期债长周期边际下降

Report Industry Investment Rating - Stock index: ☆☆☆ [1] - Treasury bond: ☆☆☆ [1] Core Viewpoints - As of the week ending August 8, stock index futures rose, with IH2508 up 1.07%, IF2508 up 1.31%, IC2508 up 2.04%, and IM2508 up 2.79%. The current capital situation and bullish sentiment remain strong. Even if there is a short - term correction due to a marginal weakening of the driving force, the correction space is often limited [1]. - The net value of the financial derivatives quantitative CTA strategy rose 0.42% last week, with profits coming from going long on IC on Monday and shorting T on Wednesday. In the long - term, inflation has little difference from expectations but suppresses treasury bond futures, with PPI slightly lower than expected. In the short - term, the exchange - rate pressure from the US dollar still exists, the capital situation remains relatively loose, the margin balance has increased, and the overall market risk appetite remains high [1]. - In terms of positions, IF and IH have a marginal decline, while IC and IM remain neutral. The overall comprehensive signal is neutral and oscillating. For treasury bond futures, there was a slight rebound in the capital situation at the beginning of the month, but with the recovery of market risk appetite, the stock - bond seesaw rotation is obvious, the position factor weakens marginally, and institutions are still cautious about allocation behavior, with the comprehensive signal being neutral and oscillating [1]. Summary by Related Catalogs Macro - fundamental Medium - and High - Frequency Factor Scores - Economic Kinetic Energy: The blast furnace operating rate, PTA operating rate, and Shandong refinery operating rate increased by 1.35%, 1.35%, and 7.06% respectively, while the operating rate of automobile tires and polyester filament downstream looms decreased by 6.95% and 5.93%. The stock index score is 8, and the treasury bond score is 0 [2]. - Inflation Indicators: Some inflation indicators such as the vegetable basket product wholesale price index and coking coal index rose, while others like the 1 electrolytic copper price and styrene index fell. The stock index score is 7, and the treasury bond score is 8 [3]. - Liquidity: DR007 increased by 0.06%, while DR001, GC001, GC007, SHIBOR overnight, and SHIBOR 1 - week decreased. The stock index score is 9 [4]. - Index Valuation: The price - earnings ratio, price - sales ratio, and price - cash - flow ratio increased, while the dividend yield decreased. The stock index score is 10 [5]. - Market Sentiment - Stock Index: The margin balance increased by 1.48%, and the short - selling balance increased by 4.19%. The stock index score is 9 [6]. - Market Sentiment - Bond: The yield of 10 - year CDB bonds increased by 0.91%, and the S&P 500 volatility index decreased by 25.66%. The treasury bond score is 8 [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 situation, while the long - term model focuses on market expectations and macro - economic data. The position is synthesized by considering institutional long and short positions [17]. - The comprehensive signal strength is weighted by the signals of three independent models (0 - 1). Contracts with the top 2 comprehensive signal strengths greater than or equal to 0.6 are considered for long positions, and those with the bottom 2 less than or equal to 0.4 are considered for short positions. Position data within 7 days before delivery is shielded [18]. Last Week's Situation - For the IF, IH, IC, IM, T, and TF main contracts, the trading signals on different days from August 4 to August 8 are shown in the table, with some days having long, short, or no trading signals [20]. 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 factors use the instantaneous forward - rate function proposed by Nelson and Siegel, which decomposes the interest - rate term structure into level, slope, and curvature. Signals are divided into three types: '1' (large spread may decrease), '0' (uncertain spread change trend or oscillation), and '-1' (large spread may increase). The trend regression model is used to filter signals, and trading occurs when there is resonance. In actual operation, a duration - neutral ratio of 1:1.8 is used to adjust the 10 - 5Y spread [21]. - For the TF and T main contracts from August 4 to August 8, the N - S model signals and trend regression model signals are shown in the table, with some days having different signals [24].