金工策略周报-20251228

Group 1: Report Information - Report Name: Golden Industrial Strategy Weekly Report - Analysts: Li Xiaohui (Chief Analyst), Xu Fan (Senior Analyst) - Qualification Numbers: Li Xiaohui (F03120233, Z0019676), Xu Fan (F03107676, Z0022032) [1][2] Group 2: Treasury Bond Futures Analysis Market Review - Last week, all four treasury bond futures varieties rose first and then fell. The 30 - year, 10 - year, 5 - year, and 2 - year main contracts were reported at 112.47 yuan, 107.985 yuan, 105.82 yuan, and 102.464 yuan respectively. The basis declined, the IRR continued to rise, and the inter - period spread was volatile and strong [3]. Timing Strategy - Ten - year Treasury Bonds: Based on this year's performance, ranked by Sharpe ratio, the factors are basis factor, risk asset, and member position, with Sharpe ratios in 2025 of 1.68, 1.93, and 0.59 respectively [3][13]. - Five - year Treasury Bonds: Based on this year's performance, ranked by Sharpe ratio, the factors are high - frequency fund flow, intraday volume - price, risk asset, member position, and basis factor, with Sharpe ratios in 2025 of 2.51, 2.27, 1.71, 1.33, and 0.78 respectively [3][14]. - Two - year Treasury Bonds: Based on this year's performance, ranked by Sharpe ratio, the factors are high - frequency fund flow, basis factor, intraday volume - price, and member position, with Sharpe ratios in 2025 of 2.45, 1.82, 1.59, and 0.82 respectively [3][15]. Group 3: Commodity CTA Factor and Tracking Strategy Analysis Commodity Factor Performance - Last week, domestic commodities generally showed a strong trend, with the comprehensive index having a prominent weekly increase. Precious metals, non - ferrous metals, and some energy - chemical varieties had high upward intensities, and silver and lithium carbonate both had huge increases of over 17%. The overall profitability of commodity factors recovered. Except for the basic factors such as basis and warehouse receipts with basically flat weekly returns, other types of factors increased to varying degrees, especially the volume - price trend factors, mainly due to the recent rise in market sentiment, and the price trend deviated from the fundamental expectations to some extent. Commodity factors still have long - term expected return capabilities, and the overall performance of commodity factors is still optimistic in the medium - to - long term. However, recent market fluctuations may intensify the strategy's volatility risk, and investors are advised to adopt a balanced allocation approach to prevent risks [20][23]. Tracking Strategy Performance | Strategy Name | Annualized Return | Sharpe Ratio | Calmar | Max Drawdown | Recent One - Week Return | YTD Return | | --- | --- | --- | --- | --- | --- | --- | | CWFT | 9.3% | 1.59 | 1.06 | - 8.81% | 0.92% | 4.70% | | C_frontnext & Short Trend | 11.4% | 1.73 | 1.70 | - 6.72% | 0.33% | 4.19% | | Long CWFT & Short CWFT | 12.1% | 1.35 | 0.92 | - 13.07% | 1.71% | 0.49% | | CS XGBoost | 6.0% | 1.01 | 0.36 | - 16.70% | - 0.09% | - 9.13% | | RuleBased TS Sharp - combine | 12.0% | 1.57 | 1.45 | - 8.26% | 0.39% | 10.83% | | RuleBased TS XGB - combine | 11.9% | 2.08 | 2.65 | - 4.49% | - 0.28% | 8.39% | | CS strategies, EW combine | 12.6% | 1.79 | 1.71 | - 7.38% | 0.89% | - 2.10% | [21] Strategy Comparison - Among the above six strategies, Long CWFT & Short CWFT performed best last week with a return of 1.71%, and CWFT performed best this year with a return of 4.70% [42].