金融工程周报：期指长周期因子上升-20260105

Report Investment Ratings - Stock index: ☆☆☆ [1] - Treasury bond: ☆☆☆ [1] Core Views - As of the week ending December 31, the performance of the four major stock index futures was divergent, with IC and IH rising by 0.39% and 0.90% respectively, while IF and IM falling by 0.08% and 0.01% respectively. At the industry level, sectors such as petroleum and petrochemicals, national defense and military industry, and media performed relatively well, while sectors such as public utilities, food and beverages, and power equipment lagged behind. The current market risk appetite continues to recover driven by capital sentiment [1]. - From the perspective of high - frequency macro - fundamental factor scores, for stock index futures, the inflation indicator scored 8 points, the liquidity indicator scored 7 points, the valuation indicator scored 11 points, and the market sentiment indicator scored 9 points. For treasury bond futures, the inflation indicator scored 8 points, the liquidity indicator scored 9 points, and the market sentiment indicator scored 6 points [1]. - The net value of the financial derivatives quantitative CTA strategy did not change last week, and no trading signals were generated. In the long - term, PMI showed expectations and over - seasonality, with relatively large rebounds in IC and IM, and a slight pressure decline in treasury bond T. In the short - term, medium - and high - frequency real estate and consumption remained weak, the RMB continued to appreciate against the US dollar, the current capital situation remained relatively loose, and the short - term divergence recently narrowed. In terms of positions, risk appetite remained high, with a marginal increase compared to the previous week. IF and IC remained relatively strong. The overall comprehensive signal was above the neutral range. For treasury bonds, the capital situation remained loose at the beginning of the year, and the short - term recovered. The stock - bond seesaw effect was not significant, the bond market was insensitive to fundamental feedback, TF and T showed divergence in the position factor, and the comprehensive signal was in a neutral oscillation [1]. Summary by Related Catalogs 1. Macro - fundamental Medium - and High - Frequency Factor Scores - Different economic kinetic energy indicators showed different weekly changes, current values, historical quantiles, and correlations with stock and treasury bond indices. For example, the blast furnace operating rate decreased by 0.96%, with a current value of 56.22 and a historical quantile of 0.12, and its correlations with stock and treasury bond indices were - 0.64 and - 0.90 respectively. Both stock index futures and treasury bond futures scored 8 points in this aspect [2]. 2. Inflation Indicators - Various inflation - related indicators had different weekly changes, current values, historical quantiles, and correlations with stock and treasury bond indices. For example, the price of 1 electrolytic copper increased by 1.54%, with a current value of 99,180.00 and a historical quantile of 0.99, and its correlations with stock and treasury bond indices were 0.62 and 0.65 respectively. Both stock index futures and treasury bond futures scored 8 points in this aspect [3]. 3. Liquidity - Different liquidity indicators showed different weekly changes, current values, historical quantiles, and correlations with stock and treasury bond indices. For example, DR007 decreased by 10.40%, with a current value of 1.43 and a historical quantile of 0.02, and its correlations with stock and treasury bond indices were - 0.46 and - 0.62 respectively. Stock index futures scored 7 points in this aspect [4]. 4. Index Valuation - Different index valuation indicators had different weekly changes, current values, historical quantiles, and correlations with stock indices. For example, the price - to - earnings ratio (PE) (TTM) increased by 0.41%, with a current value of 22.32 and a historical quantile of 0.97, and its correlation with stock indices was 0.98. Stock index futures scored 10 points in this aspect [5]. 5. Market Sentiment Stock Market Sentiment - Different stock market sentiment indicators showed different weekly changes, current values, historical quantiles, and correlations with stock indices. For example, the financing balance decreased by 0.02%, with a current value of 25,241.56 and a historical quantile of 0.99, and its correlation with stock indices was 0.88. Stock index futures scored 9 points in this aspect [6]. Bond Market Sentiment - Different bond market sentiment indicators had different weekly changes, current values, historical quantiles, and correlations with treasury bond indices. For example, the yield to maturity of 10 - year China Development Bank bonds increased by 1.39%, with a current value of 2.01 and a historical quantile of 0.33, and its correlation with treasury bond indices was - 0.96. Treasury bond futures scored 6 points in this aspect [7]. 6. Strategy Introduction - The variety pool includes stock index futures and treasury bond futures. The purpose is to use a multi - strategy model to optimize the allocation of contracts in the financial futures market to achieve stable net value growth. The short - term model focuses on market style, external factors, and capital situation in high - frequency financial data; the long - term model focuses on market expectations and low - frequency macro - economic data. The position is mainly synthesized by considering institutional long and short positions [17]. 7. Forecast Signals - As of last Friday, the short - term model, position indicator, long - term model, and comprehensive signals of different futures contracts (IF, IH, IC, IM, T, TF) were different. The comprehensive signal strength is weighted by three independent models (0 - 1). In principle, the top 2 contracts with a comprehensive signal strength greater than or equal to 0.6 are considered for long positions, and the bottom 2 contracts with a comprehensive signal strength less than or equal to 0.4 are considered for short positions. Due to the significant impact of position data on the roll - over before the delivery date, signals within 7 days before the delivery date are shielded [18]. 8. Treasury Bond Futures Cross - Variety Arbitrage Strategy Strategy Introduction - The cross - variety arbitrage strategy is mainly based on the signal resonance of the fundamental three - factor model and the trend regression model. The fundamental factors use the instantaneous forward - rate function proposed by Nelson and Siegel, which decomposes the interest - rate term structure into three parts: level, slope, and curvature. A PCA principal - component analysis, maximum - variance factor rotation method combined with logistic regression is used to construct the three - factor model, and the signals are divided into three types. In actual operation, a duration - neutral ratio of 1:1.8 is used to adjust the 10 - 5Y spread [21]. Market Quotes and Trading Signals - The trading signals of TF and T main contracts from December 25 to December 31, 2025, were different. For example, on December 30, the N - S model signal was 1, while the trend regression model signal was 0 [24].