows a decline in exports. It's recommended to pay attention to the production in the producing areas and biodiesel policies, and it's bullish in the medium - term [8] - **Egg**: The egg 2511 contract oscillated narrowly, and the spot price rose. The double - festival stocking boosts demand, but the supply is sufficient. It's expected that the egg price will be strong in the short - term, and the futures price will rebound in an oscillating manner [8] - **Pig**: The pig 2511 contract was weakly running, and the spot price of pigs declined slightly. The supply is abundant, and the consumption is gradually recovering. It's expected that the pig price will oscillate at a low level in the short - term, and it's recommended to wait and see [8] Energy and Chemicals - **LLDPE**: On Friday, the main LLDPE contract oscillated slightly. The domestic supply pressure is rising but slowing down, and the demand is improving. It's recommended to short at high prices or conduct a reverse spread in the medium - and long - term [9][10] - **PVC**: The V01 contract closed at 4870, unchanged. The PVC inventory reached a new high, and the supply increased. The demand is weak. It's recommended to clear short positions [10] - **Rubber**: On Friday, the rubber price dropped rapidly and then rebounded, with the RU2601 contract down 0.38% to 15820 yuan/ton. The raw material price decreased slightly, and the tire start - up rate increased significantly. It's recommended to be cautiously bullish in the medium - term [10] - **Glass**: The FG01 contract closed at 1181, up 0.4%. The glass production and sales are okay, and the price is at the bottom. It's recommended to wait and see [10] - **PP**: On Friday, the main PP contract oscillated slightly. The supply pressure is increasing, and the demand is improving. It's recommended to short at high prices or conduct a reverse spread in the medium - and long - term [10] - **Crude Oil**: This week, the oil price continued to oscillate. The supply is strong, and the demand is weak. It's recommended to short at high prices, and pay attention to the short - selling opportunity of the SC main contract around 490 yuan/barrel [10][11] - **Styrene**: On Friday, the main EB contract oscillated slightly. The supply is expected to increase, and the demand is still weak. It's recommended to short at high prices or short the styrene profit in the medium - and long - term [11] - **Soda Ash**: The SA01 contract closed at 1289, up 0.6%. The soda ash is oscillating at the bottom, and the downstream demand is improving. It's recommended to wait and see [11] - **Caustic Soda**: The SH01 contract closed at 2553, down 0.5%. The supply and demand of caustic soda are healthy, and the price is expected to rise in September. It's recommended to long [11]

1. Report Industry Investment Rating - No information provided regarding the report industry investment rating. 2. Core Views of the Report - For stock index futures, in the medium - to - long - term, maintain the judgment of going long on the economy, and it is recommended to allocate long - term contracts of various varieties on dips; in the short - term, the market shows signs of cooling [2]. - For treasury bond futures, with the upward risk appetite and the expectation of economic recovery, it is recommended to hedge on rallies for the medium - to - long - term [2]. 3. Summary by Relevant Catalogs (1) Stock Index Futures - **Market Performance**: On September 12, most of the four major A - share stock indexes adjusted. The Shanghai Composite Index fell 0.12% to 3870.6 points, the Shenzhen Component Index fell 0.43% to 12924.13 points, the ChiNext Index fell 1.09% to 3020.42 points, and the STAR 50 Index rose 0.9% to 1338.02 points. Market trading volume was 25,483 billion yuan, an increase of 837 billion yuan from the previous day. In terms of industry sectors, non - ferrous metals (+1.96%), real estate (+1.51%), and steel (+1.41%) led the gains; communication (-2.13%), comprehensive (-1.95%), and beauty care (-1.52%) led the losses. From the perspective of market strength, IC>IM>IH>IF, and the number of rising/flat/falling stocks was 1,926/130/3,370 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of - 21.1 billion, - 16.2 billion, 6.3 billion, and 31 billion yuan respectively, with changes of - 47.1 billion, - 0.5 billion, +31.1 billion, and +16.5 billion yuan respectively [2]. - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH was 96.88, 58.55, 5, and - 0.46 points respectively, and the annualized basis yields were - 16.32%, - 10.24%, - 1.38%, and 0.19% respectively, with three - year historical quantiles of 11%, 16%, 43%, and 46% respectively [2]. - **Trading Strategy**: In the medium - to - long - term, maintain the judgment of going long on the economy, and it is recommended to allocate long - term contracts of various varieties on dips; in the short - term, the market shows signs of cooling [2]. (2) Treasury Bond Futures - **Yield Changes**: