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 ...

Group 1: Market Overview - The Federal Reserve's interest rate hikes have ended, leading to a more relaxed global liquidity environment, which is beneficial for commodity markets[3] - Berkshire Hathaway holds $180 billion in cash, indicating a surplus of liquidity relative to quality assets, which often supports commodity prices[4] - Major economies are maintaining high debt levels, necessitating continued loose monetary policies, which could further support commodity demand[5] Group 2: Commodity Trends - Global copper inventories are at their highest levels since 2020, indicating potential supply pressures[45] - The LME copper market is experiencing its deepest contango since 2000, suggesting a bearish outlook in the short term[45] - The overall commodity market is expected to face short-term obstacles due to a lack of strong industrial demand and the delayed onset of a global easing cycle[84] Group 3: Economic Indicators - The PMI index showed unexpected improvement at the end of March, which laid the groundwork for a commodity price increase in the following months[73] - Industrial profits in China need to improve significantly to strengthen the current inventory replenishment cycle[23] - The global manufacturing PMI has shown an upward trend, indicating a potential recovery in industrial activity[14]

The provided content does not include any quantitative models or factors related to the task requirements. The document primarily discusses climate change, its impact on agriculture and energy, and market dynamics in the carbon and electricity sectors. There are no mentions of quantitative models, factor construction, or backtesting results.

期货研究报告 | 金工研究 | 专题报告 | 长期布局商品指数，短期增配CTA | | --- | --- | | 2024 年06 月11 日 | 金融工程专题报告 | | | 中长期 CTA 策略在投资占有重要地位，其与商品指数之间的传统正相关关系在 | | | 近两年似乎被打破。尽管商品指数显示出稳健的上升趋势，但中长期 CTA 策略 | | | 却表现出了震荡偏弱的态势。本文希望通过分析商品指数和中长期 CTA（下文简 | | 称 | CTA）的历史差异及其原因，以回答不同尺度视角下如何配置的问题。得到了 | | | 如下结论： | | | 年以来商品指数相对 的比价处于上升趋 1. CTA 和商品指数对比来看，2019 CTA | | 相关报告 | 势，牛市中指数表现更佳，熊市中 CTA 表现更佳，差异源于不同品种的收益分 | | 招期金工专题报告： 20230322 | | | 上行趋势犹可期，商品配置正当 | 布。 | | 时-赵嘉瑜 | | | 20230714 招期金工专题报告： | 2. 长期视角下，投资者和 CTA 管理人有必要战略布局商品指数，主要是基于以 | | 把握商品指数化投资的 ...

期货研究报告 | 金工研究 2024 年06 月11 日 金融工程专题报告 相对 2020 年和 2021 年的高光表现，商品 CTA 度过了近两年的调整期。尽管自 3 月份至今 CTA 迎来一波不错的净值修复，但市场的疑虑依然存在。通过分析 CTA 近两年调整原因并结合宏观研判我们得到了以下结论： ❑ 风险提示： 相关报告 2040529 招期策略专题报告：期 货市场分析及私募业绩归因-赵 嘉瑜 研究员：赵嘉瑜 (+86)13686866941 zhaojiayu@cmschina.com.cn F3065666 Z0016776 联系人：乔垒 (+86)15805605265 qiaolei1@cmschina.com.cn F03109207 专题报告 CTA策略整装再出发 | 图 | 1：不同类型 CTA 指数的净值走势 | 4 | | --- | --- | --- | | 图 | 2：量价类因子的净值表现 | 5 | | 图 | 3：中短周期 CTA 与日成交额的对比 | 5 | | 图 | 4：中短周期 CTA 与品种日内波动性对比 | 6 | | 图 | 5：中长周期 CTA 与长周期波动率的 ...

上证指数 深证成指 创业板综 科创50 上证50 沪深300 中证500 中证1000 增量资金进场 市场突破上行 • 研究员-于虎山 • 联系电话：0755-82709642 2024年5月16日 01 宏观经济与政策环境 01 宏观经济与政策环境 30.00 35.00 40.00 45.00 50.00 55.00 60.00 65.00 70.00 2022/04 2022/10 2023/04 2023/10 2024/04 PMI 月 财新中国PMI 月 01 宏观经济与政策环境 中国:PMI:新出 口订单 中国:PMI:产成 品库存 中国:PMI: 进口 中国:PMI:主要原材 料购进价格 中国:PMI:从 业人员 指标名称 中国:PMI: 生产 资料来源：WIND，招商期货 资料来源：WIND，招商期货 上证指数 1 0.883 0.607 0.825 0.897 0.958 0.921 0.652 科创50 0.825 0.946 0.76 1 0.67 0.839 0.928 0.737 中证500 0.921 0.963 0.772 0.928 0.695 0.866 1 0.805 3 ...

Group 1: Shipping Market Overview - The short-term upward trend in freight rates may be nearing its end, and caution is advised to avoid risks [1] - The shipping market is experiencing fluctuations, with the SCFI index showing a recent increase of 9.67% [100] - The BDI index has decreased by 10.32%, indicating volatility in the dry bulk shipping sector [100] Group 2: Supply and Demand Analysis - The dry bulk fleet size reached 1,010.94 million DWT in March, with a year-on-year increase of 2.87% [25] - The container fleet size increased to 28.34 million TEU, reflecting a 5.4% year-on-year growth [76] - The global manufacturing PMI for March 2024 was reported at 50.6, indicating stable demand conditions [101] Group 3: Freight Rate Trends - The SCFI for Shanghai to Europe was reported at 2,300, showing a 16.69% increase [91] - The SCFI for Shanghai to the Mediterranean was 2,134.9, reflecting a decrease of 0.60% [91] - The operational costs for the European line have risen, leading to a decrease in profit margins [124] Group 4: Future Outlook - The demand for shipping services is expected to stabilize, with potential for freight rates to rebound [84] - The ongoing geopolitical tensions, particularly in the Red Sea, may impact shipping routes and costs [120] - The market anticipates a seasonal increase in freight rates as demand recovers post-holiday [101]