1. Report Industry Investment Rating No information provided in the reports. 2. Core Views - The de - dollarization logic remains unchanged, suggesting going long on gold; the long - term trend of industrial silver usage is downward, so consider short - selling silver on rallies [1]. - For electrolytic aluminum, the macro - level drives the price up. As of August 7th, the weekly inventory of aluminum ingots remained flat. Future demand changes need to be tracked, and it is recommended to wait and see. For alumina, as of the 7th, the weekly inventory increased by 62,800 tons, and the number of warehouse receipts continued to increase. It is expected that the alumina price will remain volatile, and it is also recommended to wait and see [2]. - For zinc, supply pressure is significant, and consumption is in the off - season. It is recommended to short on rallies. For lead, with a pattern of weak supply and demand, it is recommended to wait and see mainly and wait for signals of inventory reduction or production cuts in recycled lead [2][4]. - For industrial silicon, pay attention to the price fluctuations of "anti - involution" related commodities. The demand side of the fundamentals has marginally improved, but the production plan in Xinjiang needs to be noted. The futures price is expected to fluctuate widely, and it is recommended to wait and see. For lithium carbonate, on the last working day before the expiration of Ningde's mining license, the futures price is expected to fluctuate greatly. If there are no substantial production cuts, the production cut expectation will be significantly reduced, and it is recommended to wait and see [4]. - For polysilicon, policy news still affects the expectation, and the futures price is expected to fluctuate between 45,000 - 55,000 yuan [4]. - For steel products, the supply and demand of steel are relatively balanced, but there is obvious structural differentiation. Hold short positions in rebar 2510. For iron ore, the supply and demand are moderately strong, and it is recommended to wait and see. For coking coal, the supply and demand are relatively loose, and the futures valuation is high. It is also recommended to wait and see [5]. - For soybeans, the US soybeans are in a low - value range with weak expectations. The domestic soybeans have a large arrival volume in the short - term, and the high - frequency demand remains high. However, due to tariff policy disturbances, there is a domestic - foreign divergence, and it is recommended to follow the international cost side in the medium - term. For corn, affected by substitutes and the approaching of new grain listing, the futures price is expected to fluctuate weakly. For sugar, the increase in Brazilian production is gradually realized, and it is recommended to short in the futures market and sell call options. For cotton, it is recommended to buy on dips and trade within the range of 13,600 - 14,000 yuan/ton. For logs, the spot price is stable, and it is recommended to wait and see. For palm oil, it may enter a short - term shock, but it is still recommended to be long - allocated in the medium - term. For eggs, due to large supply pressure, the futures price is expected to fluctuate weakly. For live pigs, with strong supply and weak demand, the futures price is expected to fluctuate and adjust [6][7][8]. - For LLDPE, in the short - term, the futures price is expected to fluctuate weakly, and in the long - term, it is recommended to short far - month contracts on rallies. For PVC, due to the expectation of production cuts, it is recommended to wait and see. For PTA, it is recommended to wait and see for PX, and in the short - term, look for positive arbitrage opportunities for PTA. In the long - term, there is still large supply pressure, and it is recommended to short the processing fee or short far - month contracts on rallies. For rubber, the cost provides support, and the expectation of inventory reduction is strengthened, but there is also an expectation of future supply increase. The market is expected to fluctuate widely. For glass, the downside space is limited, and it is recommended to wait and see. For PP, in the short - term, the futures price is expected to fluctuate weakly, and in the long - term, it is recommended to short far - month contracts on rallies. For MEG, due to the low - inventory support in the near - term, it is recommended to wait and see. For crude oil, as the demand peak season is ending and supply pressure is increasing, it is recommended to short the SC main contract at around 520 yuan/barrel. For styrene, in the short - term, the futures price is expected to fluctuate weakly, and in the long - term, it is recommended to short far - month contracts on rallies [9][10][11]. 3. Summary by Related Catalogs Precious Metals - Market Performance: On Thursday, precious metals strengthened. The international gold price denominated in London gold rose 0.79% to $3,393 per ounce, and the international silver price denominated in London silver rose 1.2% to $38.289 per ounce [1]. - Fundamentals: Trump plans to meet with Putin in the UAE. Fed officials' statements indicate that weak employment data is affecting the policy balance. Domestic gold ETF funds have re - flowed. There are changes in gold and silver inventories in different regions and exchanges, and the holdings of the world's largest silver ETF increased by 67.8 tons [1]. - Trading Strategy: Go long on gold; short - sell silver on rallies [1]. Base Metals Aluminum - Market Performance: The closing price of the electrolytic aluminum 2509 contract increased by 0.92% compared to the previous trading day, closing at 20,750 yuan/ton. The LME price was $2,613 per ton. The closing price of the alumina 2509 contract decreased by 0.93% compared to the previous trading day, closing at 3,241 yuan/ton [2]. - Fundamentals: For electrolytic aluminum, smelters maintain high - load production, and the operating capacity increases slightly. It is the traditional consumption off - season, and the weekly aluminum product operating rate decreases slightly. For alumina, the operating capacity is stable, and the demand from electrolytic aluminum smelters increases slightly [2]. - Trading Strategy: Wait and see for both electrolytic aluminum and alumina [2]. Zinc - Market Performance: The closing price of the zinc 2508 contract increased by 0.87% compared to the previous trading day, closing at 22,550 yuan/ton. The social inventory on August 7th was 113,200 tons, an increase of 5,900 tons from August 4th [2]. - Fundamentals: Supply pressure is significant. The zinc ingot production in August is expected to increase by 18,000 tons to 621,500 tons. The processing fee has jumped, and refinery profits stimulate production. The consumption off - season is obvious, and overseas factors form a tug - of - war [2][4]. - Trading Strategy: Short on rallies [4]. Lead - Market Performance: The closing price of the lead 2508 contract increased by 0.18% compared to the previous trading day, closing at 16,825 yuan/ton. The social inventory on August 7th was 71,100 tons, a decrease of 800 tons from August 4th [4]. - Fundamentals: The pattern of weak supply and demand deepens. The supply of recycled lead is restricted by losses, and the production of primary lead increases slightly. The battery operating rate is stable, and some enterprises build inventories at low prices [4]. - Trading Strategy: Wait and see mainly and wait for signals of inventory reduction or production cuts in recycled lead [4]. Industrial Silicon - Market Performance: On Thursday, the main 11 - contract fluctuated widely, closing at 8,655 yuan/ton, a decrease of 45 yuan/ton from the previous trading day. The position increased by 15,654 