On September 12, the yields of treasury bond futures rose and fell differently. Among the active contracts, the implied interest rate of the two - year bond was 1.396, up 2.79 bps from the previous day; the implied interest rate of the five - year bond was 1.603, up 0.24 bps; the implied interest rate of the ten - year bond was 1.778, down 0.53 bps; and the implied interest rate of the thirty - year bond was 2.177, down 1.63 bps [2]. - **Cash Bond Situation**: Currently, the active contract is the 2512 contract. For the 2 - year treasury bond futures, the CTD bond is 250012.IB, with a yield change of +1 bps, corresponding to a net basis of - 0.024 and an IRR of 1.55%; for the 5 - year treasury bond futures, the CTD bond is 250003.IB, with a yield change of - 0.75 bps, corresponding to a net basis of 0.06 and an IRR of 1.23%; for the 10 - year treasury bond futures, the CTD bond is 220017.IB, with a yield change of - 1.25 bps, corresponding to a net basis of 0.1 and an IRR of 1.07%; for the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of - 2.7 bps, corresponding to a net basis of - 0.038 and an IRR of 1.59% [2]. - **Funding Situation**: In terms of open - market operations, the central bank injected 230 billion yuan and withdrew 188.3 billion yuan, with a net injection of 41.7 billion yuan [2]. - **Trading Strategy**: With the upward risk appetite and the expectation of economic recovery, it is recommended to hedge on rallies for the medium - to - long - term [2]. (3) Economic Data - High - frequency data shows that the recent social activity sentiment is weak [8].

Group 1: Market Performance - On September 11, the four major A - share stock indices all rose. The Shanghai Composite Index rose 1.65% to 3875.31 points, the Shenzhen Component Index rose 3.36% to 12979.89 points, the ChiNext Index rose 5.15% to 3053.75 points, and the STAR 50 Index rose 5.32% to 1326.03 points. Market trading volume was 24,646 billion yuan, an increase of 4,606 billion yuan from the previous day. [2] - In terms of industry sectors, communication (+7.39%), electronics (+5.96%), and computer (+3.71%) led the gains; textile and apparel (+0.14%), petroleum and petrochemical (+0.2%), and social services (+0.22%) led the declines. In terms of market strength, IC > IM > IF > IH, and the number of rising/flat/falling stocks was 4,220/161/1,045 respectively. [2] - Net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were 260, - 157, - 248, and 145 billion yuan respectively, with changes of +215, - 99, - 180, and +64 billion yuan respectively. [2] Group 2: Index Futures - The basis of the next - month contracts of IM, IC, IF, and IH were 73.89, 49.71, - 6.37, and - 5.52 points respectively. The annualized basis yields were - 11.89%, - 8.31%, 1.67%, and 2.2% respectively, and the three - year historical quantiles were 27%, 23%, 76%, and 75% respectively. [2] - In the medium - to - long term, maintain the judgment of going long on the economy. Currently, using stock index futures as a long - position substitute has certain excess returns. It is recommended to allocate long - term contracts of each variety on dips. In the short term, the market shows signs of cooling. [2] Group 3: Treasury Bond Futures - On September 11, the yields of most treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year treasury bond was 1.376, a decrease of 3.85 bps from the previous day; the implied interest rate of the five - year treasury bond was 1.605, a decrease of 3.47 bps; the implied interest rate of the ten - year treasury bond was 1.798, a decrease of 2.13 bps; the implied interest rate of the thirty - year treasury bond was 2.203, an increase of 0.2 bps. [2] - For the current active 2512 contract, the CTD bond of the two - year treasury bond futures was 250012.IB, with a yield change of - 1.25 bps, corresponding to a net basis of - 0.029 and an IRR of 1.59%; the CTD bond of the five - year treasury bond futures was 250003.IB, with a yield change of - 3.5 bps, corresponding to a net basis of 0.055 and an IRR of 1.27%; the CTD bond of the ten - year treasury bond futures was 220017.IB, with a yield change of - 1.5 bps, corresponding to a net basis of 0.149 and an IRR of 0.93%; the CTD bond of the thirty - year treasury bond futures was 210005.IB, with a yield change of +1 bps, corresponding to a net basis of - 0.06 and an IRR of 1.67%. [2] - In terms of the money market, the central bank injected 2920 billion yuan and withdrew 2126 billion yuan, resulting in a net injection of 794 billion yuan. [2] - With the upward risk appetite and the expectation of economic recovery, it is recommended to hedge on rallies for the medium - to - long term for T and TL. [2] Group 4: Economic Data - High - frequency data shows that recent social activities and infrastructure construction have weak prosperity. [9]

