金工策略周报-20250622

1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints of the Report - The stock index futures market showed a continuous downward trend, with pharmaceutical and biological and power equipment contributing to the main decline of the CSI 300 Index, and pharmaceutical and biological and non - ferrous metals contributing to the main decline of the SSE 50 Index, CSI 500 Index, and CSI 1000 Index. The trading volume of each variety increased month - on - month, and the basis strengthened [4]. - For the bond futures market, the basis of bond futures fluctuated narrowly this week, some contracts experienced CTD switching affected by new bonds, the IRR generally fluctuated at a high level, and the inter - period spread mainly declined. The net value of the multi - factor timing strategy for bond futures increased this week, and the strategy signals were mostly bullish. The net value of the cross - variety arbitrage strategy for bond futures increased, and the current credit bond duration rotation plus hedging strategy holds the 1 - 3 - year index with reduced duration and conducts bond futures hedging [55]. - In the commodity market, last week, the domestic commodity market was affected by the conflict situation in the Middle East. Crude oil and related energy and chemical varieties mostly rose, and most commodity factors continued to rise, with the term structure factors performing the best, followed by the price - volume trend factors [75]. 3. Summary by Related Catalogs 3.1 Stock Index Futures 3.1.1 Market Review - The market showed a continuous downward trend, and the trading volume of each variety increased month - on - month, with the basis strengthening. Pharmaceutical and biological and power equipment contributed to the main decline of the CSI 300 Index, and pharmaceutical and biological and non - ferrous metals contributed to the main decline of the SSE 50 Index, CSI 500 Index, and CSI 1000 Index [4]. 3.1.2 Basis Strategy - The basis of stock index futures strengthened significantly. After the dividend adjustment of IC and IM, the discounts converged to 8.6% and 12.1% respectively. It is recommended to wait and see for the inter - period arbitrage strategy, and short - selling hedging is recommended to hold near - month contracts to avoid the risk of further basis convergence [4]. 3.1.3 Arbitrage Strategy Tracking - In the inter - period arbitrage strategy, the strategy net value declined significantly last week, with the annualized basis rate, positive arbitrage, and momentum factors losing 0.5%, 0.7%, and 0.5% respectively (6 - times leverage). The annualized basis rate factor gave reverse arbitrage signals for IH, IF, and IM, and a positive arbitrage signal for IC [5]. - The net value of the cross - variety arbitrage timing strategy lost 0.1% last week. The cross - variety momentum signals performed poorly, and all portfolios were currently empty [6]. 3.1.4 Timing Strategy Tracking - The daily timing strategy models were profitable last week, with the single - factor equal - weight, OLS, and XGB models earning 0.2%, 0%, and 1.2% respectively. The bearish signals of the timing models strengthened, with the XGB model bearish on all indices, and the OLS model bullish on the SSE 50 and CSI 300 and bearish on the CSI 500 and CSI 1000 [7]. 3.2 Bond Futures 3.2.1 This Week's Strategy Focus - In terms of basis and inter - period spreads, the basis of bond futures fluctuated narrowly this week, some contracts experienced CTD switching affected by new bonds, the IRR generally fluctuated at a high level, and the inter - period spread mainly declined. The uncertainty of the inter - period spread increased after a short - term rebound [55]. - For the futures timing strategy, the net value of the multi - factor timing strategy increased this week, and the strategy signals were mostly bullish, with the main bullish factors being the basis factor and high - frequency factor [55]. - In the futures cross - variety arbitrage strategy, the latest signal of the TS - T cross - variety arbitrage strategy was volatile, and the latest signal of the T - TL strategy was bearish [55]. - For the credit bond neutral strategy, the bond futures hedging pressure index based on far - month contracts continued to rebound, and the current credit bond duration rotation plus hedging strategy holds the 1 - 3 - year index with reduced duration and conducts bond futures hedging [55]. 3.3 Commodity CTA 3.3.1 Commodity Factor Performance - Last week, the domestic commodity market was affected by the conflict situation in the Middle East. Crude oil and related energy and chemical varieties mostly rose, and most commodity factors continued to rise. The term structure factors performed the best, with an average increase of over 1%, followed by the price - volume trend factors, with an average increase of over 0.5%. Only the warehouse receipt factors declined [75]. 3.3.2 Tracking Strategy Performance - Different tracking strategies had different performance indicators such as annualized return, Sharpe ratio, Calmar ratio, maximum drawdown, recent weekly return, and year - to - date return. For example, the CWFT strategy had an annualized return of 10.1%, a Sharpe ratio of 1.70, and a maximum drawdown of - 8.81%, with a recent weekly return of 0.11% and a year - to - date return of 3.76% [76].