lots to 224,390 lots, and the number of warehouse receipts decreased by 105 lots to 50,475 lots [4]. - Fundamentals: On the supply side, the resumption of production in the southwest region contributed the main increase last week. Both social and warehouse - receipt inventories increased slightly this week. On the demand side, the operating rate of polysilicon increased, and the transaction price in the industry chain increased. The production of silicone increased slightly, and the price was stable. The downstream demand for aluminum alloy entered the off - season, and the operating rate was relatively stable [4]. - Trading Strategy: Wait and see [4]. Lithium Carbonate - Market Performance: The main LC2511 contract closed at 72,300 yuan/ton, an increase of 3,680 yuan/ton, or 5.36%, due to supply - side production cut information [4]. - Fundamentals: On the supply side, the weekly production of lithium carbonate increased by 2,288 tons to 19,556 tons, a 13.25% increase. The import lithium concentrate index was $757 per ton. On the demand side, it was the peak season. The production of lithium iron phosphate in August increased by 7.1% to 311,400 tons, and the production of ternary materials increased by 3.1% to 70,800 tons. The inventory decreased due to supply reduction, and the sample inventory was 142,400 tons. The number of warehouse receipts on the Guangzhou Futures Exchange increased to 16,443 lots after cancellation [4]. - Trading Strategy: Wait and see [4]. Polysilicon - Market Performance: On Thursday, the main 11 - contract opened low and fluctuated downward, closing at 50,110 yuan/ton, a decrease of 1,235 yuan/ton from the previous trading day. The position decreased by 2,072 lots to 136,324 lots, and the number of warehouse receipts increased by 60 lots to 3,580 lots [4]. - Fundamentals: On the supply side, the weekly production increased rapidly, and there is still an expectation of resumption of production due to the increase in warehouse - receipt volume. The industry inventory increased slightly this week. On the demand side, the production schedules of silicon wafers and battery cells in August met expectations, remaining basically the same as in July. The photovoltaic installation demand in the third quarter is pessimistic, with a 38% year - on - year decrease in new photovoltaic installations in June. Some downstream products started to pass on price increases [4]. - Trading Strategy: The futures price is expected to fluctuate between 45,000 - 55,000 yuan [4]. Black Industry Rebar - Market Performance: The main 2510 contract of rebar fluctuated lower, closing at 3,215 yuan/ton, a decrease of 20 yuan/ton from the previous night - session closing price [5]. - Fundamentals: According to the Steel Union's data, the apparent demand for rebar increased by 74,000 tons to 2.11 million tons, and the production increased by 100,000 tons to 2.21 million tons. The supply and demand of building materials are neutral, and the inventory pressure is small due to low production. The demand for plates is stable, and the direct and indirect exports remain high, with the inventory continuously decreasing. The overall supply and demand of steel are relatively balanced, but there is obvious structural differentiation. The futures discount of steel remains low, and the valuation is slightly high [5]. - Trading Strategy: Hold short positions in rebar 2510, with the RB10 reference range of 3,180 - 3,250 yuan [5]. Iron Ore - Market Performance: The main 2509 contract of iron ore fluctuated sideways, closing at 790.5 yuan/ton, the same as the previous night - session closing price [5]. - Fundamentals: According to the Steel Union's data, the port inventory was 143 million tons, an increase of 450,000 tons from last week. The pig iron production decreased by 4,000 tons to 2.4 million tons, a year - on - year increase of 86,000 tons. The supply and demand of iron ore are moderately strong. The fifth round of coke price increase has been implemented, and the sixth round has not been proposed yet. The steel mill profits are narrowing marginally, and the future production will be stable. The supply is in line with the seasonal pattern, with a slight year - on - year decrease. The iron ore supply and demand are moderately strong on the margin, and it is expected that the inventory accumulation will be slower than the seasonal pattern due to the high base of pig iron demand. The iron ore maintains a forward - discount structure, but the absolute level is at a relatively low level in the same period of history, and the valuation is neutral [5]. - Trading Strategy: Wait and see, with the I09 reference range of 770 - 810 yuan [5]. Coking Coal - Market Performance: The main 2601 contract of coking coal fluctuated sideways, closing at 1,222.5 yuan/ton, a decrease of 1 yuan/ton from the previous night - session closing price [5]. - Fundamentals: According to the Steel Union's data, the pig iron production decreased by 4,000 tons to 2.4 million tons, a year - on - year increase of 86,000 tons. The steel mill profits are narrowing marginally, and the future production will be stable. The fifth round of coke price increase has been implemented, and there is no plan for a new increase. There is a differentiation in inventory at various supply - side links. The coking coal inventory and inventory days of steel mills and coking plants are at relatively low levels in the same period of history, while the inventory at mine mouths, ports, and other links remains at a historical high. At the same time, the production and mine - mouth inventory decreased month - on - month. The overall supply and demand are still relatively loose, but the fundamentals are improving month - on - month. The futures price is at a premium to the spot price, and the forward - premium structure remains. The futures valuation is high [5]. - Trading Strategy: Wait and see, with the JM01 reference range of 1,180 - 1,250 yuan [5]. Agricultural Products Soybean Meal - Market Performance: Overnight, the CBOT soybean price rebounded from a low level [6]. - Fundamentals: On the supply side, it is loose in the near - term and is also expected to be in large supply in the long - term. The good - quality rate of US soybeans is at a high level. On the demand side, South America dominates in the short - term, but the weekly US soybean exports are higher than expected [6]. - Trading Strategy: US soybeans are in a low - value range with weak expectations. The domestic soybeans have a large arrival volume in the short - term, and the high - frequency demand remains high. However, due to tariff policy disturbances, there is a domestic - foreign divergence. It is recommended to follow the international cost side in the medium - term. Pay attention to the weather in the production areas and tariff policies [6]. Corn - Market Performance: The 2509 contract of corn was weak, and the spot price of corn rose in North China and fell in Northeast China [6]. - Fundamentals: Wheat has high cost - effectiveness and substitutes for the feed demand of corn. The weak wheat price suppresses the corn price. The auction of imported grains increases the market supply, and the low transaction rate reflects weak market sentiment. The downstream purchasing enthusiasm is not high. The easing of the trade situation increases the import expectation. The early - spring corn is about to be listed, and the cost of new - crop corn has decreased significantly, suppressing the long - term price expectation. The spot price of corn is expected to be weak [6][7]. - Trading Strategy: Affected by substitutes and the approaching of new grain listing, the futures price is expected to fluctuate weakly [7]. Sugar - Market Performance: The 01 