金融工程周报：短周期风险偏好有所修复-20251201

1. Report Industry Investment Ratings - The investment ratings for stock indices and government bonds are ☆☆☆, indicating a relatively clear long/short trend and current appropriate investment opportunities [1] 2. Core Views of the Report - As of the week ending November 28, stock index futures showed differentiation. IH2512 rose 1.27%, IF2512 rose 2.67%, IC2512 rose 4.29%, and IM2512 rose 4.84%. The driving logic of policy and capital did not change significantly, overseas macro was relatively stable, domestic capital remained relatively loose, and overall risk appetite recovered [1] - The high - frequency macro - fundamental factor scores showed that for stock index futures, the inflation indicator scored 8 points, the liquidity indicator scored 9 points, the valuation indicator scored 11 points, and the market sentiment indicator scored 9 points. For government bond futures, the inflation indicator scored 8 points, the liquidity indicator scored 10 points, and the market sentiment indicator scored 7 points [1] - The net value of the financial derivatives quantitative CTA strategy rose slightly by 0.51% last week. In the long - term, most economic data in November showed weakening growth, and IF and IC were under pressure. In the short - term, high - frequency real estate and consumption remained weak, the RMB appreciated against the US dollar, and the capital remained relatively loose with a limited short - term increase. Risk appetite recovered compared to last week, with IF and IH remaining neutral and IC and IM rising significantly. The overall comprehensive signal was above neutral. For government bond futures, the capital remained loose, market risk appetite was conducive to bond market repair, but the stock - bond seesaw effect was not significant, and the comprehensive signal was in a neutral oscillation [1] 3. Summary by Related Catalogs 3.1 Macro - fundamental Medium - and High - frequency Factor Scores - Among economic kinetic factors, the blast furnace开工率 decreased by 1.68%, the开工率 of PTA in China decreased by 1.68%, the refining plant开工率 in Shandong increased by 7.92%, the开工率 of automobile tires decreased by 4.98%, and the开工率 of downstream looms in the polyester filament industry in the Jiangsu and Zhejiang regions increased by 5.67%. The stock index futures score was 8, and the government bond futures score was 0 [2] 3.2 Inflation Indicators - The vegetable basket product wholesale price 200 index rose 0.73%, the coking coal index rose 0.57%, the price of 1 electrolytic copper rose 0.92%, the South China styrene index rose 1.81%, the CIF price of liquefied natural gas in China remained unchanged, the compound fertilizer index rose 1.30%, and the settlement price of natural rubber rose 1.35%. The stock index futures and government bond futures scores were both 8 [3] 3.3 Liquidity - DR007 decreased by 0.24%, DR001 decreased by 1.17%, GC001 weighted average increased by 5.63%, GC007 weighted average decreased by 2.57%, SHIBOR overnight decreased by 0.68%, SHIBOR 1 - week increased by 0.48%, the US dollar index decreased by 0.76%, and the inter - bank certificate of deposit yield (AAA) for 1 - month remained unchanged. The stock index futures score was 9 [4] 3.4 Index Valuation - The price - earnings ratio (TTM) rose 1.66%, the price - sales ratio (TTM) rose 1.66%, the dividend yield (last 12 months) decreased by 2.15%, and the price - cash - flow ratio (operating cash flow TTM) rose 1.67%. The stock index futures score was 10 [5] 3.5 Market Sentiment: Stock Indices - The margin trading balance rose 0.46%, the short - selling balance rose 5.09%, the net purchase amount of northbound funds was unchanged, the selling amount of northbound funds was unchanged, and the Shanghai Stock Exchange A - share trading volume decreased by 26.01%. The government bond futures score was 9 [6] 3.6 Market Sentiment: Bonds - The yield of 10 - year China Development Bank bonds rose 1.65%, the VIX index of the US S&P 500 decreased by 30.22%, the credit spread (median) of all industrial bonds remained unchanged, and the trading volume of the Shanghai Stock Exchange government bond index rose 33.65%. The government bond futures score was 7 [7] 3.7 Strategy Introduction - The product pool includes stock index futures and government bond futures. The short - term model focuses on market style, external factors, and capital, while the long - term model focuses on market expectations and macro - economic data. The position volume is synthesized considering institutional long and short positions [17] 3.8 Forecast Signals - The short - term model 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 volume indicators were 0, 0, 1, 0, 0, and 0 respectively; the long - term model signals were 0.52, 0.5, 0.52, 0.51, 0.51, and 0.52 respectively; the comprehensive signals were 0.52, 0.51, 0.55, 0.5, 0.51, and 0.53 respectively [18] 3.9 Last Week's Situation - From November 24 to 28, the signals for IF, IH, IC, IM, T, and TF were mostly 0 [20] 3.10 Government Bond Futures Cross - variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the resonance of signals from the fundamental three - factor model and the trend regression model. The fundamental three - factor model uses the Nelson - Siegel instantaneous forward - rate function, and the signals are classified into three types: '1', '0', and '-1'. The trend regression model filters signals, and trading occurs when there is resonance. In practice, the 10 - 5Y spread is adjusted with a 1:1.8 ratio [21] 3.11 TF and T Main Contract Trading Signals - From November 24 to 28, the N - S model and trend regression model signals for TF and T main contracts were mostly 0, with the N - S model showing a signal of 1 on November 27 [24]