中证商品期货指数上半年窄幅震荡

Core Viewpoint - The commodity market in the first half of 2025 exhibited a narrow fluctuation trend, with the China Securities Commodity Index showing a slight annual increase of 0.20% and a volatility of 10.27% [1] Market Overview - The commodity market experienced increased volatility due to frequent macro events, with weak overall demand impacting industrial products more significantly than agricultural products [2] - Three major macro "black swan" events occurred in the first half of 2025, including U.S. sanctions on Russian oil, a global tariff storm, and conflicts in the Middle East, all contributing to market fluctuations [2] Performance Characteristics - There was a clear divergence between agricultural and industrial products, with agricultural prices being more stable and influenced by supply-side changes, while industrial prices were more sensitive to demand fluctuations [3] - Different types of events caused further differentiation within the commodity market, with industrial products reacting strongly to demand-side shocks while agricultural products remained relatively stable [3] Index Returns Attribution 1. Term Structure Contribution - The term structure yield for the first half of 2025 was 1.07%, showing a slight increase from 2024, indicating a potential improvement in global economic growth [6] 2. Sector Contribution - Agricultural products experienced slight price increases with lower volatility, while industrial products faced larger price declines and fluctuations, reflecting insufficient global demand [7] 3. Product Contribution - Precious metals and agricultural products contributed positively to returns, while black metals and energy chemicals generally contributed negatively [8] Macro Indicators 1. Macro Level - The China Securities Commodity Index serves as an important reference for macroeconomic conditions, showing a strong correlation with PPI, which may lead by about two months [9] 2. Micro Level - Sub-sector indices show a high correlation with the profit totals of corresponding industries, providing timely insights for business decision-making [12] Comparative Analysis - The China Securities Commodity Index demonstrates a clear advantage in terms of risk and return compared to major overseas commodity indices, making it an attractive option for domestic and international investors [18] - The correlation between the China Securities Commodity Index and major overseas indices is relatively low, indicating a unique positioning in the market [21]