contract of Zhengzhou sugar closed at 5,575 yuan/ton, a decrease of 0.59%. The basis of Guangxi spot - Zhengzhou sugar 09 contract was 297 yuan/ton, and the estimated profit of processed Brazilian sugar after tax with out - of - quota was 436 yuan/ton [7]. - Fundamentals: The double - week data of Brazil in July shows that the production has recovered, and the cumulative sugar - making ratio has reached a new high of 51.58%, with the double - week sugar - making ratio as high as 53.68%. The increasing production pressure in Brazil is gradually realized. The domestic macro - sentiment has cooled down. Recently, pay attention to the import volume in July. The coastal sales area quotes have decreased by 50 yuan/ton compared to last week. The arrival of processed sugar is putting pressure on the spot price. In the future, the 09 contract of Zhengzhou sugar will mainly fluctuate weakly, with the fluctuation range of [5,600 - 5,900] yuan/ton [7]. - Trading Strategy: Short in the futures market and sell call options [7]. Cotton - Market Performance: Overnight, the US cotton futures price fell, and the international crude oil price continued to weaken. The Zhengzhou cotton futures price fluctuated weakly, and the prices of domestic black - sector commodities rose again. From January to July 2025, the cumulative export volume of national textiles and clothing was $170.74 billion, a year - on - year increase of 0.6% [7]. - Fundamentals: Internationally, the latest week's US cotton export sales data decreased month - on

Report Summary 1. Report Industry Investment Rating No industry investment rating information is provided in the report. 2. Core Views - For stock index futures, the report maintains a long - term bullish view on the economy. It suggests that using stock indices as long - term substitutes can bring certain excess returns and recommends buying long - term contracts of various varieties on dips [2]. - For treasury bond futures, considering the rising risk appetite and the expectation of economic recovery, it is recommended to conduct high - level hedging for T and TL contracts in the medium - to - long term [2]. 3. Summary by Relevant Catalogs (1) Stock Index Futures and Spot Market Performance - On August 6, A - share major indices all rose. The Shanghai Composite Index increased by 0.45% to 3633.99 points; the Shenzhen Component Index rose by 0.64% to 11177.78 points; the ChiNext Index climbed by 0.66% to 2358.95 points; and the STAR 50 Index went up by 0.58% to 1059.76 points [2]. - Market trading volume was 1.7592 trillion yuan, an increase of 143.4 billion yuan from the previous day. Defense and military industry (+ 3.07%), machinery and equipment (+ 1.98%), and coal (+ 1.89%) led the gains, while pharmaceutical biology (- 0.65%), commercial and retail (- 0.23%), and building materials (- 0.23%) led the losses [2]. - In terms of market strength, IM > IC > IF > IH. The number of rising, flat, and falling stocks was 3355, 246, and 1816 respectively. Institutional, main, large - scale, and retail investors' net inflows in the Shanghai and Shenzhen stock markets were 1.1 billion yuan, - 12.1 billion yuan, - 8.3 billion yuan, and 19.3 billion yuan respectively, with changes of + 2.9 billion yuan, - 1.5 billion yuan, - 6.8 billion yuan, and + 5.3 billion yuan respectively [2]. - The basis of IM, IC, IF, and IH next - month contracts was 98.71, 94.18, 16.49, and 1.22 points respectively. The annualized basis yields were - 10.9%, - 11.22%, - 3.04%, and - 0.33% respectively, and the three - year historical quantiles were 31%, 12%, 30%, and 43% respectively [2]. - Detailed performance data of various stock index futures contracts are presented in Table 1, including price, trading volume, open interest, basis, and annualized basis yield [4]. (2) Treasury Bond Futures and Spot Market Performance - On August 6, most yields of treasury bond futures declined. Among active contracts, the implied interest rate of the two - year bond was 1.396, down 1.2 bps from the previous day; the five - year bond was 1.557, down 0.6 bps; the ten - year bond was 1.644, down 0.22 bps; and the thirty - year bond was 1.988, up 0.19 bps [2]. - For the current active 2509 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 injected 138.5 billion yuan and withdrew 309 billion yuan, resulting in a net withdrawal of 170.5 billion yuan [2]. - Detailed performance data of various treasury bond futures contracts are presented in Table 2, including price, trading volume, open interest, net basis, and CTD bond implied interest rate [6]. (3) Economic Data - High - frequency data shows that the recent prosperity of various sectors is similar to the same period [9]. - Based on the comparison of domestic meso - level data with the same period in the past five years, the prosperity degree of manufacturing, real estate, social activities, infrastructure, and import - export sectors is analyzed, as shown in Figure 2 [10][11].

2025年08月07日 星期四 招商评论 贵 金 属 市场表现：周三贵金属震荡，以伦敦金计价的国际金价跌 0.33%，收于 3369 美元/盎司，以伦敦银计价的国 际银价涨 0.05%，收于 37.835 美元/盎司。 基本面：特朗普拟对芯片产品征 100%关税；特朗普下令对印度额外加征 25%关税之 50%；美日贸易协议分 歧持续，美国计划现有关税基础上加征 15%关税；美联储理事库克称 7 月份的就业报告"令人担忧"，暗示近 期降息；10 年期美债拍卖意外疲软，收益率创日当日新高。国内黄金 ETF 资金重新流入，COMEX 黄金库存 1206 吨，增加 2 吨；上期所黄金库存 36 吨，维持不变；伦敦 6 月黄金库存 8774 吨；上期所白银库存 1161 吨，增加 5 吨，金交所白银库存上周库存 1368 吨，基本维持不变吨，COMEX 白银库存 15757 吨，减少 1 吨；伦敦 6 月白银库存增加 421 吨至 23788 吨；印度 6 月白银进口约 200 吨左右。全球最大白银 etf--iShares 持有量为 15112 吨，增加 67.8 吨。 交易策略：去美元化逻辑未变，建议黄金做多；工业 ...

1. Report Industry Investment Rating There is no information provided regarding the report industry investment rating in the given content. 2. Core Views of the Report - **Market Review**: The commodity market declined overall. The agricultural products index fell by 1.05%, the precious metals index by 2.54%, the non - ferrous metals index by 3.37%, the industrial products index by 3.75%, the energy and chemical index by 4.15%, and the black index by 4.93%. The crude oil index rose by 2.92%, and the gold index fell by 0.85%. Most CTA strategies declined. The China Merchants Futures CTA short - and medium - term strategy index rose by 0.05%, with 44% of products in the pool rising; the medium - and long - term strategy index fell by 0.79%, with 30% of products rising; the quantitative arbitrage strategy index rose by 0.08%, with 54% of products rising; the time - series price - volume short - and medium - term strategy index fell by 0.34%, and the medium - and long - term strategy index fell by 1.50% [2]. - **Future Outlook**: The window for CTA allocation is gradually opening. Anti - involution will remain the main long - term logic in the commodity market. With the gradual stabilization and recovery of the domestic economy, the increasing expectation of interest rate cuts in the US, and the support of liquidity, the sentiment in the equity market can radiate to the commodity market to some extent. The long - term trend of the commodity market is emerging, and overall volatility is expected to gradually increase. In the short term, a balanced cycle is preferred, but long - term positions can be gradually increased [2]. - **Strategy Environment**: The short - and medium - term strategy environment is moderately favorable. Intraday liquidity continued to rise, approaching historical highs; intraday volatility declined, with a historical quantile of around 0.4; trend smoothness declined from a high level, with a historical quantile of 0.9. The medium - and long - term strategy environment is moderately favorable. The daily trend smoothness continued to increase, with the smoothness of varieties around 0.8 and the proportion of smoothly trending varieties around 0.9; daily volatility continued to recover from the bottom, with the volatility of varieties around 0.3 and the proportion of high - volatility varieties around 0.7 [2]. - **Style Factors**: Most mainstream factors retreated, with only the cross - sectional term structure factor showing positive returns. The contribution of returns was concentrated at the sector and variety levels. New energy metals all had negative return contributions and accounted for a large proportion, while black raw materials and energy - chemical building materials had relatively large return contributions. The volatility of factors changed differently, with the volatility of short - term momentum continuing to decline and that of medium - and long - term momentum continuing to rise [2]. 