市场风险偏好继续修复

1. Report Industry Investment Ratings - Stock Index: ☆☆☆ [1] - Treasury Bonds: ☆☆☆ [1] 2. Core Views of the Report - As of the week ending June 27, the stock index rose significantly, with small and medium - cap stocks showing obvious gains, while the Shenzhen Component Index fell 1.16% weekly. The current stock market is mainly supported by loose capital and risk appetite, and the overall trading volume of the stock market has significantly recovered [1]. - From the perspective of high - frequency macro - fundamental factor scores, for stock index futures, the inflation indicator scored 7 points, the liquidity indicator scored 5 points, the valuation indicator scored 10 points, and the market sentiment indicator scored 8 points. For bond futures, the inflation indicator scored 7 points, the liquidity indicator scored 6 points, and the market sentiment indicator scored 9 points [1]. - The rapid convergence of the discount in the term structure may indicate an increase in the bullish power of the market and is also related to the correction of style drift at the end of the quarter. It is expected that as the neutral strategy increases again after obtaining a low hedging cost with the season change, the discount is expected to deepen again [1]. - The net value of the financial derivatives quantitative CTA strategy increased by 0.35% last week, mainly due to holding TF long positions on Thursday and Friday. In the long - term, the decline in industrial enterprise profits exerts some pressure on IC and IF, but the overall impact weight is not large. In the short - term, as the US dollar fluctuates downward, the pressure on interest rate spreads and exchange rates decreases, and the impact weight of the capital side on stock index futures continues to rise [1]. 3. Summary by Relevant Catalogs 3.1 Macro - Fundamental Medium - and High - Frequency Factor Scores - Economic kinetic energy indicators such as blast furnace开工率, PTA开工率, etc. have different weekly changes, historical quantiles, and correlations with stock and bond indexes. The stock index futures score is 7, and the bond futures score is 0 [2]. 3.2 Inflation Indicators - Various inflation - related indicators such as the vegetable basket product wholesale price index, coking coal index, etc. have different weekly changes, historical quantiles, and correlations with stock and bond indexes. Both stock index futures and bond futures scores for inflation are 7 [3]. 3.3 Liquidity - Liquidity indicators such as DR007, DR001, etc. have different weekly changes, historical quantiles, and correlations with stock and bond indexes. The stock index futures score for liquidity is 5 [4]. 3.4 Index Valuation - Index valuation indicators such as PE, PS, etc. have different weekly changes, historical quantiles, and correlations with the stock index. The stock index futures score for index valuation is 9 [5]. 3.5 Market Sentiment: Stock Index - Market sentiment indicators for the stock index such as margin trading balances, trading volumes, etc. have different weekly changes, historical quantiles, and correlations with the stock index. The bond futures score for stock - market sentiment is 8 [6]. 3.6 Market Sentiment: Bond - Market sentiment indicators for bonds such as the yield of 10 - year government bonds, credit spreads, etc. have different weekly changes, historical quantiles, and correlations with the bond index. The bond futures score for bond - market sentiment is 9 [7]. 3.7 Strategy Introduction - The variety pool includes stock index futures and treasury bond futures. The short - term model focuses on market style, external factors, and capital - related high - frequency financial data, while the long - term model focuses on market expectations and low - frequency macro - economic data. The position volume is synthesized by considering institutional long and short positions [17]. 3.8 Prediction Signals - The short - term model, position volume indicator, long - term model, and comprehensive signals for IF, IH, IC, IM, T, and TF are provided. The comprehensive signal strength is synthesized by weighting the signals of three independent models (0 - 1) [18]. 3.9 Last Week's Situation - The positions of IF, IH, IC, IM, T, and TF last week are presented, and the net value is tracked [20]. 3.10 Treasury Bond Futures Cross - Variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the signal resonance of the fundamental three - factor model and the trend regression model. The fundamental factor uses the instantaneous forward - rate function proposed by Nelson and Siegel, and the model is constructed using PCA, factor rotation, and logistic regression. The signals are divided into three categories: '1', '0', and '- 1'. In actual operation, the 10 - 5Y spread is adjusted with a duration - neutral ratio of 1:1.8 [21]. 3.11 Market Quotes and Trading Signals - The trading signals of TF and T main contracts from June 23 to June 27 are provided, showing the signals from the N - S model and the trend regression model [24].