金融工程周报：期债持仓量小幅回落-20251103

Report Industry Investment Ratings - Index Futures: ☆☆☆ [1] - Treasury Bond Futures: ☆☆☆ [1] Core Views - As of the week ending October 31, index futures rose, with this week showing differentiation. IH2511 decreased by 0.89%, while IC2511 and IM2511 increased by 1.47% and 1.31% respectively. The basis of large - and small - cap index futures showed differentiation last week, reflecting investors' trading divergence. The valuation of the Shanghai Stock Exchange 50 Index is in the high historical quantile range [1]. - From the high - frequency macro - fundamental factor scores, for index futures, the inflation indicator scored 8 points, the liquidity indicator 9 points, the valuation indicator 11 points, and the market sentiment indicator 9 points. For treasury bond futures, the inflation indicator scored 8 points, the liquidity indicator 10 points, and the market sentiment indicator 8 points [1]. - The net value of the financial derivatives quantitative CTA strategy increased by 0.92% last week, with the gain coming from opening a long position in IC on Wednesday and closing it intraday. In the long - term, the PMI unexpectedly declined, which has a negative impact on IF and IM. In the short - term, the real estate and consumption data remain weak, the exchange rate is in a low range, and the capital situation remains relatively loose, showing a short - term low - level rebound [1]. - In terms of positions, IC and IM increased marginally, while IF and IH remained neutral. The overall market risk appetite decreased compared to the beginning of the week, and the overall comprehensive signal is in a neutral oscillation. For treasury bond futures, the capital situation remains loose, the market risk appetite is conducive to bond market recovery, the stock - bond seesaw effect is significant, the position factor rebounded, but institutions are still cautious about allocation, and the comprehensive signal is above neutral [1]. Summary by Related Content Macro - fundamental High - frequency Factor Scores - Economic Momentum: The blast furnace operating rate and PTA operating rate increased by 1.37%, while the refinery operating rate in Shandong decreased by 1.18%, and the all - steel tire operating rate decreased by 0.02%. The operating rate of downstream looms for polyester filament in the Jiangsu and Zhejiang regions increased by 6.46%. The index futures score was 7, and the treasury bond futures score was 0 [2]. - Inflation Indicators: The vegetable basket product wholesale price index increased by 1.20%, while the coking coal index decreased by 0.91%. The market price of 1 electrolytic copper decreased by 0.57%. The South China Styrene Index decreased by 0.08%. The CIF price of liquefied natural gas in China remained unchanged. The compound fertilizer index increased by 2.61%. The settlement price of natural rubber decreased by 0.88%. Both index futures and treasury bond futures scored 8 [3]. - Liquidity: DR007 increased by 3.13%, while DR001 decreased by 0.28%. The weighted average of GC001 decreased by 3.13%, and that of GC007 decreased by 5.85%. SHIBOR overnight increased by 0.08%, and SHIBOR 1 - week increased by 1.77%. The US dollar index increased by 0.80%. The inter - bank certificate of deposit yield (AAA) for 1 - month remained unchanged. The index futures score was 9 [4]. - Index Valuation: The price - earnings ratio (TTM) decreased by 3.33%, the price - sales ratio (TTM) decreased by 1.60%, the dividend yield (last 12 months) increased by 0.72%, and the price - cash - flow ratio (operating cash flow TTM) increased by 6.28%. The index futures score was 10 [5]. - Market Sentiment (Index): The margin trading balance increased by 1.19%, the short - selling balance increased by 0.63%. The net purchase amount of northbound funds was unchanged at - 67.75, and the selling amount was unchanged at 494.16. The trading volume of A - shares on the Shanghai Stock Exchange increased by 23.53%. The treasury bond futures score was 9 [6]. - Market Sentiment (Bond): The yield to maturity of 10 - year China Development Bank bonds decreased by 3.51%, the S&P 500 Volatility Index increased by 6.54%. The credit spread (median) of all industrial bonds remained unchanged. The trading volume of the Shanghai Treasury Bond Index decreased by 3.79%. The treasury bond futures score was 8 [7]. Strategy Introduction - The product pool includes index futures and treasury bond futures. The goal is to use a multi - strategy model to allocate contracts in the financial futures market for stable net value growth. The short - term model focuses on market style, external factors, and capital flow, while the long - term model focuses on market expectations and macro - economic data. The position is calculated based on institutional long and short positions [16]. Prediction Signals - According to the short - term model, the prediction signals for IF, IH, IC, IM, T, and TF were 0.51, 0.51, 0.52, 0.53, 0.53, and 0.52 respectively. The position indicators were all 0. According to the long - term model, the signals were 0.52, 0.51, 0.52, 0.53, 0.5, and 0.51 respectively. The comprehensive signals were 0.53, 0.51, 0.53, 0.52, 0.52, and 0.51 respectively [17]. Last Week's Situation - From October 27 to October 31, 2025, the signals for IF, IH, IC, IM, T, and TF were mostly 0, except that IC had a signal of 1 on October 29 [19]. Treasury Bond Futures Cross - variety Arbitrage Strategy - Strategy Introduction: 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. The signals are divided into three types: '1' (the spread may decrease), '0' (the spread trend is uncertain or oscillating), and '-1' (the spread may increase). The trend regression model is used to filter signals, and trades are made when there is resonance. In practice, a duration - neutral ratio of 1:1.8 is used to adjust the 10 - 5Y spread [20]. - Market Quotes and Trading Signals: From October 27 to October 31, 2025, the N - S model and trend regression model signals for TF and T were mostly 0, except that the N - S model signal for TF and T was - 1 on October 28 [23].