3. Summary by Directory 3.1 Market Review - **Commodity Market**: The commodity market declined overall, with the commodity index falling by 2.46%. Most commodity futures sector indexes declined, and volatility generally increased. The average daily trading volume of commodity futures was 2.51 trillion yuan (a marginal decrease of 0.32 trillion yuan), the average daily open interest was 2.33 trillion yuan (a marginal decrease of 0.10 trillion yuan), and the average trading - to - open - interest ratio was 1.08 (a marginal decrease of 0.09), at the 82.46% level in the past three years, remaining at a relatively high level [6][8][12]. - **Stock Index Futures Market**: Stock index futures indexes generally declined, and volatility generally increased. The average daily trading volume of stock index futures was 0.60 trillion yuan (a marginal increase of 0.06 trillion yuan), the average daily open interest was 1.13 trillion yuan (a marginal increase of 0.02 trillion yuan), and the average trading - to - open - interest ratio was 0.53 (a marginal increase of 0.05), at the 71.90% level in the past three years, remaining in the normal range [14][15][19]. - **Treasury Bond Futures Market**: Treasury bond futures indexes and volatility generally increased. The average daily trading volume of treasury bond futures was 0.44 trillion yuan (a marginal decrease of 0.04 trillion yuan), the average daily open interest was 0.88 trillion yuan (a marginal decrease of 0.03 trillion yuan), and the average trading - to - open - interest ratio was 0.50 (a marginal decrease of 0.03), at the 59.07% level in the past three years, remaining in the normal range [21][22][26]. - **Quantitative CTA**: The median returns of most quantitative CTA strategies were negative this week. Most CTA strategy indexes retreated, with only a few showing positive returns [27][33][36]. 3.2 Strategy Market Environment - **Macro Environment**: Monetary liquidity has recovered from the bottom [39]. - **Short - and Medium - Term Strategy Environment**: Intraday liquidity continued to rise, while volatility declined [41]. - **Medium - and Long - Term Strategy Environment**: Trend smoothness continued to increase, and volatility recovered from the bottom [44]. 3.3 CTA Style Factors - **Recent Returns**: Most mainstream factors retreated, with only the cross - sectional term structure factor showing positive returns [50]. - **This Week's Return Sources**: New energy metals all had negative return contributions and accounted for a large proportion, while black raw materials and energy - chemical building materials had relatively large return contributions. At the variety level, coking coal and lithium carbonate had large negative return contributions [51]. - **Factor Correlation and Volatility**: The correlation between factors varied, and the volatility of factors changed differently, with the volatility of short - term momentum continuing to decline and that of medium - and long - term momentum continuing to rise [67]. 3.4 CTA Risk Monitoring - **Risk Factor Exposure**: Quantified trends had a large exposure to the 5 - day time - series momentum factor; quantified multi - strategies had a large exposure to the 30% long - short variety roll - over factor; and quantified arbitrage had a relatively small overall exposure to risk factors [70]. - **Return Decomposition**: For the past three months, the total return of the quantified trend strategy was 3.33%, with a purified alpha return of 6.46% and a style factor beta return of - 3.13%; the total return of the quantified arbitrage strategy was 0.79%, with a purified alpha return of 1.40% and a style factor beta return of - 0.61%; and the total return of the quantified multi - strategy was 1.98%, with a purified alpha return of 3.30% and a style factor beta return of - 1.32% [71].

Market Performance - On August 5th, the four major A-share stock indices all rose, with the Shanghai Composite Index up 0.96% to 3617.6 points, the Shenzhen Component Index up 0.59% to 11106.96 points, the ChiNext Index up 0.39% to 2343.38 points, and the STAR 50 Index up 0.4% to 1053.65 points[2]. - Market trading volume was 1,615.8 billion yuan, an increase of 97.6 billion yuan from the previous day[2]. - In terms of industry sectors, comprehensive (+1.98%), banking (+1.59%), and steel (+1.45%) led the gains; pharmaceutical biology (+0.12%), computer (+0.25%), and building materials (+0.3%) led the declines[2]. - From the perspective of market strength, IF > IH > IM > IC, and the number of rising/flat/falling stocks was 3,901/189/1,325 respectively[2]. - In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -1.9 billion, -10.7 billion, -1.4 billion, and 14 billion yuan respectively, with changes of -3.8 billion, -4.8 billion, +7.1 billion, and +1.5 billion yuan respectively[2]. Stock Index Futures Basis and Basis Annualized Yield - The basis of the next - month contracts of IM, IC, IF, and IH were 105.48, 104.64, 21.45, and -0.27 points respectively, and the basis annualized yields were -11.43%, -12.21%, -3.84%, and 0.07% respectively, with three - year historical quantiles of 29%, 10%, 24%, and 46% respectively[3]. Trading Strategy - In the medium - to - long term, the report maintains the judgment of being long on the economy. Currently, using stock indices as a long - position substitute has certain excess returns, and it is recommended to allocate long - term contracts of each variety on dips[3]. Treasury Bond Futures Market Performance - On August 5th, the yields of most treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year bond was 1.411, up 0.14 bps from the previous day; the implied interest rate of the five - year bond was 1.561, down 0.97 bps; the implied interest rate of the ten - year bond was 1.646, down 1.32 bps; and the implied interest rate of the thirty - year bond was 1.988, down 0.61 bps[3]. Cash Bond and Related Indicators - The current active contract is the 2509 contract. For the two - year treasury bond futures, the CTD bond is 250006.IB, with a yield change of -1.25 bps, a corresponding net basis of 0.002, and an IRR of 1.43%; for the five - year treasury bond futures, the CTD bond is 240020.IB, with a yield change of -1 bps, a corresponding net basis of -0.027, and an IRR of 1.68%; for the ten - year treasury bond futures, the CTD bond is 220010.IB, with a yield change of -1.5 bps, a corresponding net basis of -0.013, and an IRR of 1.56%; for the thirty - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of +0.25 bps, a corresponding net basis of -0.006, and an IRR of 1.47%[4]. Capital Situation - In terms of open - market operations, the central bank injected 160.7 billion yuan and withdrew 449.2 billion yuan, resulting in a net withdrawal of 288.5 billion yuan[4]. Trading Strategy - With the upward shift of risk appetite and the expectation of economic recovery, it is recommended to conduct long - term hedging on T and TL contracts on rallies[4]. Economic Data - High - frequency data shows that the recent sectoral prosperity is similar to the same period[10].