1. Report Industry Investment Ratings No industry investment ratings are provided in the report. 2. Core Views - The de - dollarization logic remains unchanged, the probability of the Fed's interest rate cut has increased significantly, and European fiscal issues are fermenting. There may be a short - term callback due to the realization of bullish factors, but in the medium term, it is recommended to go long on gold; for silver, it is advised to take profits [1]. - For copper, it is recommended to buy on dips; for aluminum, it is expected to continue the pattern of volatile strength, and it is recommended to buy on dips; for alumina, it is expected to maintain a volatile and weak trend, and it is recommended to wait and see; for zinc, it is recommended to operate within a range and short on rallies; for lead, it is recommended to operate in a range, buying low and selling high; for industrial silicon, before the actual implementation of relevant policies, the short - term market is expected to fluctuate within the range of 8000 - 9000; for lithium carbonate, the price is expected to fluctuate between 68,000 - 75,000, and it is recommended to wait and see; for polysilicon, pay attention to the progress of the state - purchase plan in September, be cautious about going long on near - month contracts, and pay attention to the 11 - 12 reverse spread opportunity [2][3][4]. - For steel products, hold long positions in rebar; for iron ore, mainly wait and see; for coking coal, stop loss on short positions [4]. - For agricultural products, soybeans are in a short - term shock range; corn futures prices are expected to decline in shock; for sugar, short in the futures market and sell call options; for cotton, wait and see; for logs, wait and see; for palm oil, it is bullish in the medium term; for eggs, the spot price is expected to be strong in the short term, and the futures are expected to fluctuate; for pigs, the price is expected to fluctuate at a low level in the short term, and it is recommended to wait and see [6][7]. - For energy and chemical products, for PVC, it is recommended to hedge on rallies; for rubber, it is recommended to go long on dips in the medium term after the correction; for glass, it is expected to move up in shock, and it is recommended to go long with a light position; for crude oil, continue to short on rallies; for soda ash, wait and see; for caustic soda, it is recommended to go long [8][9]. 3. Summary by Category 3.1 Precious Metals - **Market Performance**: Precious metal prices slightly corrected, and the market started partial profit - taking operations [1]. - **Fundamentals**: The US August core CPI was in line with expectations and previous values. The main drivers of overall price increases were automobile and service prices. The ECB kept interest rates unchanged and lowered the inflation forecast for 2027. Domestic gold ETF funds continued to flow out slightly. COMEX gold inventory remained unchanged, while SHFE gold inventory increased. Silver inventories in different regions showed different changes [1]. - **Trading Strategies**: In the medium term, it is recommended to go long on gold; for silver, it is advised to take profits [1]. 3.2 Base Metals Copper - **Market Performance**: Copper prices were strong yesterday [2]. - **Fundamentals**: US inflation data in August was slightly hot, and the initial jobless claims data was weaker than expected, strengthening the expectation of the Fed's interest rate cut. The dollar index declined. The supply of copper ore remained tight, and copper smelting entered the maintenance season. Domestic weekly inventory decreased slightly [2]. - **Trading Strategies**: Buy on dips [2]. Aluminum - **Market Performance**: The closing price of the main electrolytic aluminum contract increased by 0.60% compared with the previous trading day [2]. - **Fundamentals**: Electrolytic aluminum plants maintained high - load production, and the operating capacity increased slightly. Consumption showed signs of recovery, and the weekly aluminum profile operating rate increased slightly [2]. - **Trading Strategies**: It is expected to continue the pattern of volatile strength. Pay attention to the implementation of interest rate cuts and inventory inflection points, and it is recommended to buy on dips [2]. Alumina - **Market Performance**: The closing price of the main alumina contract increased by 0.41% compared with the previous trading day [2]. - **Fundamentals**: Alumina plants that had been under maintenance resumed production, and the operating capacity continued to be released. Electrolytic aluminum plants maintained high - load production [2]. - **Trading Strategies**: Overseas alumina prices fell sharply, and the domestic import window opened. The supply pressure continued to increase. It is expected to maintain a volatile and weak trend, and it is recommended to wait and see [2]. Zinc - **Market Performance**: The closing price of the SHFE zinc 2509 contract increased by 0.20% compared with the previous trading day. Social inventory increased [3]. - **Fundamentals**: