金融资金面跟踪：量化周报：贴水回升明显，量化超额预计回升-20250910

Investment Rating - The industry investment rating is "Recommended," indicating an expected increase in the industry index by more than 5% over the next 3-6 months compared to the benchmark index [15]. Core Insights - The report highlights a significant recovery in the discount rate, with expectations for quantitative excess returns to rebound [1]. - The average returns for various enhanced strategies from the beginning of the year show positive trends, with the 1000 enhanced strategy yielding an average return of +36.1% year-to-date [1]. - The report also notes the performance of different indices, with the Shanghai-Shenzhen 300 showing a year-to-date average daily trading volume of 3,424 billion, reflecting a 61.3% increase compared to the beginning of the year [3]. Summary by Sections Performance Metrics - The average returns for the 300 enhanced strategy are +1.5% weekly, +6.7% monthly, and +18.6% year-to-date, with excess returns of -1.3%, -2.3%, and +2.7% respectively [1]. - The average daily trading volume for the CSI 500 is 4,862 billion, with a year-to-date increase of 94% [3]. Sector Performance - The top three performing sectors this week are electrical equipment (+8.8%), non-ferrous metals (+4.1%), and pharmaceutical biology (+4%) [4]. - Year-to-date, the non-ferrous metals sector has increased by 48%, while the coal sector has decreased by 5.1% [4]. Market Conditions - The report indicates that the annualized discount rates for current contracts are +2.2%, +5.8%, and +7.1% for IF, IC, and IM respectively, placing them in the 50.9%, 36.2%, and 36.5% percentile of the past year [4].