1. Report Industry Investment Ratings No industry investment ratings are provided in the report. 2. Core Views of the Report The report provides a comprehensive analysis of various commodity futures, including base metals, black industries, agricultural products, and energy chemicals. It assesses the market performance, fundamentals, and offers trading strategies for each commodity. Overall, the market conditions are diverse, with some commodities showing potential for price increases, while others are expected to experience price declines or remain range - bound. 3. Summary by Commodity Category Base Metals - **Copper**: The price oscillated weakly. The US service PMI was lower than expected, increasing recession concerns. LME inventories accumulated, and domestic inventories also rose slightly. The trading strategy is to maintain the idea of buying on dips [1]. - **Electrolytic Aluminum**: The 2509 contract's closing price increased slightly. Supply was high, while demand was in the off - season. The price may oscillate, and it is recommended to wait and see [1]. - **Alumina**: The 2509 contract's closing price rose. Supply capacity was stable, and demand from electrolytic aluminum plants increased. The price is expected to oscillate, and downstream enterprises can sell out - of - the - money put options [1]. - **Zinc**: The 2508 contract's closing price increased. Supply pressure was significant, and demand was in the off - season. The trading strategy is to sell on rallies [1]. - **Lead**: The 2508 contract's closing price increased slightly. The supply - demand pattern was weak. It is recommended to wait and see for inventory reduction or secondary lead production cuts [2]. Black Industry - **Rebar**: The 2510 contract oscillated higher. The overall steel supply - demand was balanced, but there were structural differences. It is recommended to wait and see and close short positions [4]. - **Iron Ore**: The 2509 contract oscillated lower. Supply and demand were moderately strong. It is recommended to wait and see [4]. - **Coking Coal**: The 2601 contract oscillated higher. Supply and demand were relatively loose, but the fundamentals were improving. It is recommended to wait and see and close short positions [4]. Agricultural Products - **Soybean Meal**: The CBOT soybeans were weak. Supply was abundant, and demand was affected by tariffs. Domestic soybeans had different trends from international ones, and it is necessary to pay attention to weather and tariff policies [5]. - **Corn**: The 2509 contract was weak. Wheat substitution and increased supply from imports and new crops pressured the price. The futures price is expected to oscillate weakly [5]. - **Sugar**: The 09 contract was weak. Brazil's production increased, and domestic prices were under pressure. It is recommended to short in the futures market and sell call options [6]. - **Cotton**: The US cotton growth was behind schedule, and domestic prices rebounded. It is recommended to buy on dips and trade within the 13600 - 14000 yuan/ton range [6]. - **Log**: The 09 contract declined. Spot prices were stable, and it is recommended to wait and see [6]. - **Palm Oil**: Supply was strong, and demand was weak in the short - term. It may oscillate in the short - term but is expected to be bullish in the medium - term [6]. - **Eggs**: The 2509 contract was weak. Supply was increasing, and demand may increase seasonally. The futures price is expected to oscillate weakly [6]. - **Hogs**: The 2509 contract was weak. Supply was increasing, and demand was seasonally weak. The price is expected to oscillate and adjust [7]. Energy Chemicals - **LLDPE**: The price rebounded slightly. Supply was increasing, and demand was improving. It may oscillate weakly in the short - term, and it is recommended to short far - month contracts in the long - term [8]. - **PVC**: The 09 contract rose slightly. Supply was expected to increase, and demand was weak. It is recommended to wait and see [8]. - **PTA**: PX supply was increasing, and PTA supply was decreasing in the short - term but increasing in the long - term. It is recommended to short processing margins or far - month contracts [8]. - **Rubber**: The price rose. Raw material prices rebounded, and inventories decreased. It is recommended to hold long positions [9]. - **Glass**: The 09 contract declined. Supply was expected to increase, and demand was weak. The price has limited downside, and it is recommended to wait and see [9]. - **PP**: The price oscillated slightly. Supply was increasing, and demand was differentiated. It may oscillate weakly in the short - term, and it is recommended to short far - month contracts in the long - term [9]. - **MEG**: Supply was increasing, and demand was stable. It is recommended to short far - month contracts [9]. - **Crude Oil**: The price was weak. OPEC+ will increase production, and demand was mixed. It is recommended to wait and see and look for short - selling opportunities after the sanctions on Russia are clear [9]. - **Styrene**: The price declined slightly. Supply was expected to increase, and demand was weak. It may oscillate weakly in the short - term, and it is recommended to short far - month contracts in the long - term [10].

Report Highlights 1. Report Industry Investment Rating - Not provided in the document 2. Core Views - For stock index futures, maintain the judgment of going long on the economy in the medium - long term. It is recommended to allocate long - term contracts of each variety on dips as taking long positions in stock indices can achieve certain excess returns currently [2] - For treasury bond futures, with the upward trend of risk appetite and the expectation of economic recovery, it is suggested to conduct hedging operations on T and TL contracts on rallies in the medium - long term [2] 3. Summary by Directory (1) Stock Index Futures Spot and Futures Market Performance - On August 4, the four major A - share stock indices opened lower and closed higher. The Shanghai Composite Index rose 0.66% to 3583.31 points, the Shenzhen Component Index rose 1.22%, the ChiNext Index rose 0.5% to 2334.32 points, and the STAR 50 Index rose to 1049.41 points. Market turnover was 1518.2 billion yuan, a decrease of 101.7 billion yuan from the previous day [2] - In terms of industry sectors, national defense and military industry (+3.06%), machinery and equipment (+1.93%), and non - ferrous metals (+1.87%) led the gains; commercial and retail (-0.46%), petroleum and petrochemical (-0.36%), and social services (-0.21%) led the losses [2] - In terms of market strength, IM>IC>IH>IF. The number of rising, flat, and falling stocks was 3875, 230, and 1310 respectively. Institutional, main, large - scale, and retail investors had net inflows of 20, - 58, - 86, and 124 billion yuan respectively, with changes of +151, +53, - 87, and - 117 billion yuan respectively [2] - The basis of the next - month contracts of IM, IC, IF, and IH was 97.09, 92.73, 17.9 points respectively, and the annualized basis yields were - 10.29%, - 10.58%, - 3.14%, and 0.26% respectively. The three - year historical quantiles were 35%, 13%, 30%, and 48% respectively [2] (2) Treasury Bond Futures Spot and Futures Market Performance - On August 4, most yields of treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year bond was 1.408, down 0.14bps from the previous day; the five - year bond was 1.571, up 0.36bps; the ten - year bond was 1.66, down 3.96bps; the thirty - year bond was 1.994, down 0.75bps [2] - For the current active 2509 contract, the CTD bond of the two - year treasury bond futures was 250006.IB, with a yield change of +1bps, corresponding to a net basis of - 0.021 and an IRR of 1.62%; the CTD bond of the five - year treasury bond futures was 240020.IB, with a yield change of +1bps, corresponding to a net basis of - 0.029 and an IRR of 1.7%; the CTD bond of the ten - year treasury bond futures was 220010.IB, with a yield change of - 0.25bps, corresponding to a net basis of - 0.008 and an IRR of 1.49%; the CTD bond of the thirty - year treasury bond futures was 210005.IB, with a yield change of - 0.75bps, corresponding to a net basis of 0.201 and an IRR of 0.19% [2] - In terms of the money market, the central bank injected 544.8 billion yuan and withdrew 495.8 billion yuan, resulting in a net injection of 49 billion yuan [2] (3) Economic Data - High - frequency data shows that the recent prosperity of various sectors is similar to the same period [9]

