金工策略周报-20250608

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The market showed an upward trend last week, with different sectors contributing to the gains of various stock indices. The trading volume of each futures variety decreased month - on - month, and the basis weakened. IC and IM maintained a deep discount state. The report continues to recommend a positive arbitrage direction for cross - period arbitrage and roll - over operations [3][4]. - The performance of commodity factors was mixed last week. The price - volume trend factors declined slightly, the term structure factors rose slightly, and the basis and warehouse receipt factors fell slightly. The report is still optimistic about the performance of commodity CTA this year [80]. - For Treasury bond futures, the basis fluctuated narrowly, and the cross - period spread rebounded slightly. The capital interest rate continued to decline. The report suggests paying attention to the positive arbitrage and cross - period positive arbitrage strategies of Treasury bond futures [60]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures 3.1.1 Market Review - The market rose, with electronics and non - bank finance contributing to the rise of the CSI 300 Index, banks and electronics to the SSE 50 Index, electronics and non - ferrous metals to the CSI 500 Index, and electronics and communications to the CSI 1000 Index [3]. - The trading volume of each variety decreased month - on - month, and the basis weakened. IC and IM remained deeply discounted [4]. 3.1.2 Basis Strategy Recommendation - The basis fluctuated, and IC and IM maintained a deep discount. The current basis environment is driven by neutral short - hedging demand. The report recommends a right - side approach for cross - period arbitrage and roll - over, maintaining a long - near and short - far positive arbitrage direction [4]. 3.1.3 Arbitrage Strategy Tracking - In cross - period arbitrage, the net value of each strategy was flat last week. The annualized basis rate, positive arbitrage, and momentum strategies had profits of 0.3%, 0.5%, and 0.5% respectively [5]. - The signal of the cross - variety arbitrage timing strategy turned to long small - cap and short large - cap. The synthetic strategy had a profit of 0.2% last week. The latest signals suggest a 50% position for long IC and short IF in the IC/IF strategy and a 100% position for long IM and short IC in the IM/IC strategy. The cross - variety arbitrage cross - section strategy had a loss of 0.14% last week [6]. 3.1.4 Timing Strategy Tracking - The performance of the daily timing strategy models was differentiated last week. The single - factor equal - weight, OLS, and XGB models had losses of 0.5%, a profit of 0.1%, and a loss of 1.3% respectively. The latest signals from the OLS model are bearish on all indices, while the XGB model is bearish on the SSE 50, CSI 300, and CSI 500 and bullish on the CSI 1000 [7]. 3.2 Treasury Bond Futures 3.2.1 Strategy Focus This Week - In terms of basis and cross - period spread, the basis of Treasury bond futures fluctuated narrowly, and the cross - period spread rebounded slightly. The capital interest rate continued to decline. The report suggests continuing to pay attention to the positive arbitrage and cross - period positive arbitrage strategies [60]. - For the futures timing strategy, the net value of the multi - factor timing strategy fluctuated this week. The strategy signals are mostly bullish, with main bullish factors including basis and high - frequency factors [60]. - For the futures cross - variety arbitrage strategy, the latest signals of the TS - T and T - TL strategies are bearish [60]. - For the credit bond neutral strategy, the current credit bond duration rotation and hedging strategy holds the 3 - 5 - year index with a longer duration in the cash bond and conducts Treasury bond futures hedging [60]. 3.3 Commodity CTA 3.3.1 Commodity Factor Performance - The domestic commodity market was differentiated last week. The decline of the US dollar index and the increasing expectation of the Fed's interest rate cut promoted the rise of precious metals, crude oil, and metal futures. The black - series commodities rose due to the rebound of coking coal prices and expected policy support. The performance of commodity factors was mixed, with price - volume trend factors slightly declining, term structure factors slightly rising, and basis and warehouse receipt factors slightly falling [80]. 3.3.2 Tracking Strategy Performance - The CWFT strategy had an annualized return of 10.0%, a Sharpe ratio of 1.69, a Calmar ratio of 1.13, and a maximum drawdown of - 8.81%. The return last week was 0.00%, and the return since this year was 2.93% [81]. - The C_frontnext & Short Trend strategy had an annualized return of 12.4%, a Sharpe ratio of 1.88, a Calmar ratio of 1.84, and a maximum drawdown of - 6.72%. The return last week was 0.69%, and the return since this year was 2.55% [81]. - Other strategies also had their respective performance indicators as detailed in the report [81].