期指长周期因子继续回升

1. Report Industry Investment Ratings - Investment rating for stock index futures: ★★★ [1] - Investment rating for treasury bond futures: ★★★ [1] 2. Core Viewpoints - As of the week ending September 12, the A - share market showed a trend of shrinking volume, oscillating, and rising. The average daily trading volume of the whole market was 2.33 trillion yuan, a decrease of 276.8 billion yuan from the previous week, and market trading sentiment declined. The average daily trading volume of stock index futures contracts decreased significantly compared with the previous week. The market sentiment maintained an optimistic tone, but the wait - and - see attitude in the capital aspect increased [1]. - In terms of high - frequency macro - fundamental factor scores, for stock index futures, the inflation indicator scored 7 points, the liquidity indicator scored 9 points, the valuation indicator scored 12 points, and the market sentiment indicator scored 10 points. For treasury bond futures, the inflation indicator scored 8 points, the liquidity indicator scored 11 points, and the market sentiment indicator scored 7 points. The premium of the main contract narrowed again, indicating that funds were optimistic about the future [1]. - The net value of the financial derivatives quantitative CTA strategy did not change compared with the previous week. In the long - term, the new credit scale in August was lower than expected and seasonality, while the social financing scale basically met expectations, and M1 and M2 were slightly higher than expected, which had a certain improvement effect on stock index futures, and treasury bond futures continued to be under pressure. In the short - term, the continuous decline of the US dollar index increased the contribution of the exchange rate to stock index futures. The capital side remained relatively loose, the margin balance remained high, and the overall market risk preference remained high. For stock index futures, the positions of IC and IM increased marginally, while IF and IH remained neutral, and the overall comprehensive signal was neutral to strong. For treasury bond futures, although the capital side remained loose, the market risk preference limited the upward space, the stock - bond seesaw effect was still obvious, the position factor weakened marginally, and institutions were still cautious about allocation behavior, with a neutral and oscillating comprehensive signal [1] 3. Summary by Relevant Catalogs 3.1 Macro - fundamental Medium - and High - frequency Factor Scores - Economic Momentum: The blast furnace开工率 (163 companies: national) decreased by 12.79% to 50.64, with a historical quantile of 0.14; the开工率 of PTA (domestic) decreased by 12.79% to 74.95, with a historical quantile of 0.14; the refining厂开工率 of Shandong local refineries (atmospheric and vacuum distillation unit) increased by 3.94% to 50.64, with a historical quantile of 0.09; the开工率 of automobile tires (all - steel tires) decreased by 2.13% to 65.59, with a historical quantile of 0.51; the开工率 of polyester filament downstream looms in the Jiangsu and Zhejiang regions increased by 12.45% to 62.42, with a historical quantile of 0.66. The stock index futures score was 8, and the treasury bond futures score was 0 [2] - Inflation Indicators: The wholesale price 200 - index of vegetable basket products increased by 0.05% to 119.16, with a historical quantile of 0.33; the CITIC industry index of coking coal increased by 0.94% to 2968.06, with a historical quantile of 0.31; the market price of 1 electrolytic copper (standard cathode copper) increased by 1.14% to 80945.00, with a historical quantile of 0.94; the Nanhua styrene index decreased by 1.21% to 1346.84, with a historical quantile of 0.05; the CITIC industry index of compound fertilizer increased by 2.66% to 1916.80, with a historical quantile of 0.99. The stock index futures score was 7, and the treasury bond futures score was 8 [3] - Liquidity: DR007 increased by 1.41% to 1.46, with a historical quantile of 0.03; DR001 increased by 3.67% to 1.36, with a historical quantile of 0.17; the weighted average of GC001 decreased by 2.45% to 1.35, with a historical quantile of 0.03; the weighted average of GC007 increased by 0.48% to 1.46, with a historical quantile of 0.01; the SHIBOR overnight increased by 3.88% to 1.37, with a historical quantile of 0.25; the SHIBOR 1 - week increased by 2.31% to 1.46, with a historical quantile of 0.04; the US dollar index decreased by 0.12% to 97.62, with a historical quantile of 0.03; the yield of inter - bank certificates of deposit (AAA: 1 - month) remained unchanged at 1.85, with a historical quantile of 0.01. The stock index futures score was 9 [4] - Index Valuation: The price - earnings ratio (TTM) increased by 1.83% to 22.25, with a historical quantile of 1.00; the price - sales ratio (TTM) increased by 1.73% to 1.64, with a historical quantile of 1.00; the dividend yield (in the past 12 months) decreased by 2.21% to 1.81, with a historical quantile of 0.01; the price - cash - flow ratio (operating cash flow TTM) increased by 1.72% to 7.08, with a historical quantile of 0.51. The stock index futures score was 10 [5] - Market Sentiment: Stock Index: The margin balance increased by 2.31% to 23236.61, with a historical quantile of 1.00; the short - selling balance increased by 6.32% to 167.47, with a historical quantile of 0.35; the net purchase amount of northbound funds was - 67.75, unchanged from the previous week, with a historical quantile of 0.05; the selling amount of northbound funds was 494.16, unchanged from the previous week, with a historical quantile of 0.20; the trading amount of A - shares on the Shanghai Stock Exchange increased by 9.51% to 8119.65, with a historical quantile of 0.98. The stock index futures score was 9 [6] - Market Sentiment: Bonds: The yield to maturity of 10 - year China Development Bank bonds increased by 7.95% to 2.03, with a historical quantile of 0.27; the VIX index decreased by 2.77% to 14.76, with a historical quantile of 0.32; the median credit spread remained unchanged at 53.38, with a historical quantile of 0.03; the trading volume of the Shanghai Treasury Bond Index decreased by 53.32% to 23.44, with a historical quantile of 0.66. The treasury bond futures score was 7 [7] 3.2 Strategy Introduction - Multi - strategy Model for Stock Index and Treasury Bond Futures: The variety pool includes stock index futures and treasury bond futures. The short - term model focuses on market style, external factors, and high - frequency financial data of the capital side, while the long - term model focuses on market expectations and low - frequency macro - economic data. The position is synthesized by considering institutional long and short positions [16] - Treasury Bond Futures Cross - variety Arbitrage Strategy: This 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, which decomposes the interest - rate term structure into level, slope, and curvature. The three - factor model is constructed by PCA principal component analysis, the maximum - variance factor rotation method, and logistic regression. The signals are divided into three types: '1' (the spread may decrease), '0' (the spread change trend is uncertain or oscillating), and '- 1' (the spread may increase). The trend regression model is used to filter signals, and transactions are made when there is resonance. In actual operation, the 10 - 5Y spread is adjusted with a duration - neutral ratio of 1:1.8 [20] 3.3 Signal and Performance - Last Week's Prediction Signals: For short - term models, the signals of IF, IH, IC, IM, T, and TF main contracts were 0.52, 0.51, 0.53, 0.53, 0.52, and 0.51 respectively; for position indicators, all were 0; for long - term models, the signals were 0.53, 0.51, 0.52, 0.53, 0.51, and 0.5 respectively; the comprehensive signals were 0.53, 0.52, 0.53, 0.54, 0.51, and 0.5 respectively [17] - Last Week's Situations: From September 5 to September 11, 2025, the signals of IF, IH, IC, IM, T, and TF main contracts were all 0 [19] - TF and T Main Contract Trading Signals: From September 5 to September 11, 2025, the N - S model signals were 0, - 1, 0, 0, 0 respectively, and the trend regression model signals were 0, 0, 0, 0, 0 respectively [23]