Report Industry Investment Rating No relevant content provided. Core Viewpoints - The de - dollarization logic remains unchanged, suggesting to go long on gold; the long - term trend of industrial silver is downward, suggesting to short silver on rallies [1]. - For aluminum, the Fed's rate - cut expectation increases and the dollar index weakens, but downstream consumption has not improved, and aluminum ingot inventory continues to accumulate, so the aluminum price has limited upside space and may fluctuate, suggesting to wait and see [2]. - For zinc, with significant supply - side pressure and prominent consumption - end off - season characteristics, it is recommended to short on rallies [2]. - For lead, with a deepening pattern of weak supply and demand, it is recommended to wait and see mainly and wait for signals of inventory reduction or secondary lead production cut [3]. - For industrial silicon, after the "anti - involution" sentiment cools down, the trading logic may return to fundamentals, and the price is expected to fluctuate weakly, suggesting to wait and see [3]. - For lithium carbonate, the fundamental situation is marginally improving, and the price is expected to fluctuate strongly within a range [3]. - For polysilicon, due to policy message disturbances, the price is expected to fluctuate between 45,000 - 55,000 yuan/ton [3]. - For steel, the supply - demand of steel is relatively balanced, with obvious structural differentiation, and it is recommended to wait and see mainly and close short positions [5]. - For iron ore, the supply - demand is marginally neutral to strong, and it is recommended to wait and see [5]. - For coking coal, the overall supply - demand is relatively loose but improving, and it is recommended to wait and see mainly and close short positions [5]. - For soybean meal, the US soybeans are in a weak stage, and the domestic situation is affected by tariff policies, with internal - external differentiation, and it is necessary to pay attention to the weather in production areas and tariff policies [6]. - For corn, due to the suppression of substitutes and the approaching of new grain listing, the futures price is expected to fluctuate weakly [6]. - For sugar, the futures market is recommended to short on rallies, and sell call options [8]. - For cotton, it is recommended to buy on dips and adopt a range - trading strategy between 13,600 - 14,000 yuan/ton [8]. - For logs, it is recommended to wait and see [8]. - For palm oil, it is in a short - term weak seasonal cycle but is recommended to be overweighted in the medium - term, and it is necessary to pay attention to production in production areas and biodiesel policies [8]. - For eggs, due to large supply pressure, the futures price is expected to fluctuate weakly [8]. - For pigs, with strong supply and weak demand, the futures price is expected to fluctuate and adjust [9]. - For LLDPE, in the short - term, it is expected to fluctuate weakly, and in the long - term, it is recommended to short far - month contracts on rallies [10]. - For PVC, it is recommended to wait and see [10]. - For glass, the price has limited downside space, and it is recommended to wait and see [10]. - For PP, in the short - term, it is expected to fluctuate weakly, and in the long - term, it is recommended to short far - month contracts on rallies [11]. - For styrene, in the short - term, it is expected to fluctuate weakly, and in the long - term, it is recommended to short far - month contracts on rallies [11]. - For soda ash, it is recommended to wait and see or try short - selling call options [11]. Summary by Category Precious Metals - **Market Performance**: On Monday, precious metals continued to strengthen and rebound. The international gold price denominated in London gold rose 0.34% to $3,373 per ounce, and the international silver price denominated in London silver rose 1.06% to $37.413 per ounce [1]. - **Fundamentals**: The EU will suspend two counter - measures against US tariffs for six months. Domestic gold ETF funds flowed back. COMEX gold inventory increased by 2 tons to 1,204 tons, and SHFE gold inventory remained unchanged at 35 tons. London's June gold inventory was 8,774 tons. SHFE silver inventory decreased by 24 tons to 1,183 tons, the Shanghai Gold Exchange's silver inventory increased by 7 tons to 1,326 tons last week, COMEX silver inventory increased by 44 tons to 15,758 tons, and London's June silver inventory increased by 421 tons to 23,788 tons. India's silver imports in June were about 200 tons. The holdings of the world's largest silver ETF, iShares, decreased by 34 tons to 15,021 tons [1]. - **Trading Strategies**: Go long on gold; short silver on rallies [1]. Base Metals Aluminum - **Market Performance**: The closing price of the electrolytic aluminum 2509 contract increased by 0.07% to 20,525 yuan/ton compared with the previous trading day, and the domestic 0 - 3 month spread was 110 yuan/ton. The LME price was $2,582.5 per ton [2]. - **Fundamentals**: On the supply side, electrolytic aluminum plants maintained high - load production, and the operating capacity increased slightly. On the demand side, it was the traditional consumption off - season, and the weekly aluminum product operating rate decreased slightly [2]. - **Trading Strategies**: Wait and see [2]. Alumina - **Market Performance**: The closing price of the alumina 2509 contract increased by 1.99% to 3,162 yuan/ton compared with the previous trading day, and the domestic 0 - 3 month spread was 61 yuan/ton [2]. - **Fundamentals**: On the supply side, the operating capacity of alumina was stable. On the demand side, electrolytic aluminum plants maintained high - load production, and the weekly operating capacity increased slightly [2]. - **Trading Strategies**: Wait and see [2]. Zinc - **Market Performance**: The closing price of the zinc 2508 contract decreased by 0.13% to 22,260 yuan/ton compared with the previous trading day. The domestic 0 - 3 month spread was 10 yuan/ton in Back structure, and overseas 0 - 3 month spread was 11 dollars/ton in Con structure. The social inventory on August 4 was 10.73 million tons, a cumulative increase of 0.41 million tons from July 31 [2]. - **Fundamentals**: The supply - side pressure was significant. In August, zinc ingot production was expected to increase by 1.8 million tons to 62.15 million tons month - on - month, mainly due to the end of maintenance and the release of new production capacity. The processing fee jumped, and refinery profits exceeded 1,500 yuan/ton, stimulating production. The consumption - end off - season characteristics were prominent, and the galvanizing/die - casting operating rates dropped to 56.77% and 48.24% respectively. Typhoon weather exacerbated the weak demand. The low inventory of LME and macro negatives (strong dollar, tariff uncertainty) formed a tug - of - war [2]. - **Trading Strategies**: Short on rallies [2]. Lead - **Market Performance**: The closing price of the lead 2508 contract increased by 0.12% to 16,700 yuan/ton compared with the previous trading day, and the domestic 0 - 3 month spread was 60 yuan/ton in Con structure. The social inventory on August 4 was 7.19 million tons, a decrease of 0.11 million tons from July 31 [3]. - **Fundamentals**: The pattern of weak supply and demand deepened. On the supply side, secondary lead producers were reluctant to sell due to losses, and primary lead production increased slightly. On the consumption side, the battery operating rate remained stable at 71.86%, and some enterprises built inventories on dips. The core contradiction was that secondary lead losses restricted supply release. If social inventory reduction or secondary lead production cuts were realized, the price might stop falling. Policy - makers should pay attention to the potential impact of the "Heavy Metal Rectification Plan" on major production provinces [3]. - **Trading Strategies**: Wait and see mainly and wait