金融工程周报：贵金属ETF收益表现梳理-20251229

Report Summary 1. Report Industry Investment Rating - No investment rating information is provided in the report. 2. Core Views - In the week ending December 26, 2025, the weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were 2.73%, 0.07%, and 4.00% respectively. The equity strategy in the public - fund market rebounded, the commodity - type ETFs strengthened, and the silver ETF net value increased significantly [3]. - The growth and cyclical styles performed strongly last week, while the consumer style declined slightly. The style timing model currently signals a preference for the consumer style [3]. - The neutral strategy shows that the basis of stock index futures continued to rise last week, and the average premium rate index of 500 and 1000 ETFs decreased [3]. - Among Barra factors, the medium - long - term momentum factor's return strengthened this week, and the valuation factor's excess return declined [3]. 3. Summary by Related Catalogs Market Returns - Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index had weekly returns of 2.73%, 0.07%, and 4.00% respectively. Public - fund strategies: the enhanced index strategy rose 2.82%, and the silver ETF had a weekly return of 17.43% [3]. Style Performance - Growth and cyclical styles were strong last week, consumer style declined slightly. Financial and growth funds had better excess performance. The market's deviation from growth and consumer styles slightly recovered. The congestion index increased compared to last week, with cyclical style fund congestion at a historical low and growth style at a historical medium - high level [3]. Neutral Strategy - The basis of stock index futures (futures - spot) continued to rise last week. IC and IM contract basis rose above 3 times the standard deviation of the average in the past three months. The average premium rate index of 500 and 1000 ETFs decreased and is currently at a medium - low level in the past three months [3]. Barra Factors - Medium - long - term momentum factor's return strengthened, valuation factor's excess return declined. The leverage factor's strength increased marginally, and the dividend factor weakened. The factor cross - section rotation speed decreased slightly and is currently at a medium level in the past year [3]. Style Timing - According to the style timing model, the growth style weakened marginally this week, and the signal favors the consumer style. Last week, the style timing strategy's return was 4.41%, with an excess return of 2.61% compared to the benchmark balanced allocation [3].