金融工程周报：期指长周期因子小幅下降-20251229

Report Investment Ratings - Index Futures: ★★★ [1] - Treasury Bond Futures: ★★★ [1] Core Views - As of the week ending December 26, index futures showed divergence. IH2601 rose 1.45%, IF2601 rose 2.79%, IC2601 rose 4.86%, and IM2601 rose 4.97%. Sectors such as satellite communications and new energy were strong. The market is currently being repaired by capital sentiment, and major broad-based indexes are approaching previous highs [1]. - From the high-frequency macro fundamental factor scores, for index futures, inflation indicator scored 8 points, liquidity indicator scored 9 points, valuation indicator scored 11 points, and market sentiment indicator scored 9 points. For treasury bond futures, inflation indicator scored 8 points, liquidity indicator scored 9 points, and market sentiment indicator scored 5 points [1]. - The weighted annualized basis rate (dividend - adjusted) of the ending positions of IH, IF, IC, and IM were 1.05%, - 1.36%, - 3.5%, and - 6.52% respectively, and the discount of far - month contracts narrowed compared to last week [1]. - The net value of the financial derivatives quantitative CTA strategy rose 0.92% last week, with the profit coming from opening a long position in IC on Thursday and closing it. In the long - term, industrial enterprise profits at the production end showed an over - seasonal decline, with relatively large declines in IF and IH, and relatively small changes in treasury bond futures. In the short - term, medium - and high - frequency real estate and consumption remained weak, the RMB continued to appreciate against the US dollar, the capital situation remained relatively loose, but the short - term increase was relatively limited [1]. Summary by Directory Macro Fundamental Medium - and High - Frequency Factor Scores - Among economic kinetic energy indicators, the blast furnace开工率 decreased by 3.11%, the开工率 of PTA in China decreased by 3.11%, the refining plant开工率 in Shandong increased by 4.98%, etc. Both index futures and treasury bond futures scored 8 points [2]. Inflation Indicators - The vegetable basket product wholesale price 200 index decreased by 0.64%, the price of 1 electrolytic copper increased by 4.61%, etc. Both index futures and treasury bond futures scored 8 points [3]. Liquidity - DR007 increased by 5.72%, DR001 decreased by 1.18%, etc. Index futures scored 9 points [4]. Index Valuation - The price - earnings ratio (TTM) increased by 1.37%, the price - sales ratio (TTM) increased by 1.38%, etc. Index futures scored 10 points [5]. Market Sentiment: Index - The margin trading balance increased by 1.58%, the securities lending balance increased by 1.04%, etc. Index futures scored 9 points [6] Market Sentiment: Bonds - The 10 - year CDB bond yield increased by 0.74%, the US S&P 500 volatility index decreased by 8.79%, etc. Treasury bond futures scored 5 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 data, while the long - term model focuses on market expectations and macroeconomic data. The position indicator is synthesized based on institutional long and short positions [15]. Forecast Signals as of Last Friday - The comprehensive signals of IF, IH, IC, IM, T, and TF were 0.52, 0.51, 0.53, 0.51, 0.51, and 0.5 respectively [16]. Last Week's Situation - The trading signals of different contracts on different days last week are presented in the table, with some days having no signals and some days having signals for specific contracts [18] 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 factor uses the instantaneous forward - rate function proposed by Nelson and Siegel. The actual operation uses a 1:1.8 ratio to adjust the 10 - 5Y spread [19] TF and T Main Contract Trading Signals - From December 22 to December 26, 2025, the N - S model and trend regression model signals for TF and T main contracts were mostly 0, with a - 1 signal from the N - S model on December 25 [22]