金工策略周报-20251109

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - The stock index futures market is experiencing an upward trend with sector - specific contributions to the rise. The basis of stock index futures has weakened, and the deep discount pattern of IC and IM is expected to continue. For the bond futures market, the IRR of bond futures has declined, and the cross - period spread is oscillating strongly. The interest rate timing signal predicts a decline in interest rates. In the commodity market, the performance of various commodity factors and tracking strategies varies, and the overall commodity trend may be highly volatile due to external macro - factors [3][4][58]. Summary by Relevant Catalogs Stock Index Futures Market Review - The market is oscillating upwards. Different sectors contribute to the rise of different stock index futures, such as banks and electronics for the Shanghai Stock Exchange 50, and power equipment and banks for the CSI 300 [3]. - The trading volume of each variety has decreased month - on - month, and the basis has weakened. IH maintains a premium, IF a shallow discount, and IC and IM a deep discount [4]. Strategy Recommendations - Basis Strategy: When the market sentiment drives the discount to converge, pay attention to the opportunity to build positions for cross - period positive arbitrage. The roll - over strategy recommends going long on the near - term contract and short on the far - term contract [4]. - Arbitrage Strategy: Last week, cross - period arbitrage strategies made profits, with the annualized basis rate, positive arbitrage, and momentum factors earning 0.4%, 0.9%, and 0.8% respectively (6 - times leverage). The cross - variety arbitrage time - series synthetic strategy lost 0.3% last week. The latest signal recommends an empty position for the IC/IF pair and 100% long IM and short IC [5]. - Timing Strategy: The daily timing strategies generally made profits last week, with the Shanghai Stock Exchange 50 losing 0.6%, and the CSI 300, CSI 500, and CSI 1000 earning 1.1%, 1.1%, and 1.5% respectively. The timing model is bullish on the Shanghai Stock Exchange 50 and bearish on the CSI 500 and CSI 1000 [6]. Roll - over Return - The roll - over return of stock index futures varies by year and period. For example, in 2025, the Shanghai Stock Exchange 50 had a - 0.4% return for the current - month roll - over to the next - month contract [26]. Bond Futures Weekly Strategy Focus - Basis and Cross - Period: The IRR of bond futures has declined this week, and the cross - period spread is oscillating strongly. The positive arbitrage space is limited, and it is expected to maintain an oscillating trend [58]. - Interest Rate Timing and Hedging Signal: The interest rate timing signal predicts a decline in interest rates, with macro, production, inventory, and price factors all being bearish. High - duration varieties are recommended for hedging [58][59]. - Futures Timing Strategy: The multi - factor timing strategy signal is neutral, with the basis factor and high - frequency factor being bullish and the spread factor and volume - price factor being bearish [58]. - Futures Cross - Variety Arbitrage Strategy: The latest signals of the bond futures cross - variety arbitrage strategies TS - T and T - TL are neutral [58]. Commodity CTA Factor Performance - Last week, the performance of various commodity factors varied. The term - structure factors had an average increase of 0.2%, and some volume - price trend and position factors also rose. The value factor Val_halfyear had a large decline. The overall commodity trend may be highly volatile due to external macro - factors, and medium - to long - term trend - following CTA strategies may face risks [73][75]. Tracking Strategy Performance - Different tracking strategies have different performance indicators. For example, the CWFT strategy has an annualized return of 9.2%, a Sharpe ratio of 1.58, and a Calmar ratio of 1.05 [73].