Supply remained at a high level, and the import ore processing fee jumped. The expectation of the consumption peak season had not been fulfilled, and the operating rates of galvanizing and die - casting decreased. The domestic zinc ingot social inventory increased, but the LME inventory decreased, forming strong support [3]. - **Trading Strategies**: Operate within a range and short on rallies [3]. Lead - **Market Performance**: The closing price of the SHFE lead 2509 contract increased by 0.54% compared with the previous trading day. Social inventory decreased slightly [3]. - **Fundamentals**: The production of recycled lead decreased due to profit losses, and the supply tightened significantly. The consumption peak season was not prosperous, and the social inventory decreased slightly under the situation of weak supply and demand [3]. - **Trading Strategies**: Operate in a range, buying low and selling high [3]. Industrial Silicon - **Market Performance**: The main contract showed a narrow - range shock and then a late - session rally. The position decreased, and the warehouse receipt volume increased [3]. - **Fundamentals**: On the supply side, the overall furnace - opening rate increased. Social and warehouse receipt inventories both increased slightly. On the demand side, the operating rate of polysilicon continued to increase, and the production of silicone and the operating rate of aluminum alloy increased slightly [3]. - **Trading Strategies**: Before the actual implementation of relevant policies, the short - term market is expected to fluctuate within the range of 8000 - 9000 [3]. Lithium Carbonate - **Market Performance**: The main contract closed at 71,000 yuan/ton, an increase of 0.4% [3]. - **Fundamentals**: The price of SMM electrolytic carbon decreased, and the basis weakened. The weekly output increased, and the production of lithium carbonate from spodumene and mica both increased. The demand for energy - storage cells exceeded expectations, and the production of lithium iron phosphate increased. It is expected to continue destocking in September [3]. - **Trading Strategies**: The price is expected to fluctuate between 68,000 - 75,000. From the perspective of investment certainty, it is recommended to wait and see [3]. Polysilicon - **Market Performance**: The main contract showed a narrow - range shock and then a late - session rally. The position decreased, and the warehouse receipt volume increased [4]. - **Fundamentals**: On the supply side, the weekly output increased slightly, and the industry inventory increased slightly. Downstream wafer and cell production in September was in line with expectations, but the photovoltaic installation demand market in the third quarter was pessimistic [4]. - **Trading Strategies**: Pay attention to the progress of the state - purchase plan in September. Be cautious about going long on near - month contracts, and pay attention to the 11 - 12 reverse spread opportunity [4]. 3.3 Black Industry Rebar - **Market Performance**: The main 2601 contract closed at 3085 yuan/ton, a decrease of 30 yuan/ton compared with the previous trading day's night - session closing price [4]. - **Fundamentals**: The apparent demand decreased, and the output decreased. The supply and demand of building materials were moderately weak, while the demand for plates was stable. The overall supply and demand of steel products were seasonally weak, with obvious structural differentiation [4]. - **Trading Strategies**: Hold long positions. The reference range for RB01 is 3050 - 3130 [4]. Iron Ore - **Market Performance**: The main 2601 contract closed at 797.5 yuan/ton, a decrease of 10 yuan/ton compared with the previous trading day's night - session closing price [4]. - **Fundamentals**: Port inventory increased, and iron - water production increased. The supply and demand of iron ore were moderately strong, but the marginal situation weakened. The futures were at a discount, and the valuation was moderately high [4]. - **Trading Strategies**: Mainly wait and see. The reference range for I01 is 775 - 805 [4]. Coking Coal - **Market Performance**: The main 2601 contract closed at 1133.5 yuan/ton, a decrease of 5.5 yuan/ton compared with the previous trading day's night - session closing price [4]. - **Fundamentals**: Iron - water production increased, but the steel mill's profit margin narrowed. The first round of coke price cuts was implemented, and there were still plans for further cuts. The overall inventory level decreased significantly, and the futures were at a premium [4]. - **Trading Strategies**: Stop loss on short positions. The reference range for JM01 is 1100 - 1160 [4]. 