金融工程周报：期指长周期小幅回升-20251110

Report Investment Ratings - Index futures: ☆☆☆ [1] - Treasury bond futures: ☆☆☆ [1] Core Views - As of the week ending November 7, index futures showed divergence, with IH2511 down 0.89%, IC2511 up 1.47%, and IM2511 up 1.31%. The average daily trading volume in the entire market was 2.01 trillion yuan, a decrease of 313 billion yuan from the previous week, indicating a decline in market trading activity [1]. - From the perspective of 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 7 points, the liquidity indicator 10 points, and the market sentiment indicator 8 points [1]. - In terms of the term structure, the basis of each index futures contract declined collectively. The weighted annualized basis rates (after dividend adjustment) of the ending positions of IH, IF, IC, and IM were 0.28%, - 3.16%, - 11.12%, and - 14.41% respectively [1]. - The net value of the financial derivatives quantitative CTA strategy remained unchanged last week. In the long - term, inflation data outperformed expectations, which had a certain boosting effect on IC and IM, while Treasury bond futures were under pressure. In the short - term, the fundamentals of real estate and consumption were still weak, the exchange rate was in a low range, and the capital market remained relatively loose, showing a short - term low - level recovery. In terms of positions, IM showed a marginal recovery, IF and IH remained relatively neutral, and IC was relatively at a cross - sectional low. The overall comprehensive signal was in a neutral oscillation. For Treasury bond futures, the capital market remained loose, the market risk preference was conducive to the recovery of the bond market, the stock - bond seesaw effect was significant. Due to the unexpected inflation recovery, the position factor declined, and institutions were still cautious about allocation, with the comprehensive signal in a neutral oscillation [1]. Summary by Related Catalogs Macro - fundamental Medium - and High - Frequency Factor Scores - Some economic kinetic indicators showed different changes in the week, such as the blast furnace operating rate increasing by 1.41%, the PTA operating rate increasing by 1.41%, etc. The index futures scored 8 points, and the Treasury bond futures scored 0 points [2]. Inflation Indicators - Various inflation - related indicators had different weekly changes, such as the vegetable basket product wholesale price index rising 0.29%, the coking coal index rising 1.54%, etc. The index futures scored 8 points, and the Treasury bond futures scored 7 points [3]. Liquidity - Liquidity - related indicators like DR007 decreased by 0.40%, DR001 increased by 1.48%, etc. The index futures scored 9 points [4]. Index Valuation - Valuation indicators such as PE (TTM) increased by 0.33%, PS (TTM) increased by 0.33%, etc. The index futures scored 10 points [5]. Market Sentiment: Index - In terms of index market sentiment, the margin trading balance increased by 0.27%, the short - selling balance increased by 3.91%, etc. The Treasury bond futures scored 9 points [6]. Market Sentiment: Bond - Bond market sentiment indicators such as the 10 - year CDB bond yield increased by 0.77%, the S&P 500 volatility index increased by 9.40%, etc. The Treasury bond futures scored 8 points [7]. Strategy Introduction - The product pool includes index futures and Treasury bond futures. The short - term model focuses on market style, external factors, and capital market high - frequency financial data, while the long - term model focuses on market expectations and macro - economic low - frequency indicators. Positions are synthesized considering institutional long and short positions [16]. Forecast Signals - The short - term, long - term, and comprehensive signals of different futures contracts (IF, IH, IC, IM, T, TF) are provided, and the rules for determining long and short positions are given [17]. Treasury Bond Futures Cross - Variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the signal resonance of the fundamental three - factor model and the trend regression model. The fundamental three - factor model decomposes the interest rate term structure into three parts: level, slope, and curvature. The actual operation uses a 1:1.8 ratio for the 10 - 5Y spread adjustment [20]. Market Quotes and Trading Signals - The trading signals of TF and T main contracts from November 3 to November 7 are provided, including the signals from the N - S model and the trend regression model [23].