for signals of inventory reduction or secondary lead production cut [3]. Industrial Silicon - **Market Performance**: On Monday, the market opened low and fluctuated. The main 11 - contract closed at 8,370 yuan/ton, a decrease of 275 yuan/ton from the previous trading day, and the open interest decreased by 26,771 lots to 167,569 lots. The number of warehouse receipts decreased by 204 lots to 50,312 lots today [3]. - **Fundamentals**: On the supply side, the resumption of production in the southwest region contributed the main increase this week, and a total of 5 furnaces were newly opened nationwide. Both social inventory and warehouse - receipt inventory increased slightly this week. On the demand side, the operating rate of polysilicon increased week - on - week, and the transaction price in the industrial chain increased. The output of silicone increased slightly, and the industrial chain price remained stable. The downstream demand for aluminum alloy entered the consumption off - season, and the operating rate was relatively stable [3]. - **Trading Strategies**: Wait and see [3]. Lithium Carbonate - **Market Performance**: The LC2509 contract closed at 68,920 yuan/ton (+60), an increase of 0.09%. The import spodumene concentrate index was 755 (-11) dollars/ton. The production of lithium iron phosphate in August was 311,400 tons, a month - on - month increase of 7.1%, and the production of ternary materials reached 70,800 tons, a month - on - month increase of 3.1%. This week, the inventory started to decline due to supply reduction, and the sample inventory was 141,700 tons (-1,444 tons). The Guangzhou Futures Exchange's warehouse receipts increased to 12,603 lots after cancellation [3]. - **Fundamentals**: The reduction expectation of lithium mines in Jiangxi cannot be falsified for the time being, and the fundamentals are marginally improving [3]. - **Trading Strategies**: The price is expected to fluctuate strongly within a range [3]. Polysilicon - **Market Performance**: On Monday, the market opened low and fluctuated. The main 11 - contract closed at 48,980 yuan/ton, a decrease of 610 yuan/ton from the previous trading day, and the open interest increased by 7,405 lots to 106,749 lots. The number of warehouse receipts remained unchanged at 3,200 lots [3]. - **Fundamentals**: On the supply side, the weekly output climbed rapidly, and there was still an expectation of resumption of production due to the increase in the number of warehouse receipts. The industry inventory increased slightly this week. On the demand side, the production schedules of silicon wafers and battery cells in August met expectations, basically flat compared with July. The photovoltaic installation demand market in the third quarter was pessimistic, and the new photovoltaic installation in June decreased by 38% year - on - year. Some downstream products began to pass on price increases [3]. - **Trading Strategies**: The price is expected to fluctuate between 45,000 - 55,000 yuan/ton [3]. Black Industry Steel - **Market Performance**: The main 2510 - contract of rebar fluctuated upwards and closed at 3,197 yuan/ton, an increase of 22 yuan/ton from the previous trading day's night - session closing price [5]. - **Fundamentals**: The building material inventory in the Gangyin口径 increased by 3.5% to 4.112 million tons compared with the previous week, and increased by 1.1% last week. The rebar delivery in Hangzhou over the weekend was 63,000 tons, compared with 58,000 tons last week; the inventory was 606,000 tons, compared with 630,000 tons last week and 848,000 tons in the same period last year. The supply - demand of building materials was neutral, and the inventory pressure was small due to low production. The demand for plates was stable, and direct and indirect exports remained at a high level, with continuous inventory reduction. The absolute inventory and inventory days remained at historical lows. Overall, the supply - demand of steel was relatively balanced, with no significant total - quantity contradiction but obvious structural differentiation. The futures discount of steel remained at a low level, and the valuation was slightly high [5]. - **Trading Strategies**: Wait and see mainly and close short positions. The reference range for RB10 is 3,150 - 3,220 yuan/ton [5]. Iron Ore - **Market Performance**: The main 2509 - contract of iron ore fluctuated upwards and closed at 797.5 yuan/ton, an increase of 10.5 yuan/ton from the previous trading day's night - session closing price [5]. - **Fundamentals**: The arrival of iron ore was 26.22 million tons, a week - on - week increase of 3.03 million tons. The shipments from Australia and Brazil were 25.32 million tons, a week - on - week decrease of 2.24 million tons. The port inventory was 143 million tons, a week - on - week increase of 890,000 tons. The supply - demand of iron ore remained marginally neutral to strong. The pig iron output in the Custeel口径 decreased slightly week - on - week but increased by about 1% year - on - year. The fourth round of coke price increase was implemented, and the fifth round was proposed. The profit of steel mills was marginally narrowed, and the subsequent production would be stable. The supply side conformed to seasonal rules and decreased slightly year - on - year. The supply - demand of iron ore was marginally neutral to strong, and due to the high base of pig iron demand, it was expected that the subsequent iron ore inventory accumulation would be slower than the seasonal rule. Iron ore maintained a forward - discount structure, but the absolute level remained at a relatively low level in the same period of history, and the valuation was neutral [5]. - **Trading Strategies**: Wait and see. The reference range for I09 is 770 - 800 yuan/ton [5]. Coking Coal - **Market Performance**: The main 2601 - contract of coking coal fluctuated upwards and closed at 1,126 yuan/ton, an increase of 38 yuan/ton from the previous trading day's night - session closing price [5]. - **Fundamentals**: The pig iron output in the Custeel口径 decreased by 15,000 tons to 2.407 million tons week - on - week, an increase of 40,000 tons year - on - year. The profit of steel mills was marginally stable, and the subsequent production would be stable. The fourth round of coke price increase was implemented, and the fifth round was proposed. The inventory at each link on the supply side was differentiated. The coking coal inventory and inventory days of steel mills and coking plants remained at relatively low levels in the same period of history, while the inventory at pits, ports and other links continued to remain at historical highs. At the same time, the production and pit inventory decreased week - on - week. The overall supply - demand was still relatively loose but improving. The futures price was at a premium to the spot price, and the forward - premium structure was maintained. The futures valuation was high [5]. - **Trading Strategies**: Wait and see mainly and close short positions. The reference range for JM01 is 1,090 - 1,150 yuan/ton [5]. Agricultural Products Soybean Meal - **Market Performance**: The CBOT soybeans rebounded overnight [6]. - **Fundamentals**: On the supply side, the near - term supply was loose, and the long - term supply was also expected to be large. The good - quality rate of US soybeans was at a high level. On the demand side, South America dominated in the short - term, and US soybean exports were in a weak - demand expectation due to tariff policies [6]. - **Trading Strategies**: Pay attention to the weather in production areas and tariff policies [6]. Corn - **Market Performance**: The corn 2509 contract fluctuated weakly, and the spot price of corn decreased slightly [6]. - **Fundamentals**: Wheat had high cost - effectiveness and replaced the feed demand for corn. The weak wheat price suppressed the corn price. The auction of imported grains increased the market supply, and the low transaction rate reflected weak market sentiment. The downstream purchasing enthusiasm was not high. The easing of the trade situation increased the import expectation. The early - spring corn was approaching the market, and the cost of new - crop corn decreased significantly, suppressing the long - term price expectation. The spot price of corn was expected to fluctuate weakly [6]. - **Trading Strategies**: The futures price is expected to fluctuate weakly [6]. Sugar - **Market Performance**: The Zhengzhou sugar 09 contract closed at 5,709 yuan/ton, a decrease of 0.68%. The basis of Guangxi spot - Zhengzhou sugar 09 contract was 297 yuan/ton, and the estimated profit of Brazilian sugar processing after tax with out - of - quota was 436 yuan/ton [