3.4 Agricultural Products Soybean Meal - **Market Performance**: CBOT soybeans rose yesterday [6]. - **Fundamentals**: On the supply side, the near - term US soybean production decreased, and the long - term South American production was expected to increase. On the demand side, the demand for South American soybeans decreased, and there were concerns about the export demand for new - crop US soybeans [6]. - **Trading Strategies**: In the short term, US soybeans are in a shock range; the domestic market is also expected to be volatile. Pay attention to the USDA report tonight, and the medium - term trend still depends on tariff policies [6]. Corn - **Market Performance**: The 2511 contract showed a narrow - range shock, and the spot price in North China accelerated its decline [6]. - **Fundamentals**: The weak wheat price suppressed the corn price. The auction of imported grains increased market supply, and the low transaction rate reflected weak market sentiment. The new - crop is expected to increase in production, and the cost has decreased significantly, suppressing the long - term price expectation [6]. - **Trading Strategies**: The futures price is expected to decline in shock due to the pressure of new - crop listing [6]. Sugar - **Market Performance**: The Zhengzhou sugar 01 contract closed at 5547 yuan/ton, an increase of 0.09% [6]. - **Fundamentals**: Internationally, Brazil's sugar production was still high. Domestically, the relaxation of syrup control pressured the market. The short - term fermentation of syrup sentiment has basically ended, and the 01 contract will be below 5700 yuan/ton in the long term [6]. - **Trading Strategies**: Short in the futures market and sell call options [6]. Cotton - **Market Performance**: The overnight US cotton futures price closed flat, and the international crude oil price declined. The Zhengzhou cotton futures price stopped falling and rebounded [6]. - **Fundamentals**: Internationally, US cotton export sales decreased, and India's cotton ending inventory was raised. Domestically, the cotton production was adjusted upwards, which was in line with market expectations [6]. - **Trading Strategies**: Wait and see, and mainly adopt a range strategy of 13800 - 14500 yuan/ton [6]. Logs - **Market Performance**: The 11 - contract closed at 804.5 yuan/cubic meter, a decrease of 0.25% [6]. - **Fundamentals**: The 09 - contract was approaching the delivery month, and the position decreased rapidly. The current spot price was stable, and there was no obvious improvement in downstream demand [6]. - **Trading Strategies**: Wait and see [6]. Palm Oil - **Market Performance**: Malaysian palm oil rose yesterday [7]. - **Fundamentals**: On the supply side, the production area was in the seasonal production - increasing cycle. On the demand side, the export of Malaysian palm oil decreased. Overall, the near - term inventory continued to accumulate [7]. - **Trading Strategies**: After the increase in P valuation, the trading difficulty increases, but it is bullish in the medium term. Pay attention to the production in the production area and biodiesel policies [7]. Eggs - **Market Performance**: The 2511 contract showed a narrow - range shock, and the spot price increased [7]. - **Fundamentals**: The demand was boosted by the double - festival stocking, but the supply was sufficient. The feed price was low, and the cost center moved down [7]. - **Trading Strategies**: The spot egg price is expected to be strong in the short term, and the futures are expected to fluctuate. It is recommended to wait and see [7]. Pigs - **Market Performance**: The 2511 contract showed a narrow - range shock, and the spot price increased slightly [7]. - **Fundamentals**: As the double festivals approached, consumption gradually recovered, but the supply was abundant. The policy was favorable, and attention should be paid to the recent symposium on pig production capacity regulation [7]. - **Trading Strategies**: The pig price is expected to fluctuate at a low level in the short term, and it is recommended to wait and see [7]. 3.5 Energy and Chemical Products PVC - **Market Performance**: The V01 contract closed at 4888, an increase of 0.8% [8]. - **Fundamentals**: PVC inventory reached a new high, and the price oscillated at the bottom. New production capacity was put into operation, and the supply increased. The upstream operating rate was 78%, and there were maintenance plans in September. The downstream operating rate decreased, and the social inventory increased [8]. - **Trading Strategies**: The supply and demand are in a weak balance. It is recommended to hedge on rallies [8]. Rubber - **Market Performance**: The rubber opened with a sharp decline and then rebounded in the afternoon. The RU2601 contract decreased by 0.31% [8]. - **Fundamentals**: The purchase price of Thai rubber latex and cup lump changed slightly. The spot price decreased slightly. The operating rate of downstream tires increased significantly [8]. - **Trading Strategies**: After the correction, it is recommended to go long on dips in the medium term [8]. Glass - **Market Performance**: The FG01 contract closed at 1186, an increase of 0.5% [8]. - **Fundamentals**: The glass average price was stable, and