金工策略周报-20250928

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The market style is differentiated. The Shanghai 50, CSI 300, and CSI 500 rose, while the CSI 1000 fell. The electronics sector contributed the main gains to the indices, while the food and beverage, non - banking, and pharmaceutical and biological sectors contributed the main losses to the Shanghai 50, CSI 300, CSI 500, and CSI 1000 respectively [3]. - The trading volume of each futures variety decreased compared to the previous period. The basis of IH and IF strengthened, while that of IC and IM weakened, with IC and IM maintaining a deep discount. It is expected that the deep discount pattern of IC and IM will continue, and opportunities for inter - period positive arbitrage should be considered when the discount converges driven by market sentiment. The roll - over strategy recommends going long on the near - term contract and short on the far - term contract [4]. - For the bond futures this week, the IRR of bond futures has declined, and the inter - period spread has fluctuated strongly. The interest rate timing signal predicts a decline in interest rates, and high - duration varieties are recommended for hedging. The multi - factor timing strategy signal for futures is neutral, and the cross - variety arbitrage strategy signals for bond futures are also neutral [73]. - Last week, caustic soda and polysilicon had the largest declines among single - varieties, while gold, crude oil, and fuel oil, which were affected by external macro factors, had the largest increases. Most commodity factors gained positive returns last week, with value and volatility factors leading the gains, followed by price - volume trend and term structure factors. In the short term, factor and strategy returns may still face fluctuations [86]. 3. Summary by Directory 3.1 Stock Index Futures Market Review - Market style is differentiated, with different sectors contributing to index gains and losses [3]. - Trading volume of each variety decreased, and basis structures of different varieties showed different trends [4]. 3.2 Stock Index Futures Basis Strategy - The current hedging demand in stock index futures is mainly short - side. It is expected that the deep discount of IC and IM will continue. Consider inter - period positive arbitrage when the discount converges, and recommend the long - near and short - far roll - over strategy [4]. 3.3 Stock Index Futures Arbitrage Strategy - Inter - period arbitrage strategy: The net value fluctuated last week. The annualized basis rate, positive arbitrage, and momentum factors had returns of 0.1%, 0.1%, and - 0.1% respectively (6 - times leverage). The annualized basis rate factor mostly gave reverse - arbitrage signals [5]. - Cross - variety arbitrage strategy: The net value of the cross - variety timing synthetic strategy gained 0.9% last week. The latest signal recommends 100% long IC and short IF, and 100% long IC and short IM [6]. 3.4 Stock Index Futures Timing Strategy - Daily timing strategy: Each model generally gained last week. The single - factor equal - weight, OLS, and XGB models gained 0.2%, 0.4%, and 0.2% respectively. The latest signals of the timing models show an enhanced short - side signal, with different views on different indices [7]. 3.5 Stock Index Futures Roll - over Return Tracking - Historical roll - over returns of different indices (Shanghai 50, CSI 300, CSI 500, and CSI 1000) from 2018 to 2025 and in the recent month and week are presented, showing different trends [27]. 3.6 Bond Futures Strategy - Basis and inter - period: The IRR of bond futures declined this week, and the inter - period spread fluctuated strongly. The positive arbitrage space is limited, and it is expected to move in a range [73]. - Interest rate timing and hedging: The interest rate timing signal predicts a decline in interest rates, and high - duration varieties are recommended for hedging [73]. - Futures timing strategy: The multi - factor timing strategy signal is neutral, with different factors having different views [73]. - Futures cross - variety arbitrage strategy: The signals of the bond futures cross - variety arbitrage strategies TS - T and T - TL are neutral [73]. 3.7 Commodity Factor and Strategy Performance - Commodity factor performance: Last week, caustic soda and polysilicon had large declines, while gold and crude oil had large increases. Most commodity factors gained positive returns, with value and volatility factors leading the gains [86]. - Tracking strategy performance: Different strategies (CWFT, C_frontnext & Short Trend, etc.) have different annualized returns, Sharpe ratios, Calmar ratios, and maximum drawdowns, and their performances in the recent week and this year also vary [87].