Quantitative Factors and Models Summary Quantitative Factors and Construction - **Factor Name**: BETA **Construction Idea**: Measures the sensitivity of a stock's returns to market returns, capturing systematic risk exposure [13][28] **Construction Process**: The BETA factor is calculated as the slope coefficient in a regression of a stock's returns against the market index returns over a specified period [13][28] **Evaluation**: This factor performed well during the week, indicating a positive contribution to portfolio returns [13][28] - **Factor Name**: Residual Volatility **Construction Idea**: Captures the idiosyncratic risk of a stock, independent of market movements [13][28] **Construction Process**: Residual volatility is derived from the standard deviation of the residuals in a regression of stock returns against market returns [13][28] **Evaluation**: This factor showed moderate positive performance during the week [13][28] - **Factor Name**: Momentum **Construction Idea**: Reflects the tendency of stocks with strong past performance to continue performing well in the short term [13][28] **Construction Process**: Momentum is calculated as the cumulative return of a stock over a specific look-back period, excluding the most recent month [13][28] **Evaluation**: This factor exhibited slight positive performance during the week [13][28] - **Factor Name**: Value **Construction Idea**: Measures the attractiveness of a stock based on its valuation metrics, such as price-to-earnings or price-to-book ratios [13][28] **Construction Process**: Value is computed using a weighted combination of valuation ratios, normalized across the universe of stocks [13][28] **Evaluation**: This factor underperformed during the week, indicating a negative contribution to portfolio returns [13][28] - **Factor Name**: Leverage **Construction Idea**: Represents the financial risk of a company based on its debt levels relative to equity [13][28] **Construction Process**: Leverage is calculated as the ratio of total debt to total equity for each stock [13][28] **Evaluation**: This factor showed slight negative performance during the week [13][28] - **Factor Name**: Size **Construction Idea**: Captures the performance difference between small-cap and large-cap stocks [13][28] **Construction Process**: Size is measured as the natural logarithm of a company's market capitalization [13][28] **Evaluation**: This factor significantly underperformed during the week, reflecting a preference for larger-cap stocks [13][28] Factor Backtesting Results - **BETA Factor**: Weekly return +0.27%, 1-year Sharpe ratio 2.74, 1-year maximum drawdown 5.40% [13][29] - **Residual Volatility Factor**: Weekly return +0.12%, 1-year Sharpe ratio -3.22, 1-year maximum drawdown 11.67% [13][29] - **Momentum Factor**: Weekly return +0.05%, 1-year Sharpe ratio 2.96, 1-year maximum drawdown 2.47% [13][29] - **Value Factor**: Weekly return -0.25%, 1-year Sharpe ratio -0.18, 1-year maximum drawdown 3.31% [13][29] - **Leverage Factor**: Weekly return -0.28%, 1-year Sharpe ratio 2.96, 1-year maximum drawdown 1.55% [13][29] - **Size Factor**: Weekly return -0.47%, 1-year Sharpe ratio -5.82, 1-year maximum drawdown 17.33% [13][29]

1. Report's Investment Rating for the Industry - No investment rating for the industry is provided in the report. 2. Core Views of the Report - For stock index futures, the report maintains a long - term view of being bullish on the economy, suggesting that using stock indices as a long - term alternative can yield certain excess returns, and recommends buying long - term contracts of various varieties on dips [3]. - For treasury bond futures, considering the upward risk appetite and the expectation of economic recovery, it is recommended to conduct high - level hedging for medium - and long - term T and TL contracts [4]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures - **Market Performance**: On August 1st, the four major A - share stock indices pulled back. The Shanghai Composite Index fell 0.37% to 3559.95 points, the Shenzhen Component Index dropped 0.17% to 10991.32 points, the ChiNext Index declined 0.24% to 2322.63 points, and the Science and Technology Innovation 50 Index decreased 1.06% to 1036.77 points. Market turnover was 1.6199 trillion yuan, a decrease of 342 billion yuan from the previous day. In terms of industry sectors, environmental protection (+0.88%), media (+0.82%), and light manufacturing (+0.65%) led the gains, while petroleum and petrochemicals (-1.79%), national defense and military industry (-1.47%), and steel (-1.26%) led the losses. The strength order was IM>IC>IF>IH. The number of rising/flat/falling stocks was 3305/203/1907 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were -13.1 billion, -11.1 billion, 100 million, and 24.1 billion yuan respectively, with changes of -2.5 billion, +8.4 billion, +2.7 billion, and -8.5 billion yuan respectively [2]. - **Basis and Annualized Basis Yield**: The basis of the next - month contracts of IM, IC, IF, and IH was 127.67, 109.2, 25.33, and - 0.27 points respectively, and the annualized basis yields were -13.29%, -12.21%, -4.34%, and 0.07% respectively, with three - year historical quantiles of 19%, 10%, 22%, and 46% respectively [3]. - **Trading Strategy**: Maintain a long - term bullish view on the economy. Using stock indices as a long - term alternative can yield certain excess returns. Recommend buying long - term contracts of various varieties on dips [3]. 3.2 Treasury Bond Futures - **Market Performance**: On August 1st, the yields of treasury bond futures showed a pattern of short - term decline and long - term increase. Among the active contracts, the implied interest rate of the two - year bond was 1.411, a decrease of 0.13 bps from the previous day; the implied interest rate of the five - year bond was 1.57, a decrease of 0.12 bps from the previous day; the implied interest rate of the ten - year bond was 1.7, an increase of 3.59 bps from the previous day; the implied interest rate of the thirty - year bond was 2.001, an increase of 0.14 bps from the previous day [3]. - **Cash Bond Situation**: The current active contract is the 2509 contract. For the 2 - year treasury bond futures, the CTD bond is 250006.IB, with a yield change of +0 bps, a corresponding net basis of -0.008, and an IRR of 1.49%; for the 5 - year treasury bond futures, the CTD bond is 240020.IB, with a yield change of +0.25 bps, a corresponding net basis of 0.002, and an IRR of 1.41%; for the 10 - year treasury bond futures, the CTD bond is 220010.IB, with a yield change of +0 bps, a corresponding net basis of 0.062, and an IRR of 0.93%; for the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of -0.5 bps, a corresponding net basis of 0.178, and an IRR of 0.38% [4]. - **Funding Situation**: In open - market operations, the central bank injected 126 billion yuan and withdrew 789.3 billion yuan, resulting in a net withdrawal of 663.3 billion yuan [4]. - **Trading Strategy**: Considering the upward risk appetite and the expectation of economic recovery, it is recommended to conduct high - level hedging for medium - and long - term T and TL contracts [4]. 3.3 Economic Data - High - frequency data shows that the recent business climate of various sectors is similar to that of the same period [11]. - Based on the changes in the meso - level data of each module compared with the same period in the past five years (the month - on - month of year - on - year), scores are given according to the degree of change. Positive scores indicate an improvement in the business climate, negative scores indicate a weakening of the business climate, and a score of zero indicates little change in the business climate [14].