it entered the seasonal destocking cycle. The supply decreased year - on - year, and there were expectations of production resumption in September and October. The inventory decreased, and the downstream demand improved slightly [8]. - **Trading Strategies**: It is expected to move up in shock, and it is recommended to go long with a light position [8]. Crude Oil - **Market Performance**: The oil price declined yesterday due to the IEA monthly report and EIA weekly report, as well as poor US employment data [9]. - **Fundamentals**: On the supply side, OPEC+ plans to increase production, and other countries also have production - increasing potential. On the demand side, the gasoline consumption peak season has ended, and refineries in Europe and the US have entered the autumn maintenance season. There is a risk of global economic slowdown in Q4 [9]. - **Trading Strategies**: The supply is strong, and the demand is weak. Continue to short on rallies, and pay attention to the short - selling opportunity of the SC main contract near 490 yuan/barrel [9]. Soda Ash - **Market Performance**: The SA01 contract closed at 1287, an increase of 1.2% [9]. - **Fundamentals**: The soda ash inventory was at a high level, and the supply and demand were in a weak balance. The upstream operating rate was 88%, and it would enter the high - production season in the fourth quarter. The downstream demand improved slightly [9]. - **Trading Strategies**: The supply and demand are in a weak balance, and there is seasonal improvement in the fourth quarter. The driving force is unclear, so it is recommended to wait and see [9]. Caustic Soda - **Market Performance**: The SH01 contract closed at 2591, an increase of 0.7% [9]. - **Fundamentals**: The price in Shandong was stable, and the national average price increased slightly. The supply - side operating rate was high, and the inventory was at a medium level. The non - aluminum demand recovered seasonally [9]. - **Trading Strategies**: The supply and demand are healthy, and there is seasonal improvement. It is recommended to go long [9].

Report Summary 1. Market Performance - On September 10, the four major A-share stock indices all rose, with the Shanghai Composite Index up 0.13% to 3,812.22 points, the Shenzhen Component Index up 0.38% to 12,557.68 points, the ChiNext Index up 1.27% to 2,904.27 points, and the STAR 50 Index up 1.09% to 1,259.1 points. Market turnover was 2.004 trillion yuan, a decrease of 148.1 billion yuan from the previous day [2]. - In terms of industry sectors, communication (+3.49%), electronics (+1.78%), and media (+1.68%) led the gains, while power equipment (-1.18%), comprehensive (-1.09%), and basic chemicals (-0.94%) led the losses [2]. - From the perspective of market strength, IH > IF > IM > IC. The number of rising, flat, and falling stocks was 2,440, 219, and 2,767 respectively. Institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets had net inflows of 4.5 billion, - 5.8 billion, - 6.8 billion, and 8 billion yuan respectively, with changes of +32 billion, +17.3 billion, - 17 billion, and - 32.2 billion yuan respectively [2]. 2. Stock Index Futures - **Basis and Basis Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 141.57, 129.11, 22.56, and 3.39 points respectively, and the basis annualized yields were - 22.25%, - 21.16%, - 5.77%, and - 1.31% respectively, with three - year historical quantiles of 2%, 1%, 18%, and 32% respectively [3]. - **Trading Strategy**: In the medium - to - long term, maintain the judgment of going long on the economy. Currently, using stock indices as a long - position substitute has certain excess returns. It is recommended to allocate long - term contracts of each variety on dips. In the short term, there are signs of market cooling [3]. 3. Treasury Bond Futures - **Market Performance**: On September 10, the yields of treasury bond futures all rose. Among the active contracts, the implied interest rate of the two - year bond was 1.416, up 2.78 bps from the previous day; the five - year bond was 1.645, up 3.23 bps; the ten - year bond was 1.812, up 4.25 bps; and the thirty - year bond was 2.202, up 4.38 bps [3]. - **Cash Bonds**: The current active contract is the 2512 contract. For the two - year treasury bond futures, the CTD bond is 250012.IB, with a yield change of +1 bps, a corresponding net basis of 0.007, and an IRR of 1.45%. For the five - year, ten - year, and thirty - year treasury bond futures, the relevant data are also provided [4]. - **Funding Situation**: In open - market operations, the central bank injected 304 billion yuan and withdrew 229.1 billion yuan, resulting in a net injection of 74.9 billion yuan [4]. - **Trading Strategy**: With the upward shift in risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies in the medium - to - long term [4]. 4. Economic Data - High - frequency data shows that recent social activities and infrastructure construction have weak momentum [11].