Report Industry Investment Rating No relevant content provided. Core Views - Last week, all Treasury bond futures contracts closed higher, with the 30-year, 10-year, 5-year, and 2-year main contracts rising by 0.26%, 0.27%, 0.22%, and 0.05% respectively. The basis of each variety was differentiated, and the overall market sentiment remained bearish. T was close to the upper edge of the shock range, with limited room for further increase, while TL was more likely to continue to be under pressure [6]. - Last week, the domestic commodity market was relatively balanced in terms of the number of rising and falling varieties. Silver and tin led the gains, with increases of over 20%, while caustic soda and glass led the declines. Except for the relatively poor returns of the basis and warehouse receipt factors, other types of commodity factors had varying degrees of increase. The volatility of commodity factor returns was rising, and investors were advised to pay attention to several types of commodity factors with long-term expected return capabilities and adopt a balanced allocation method to prevent risks [24][27]. Summary by Relevant Catalogs Treasury Bond Futures Market Review - Last week, all Treasury bond futures contracts closed higher, with the 30-year, 10-year, 5-year, and 2-year main contracts rising by 0.26%, 0.27%, 0.22%, and 0.05% respectively [6]. - The basis of each variety was differentiated. The CTD bond of the 10-year Treasury bond was 250018, and the basis on the 16th was about 0.05 yuan, slightly lower than the seasonal level; the CTD bond of the 30-year Treasury bond was 210005, and the basis on the 16th was 0.22 yuan, lower than the seasonal level [6]. - The overall market sentiment remained bearish. The slight warming of sentiment drove the strength of varieties such as T, TF, and TS, but T was close to the upper edge of the shock range, with limited room for further increase; TL was more likely to continue to be under pressure [6]. Treasury Bond Futures Factor Analysis - For the 10-year Treasury bond, ranked by Sharpe ratio, the factors were the basis factor, risk assets, and member positions, with Sharpe ratios in 2025 of 1.68, 1.93, and 0.59 respectively [6][17]. - For the 5-year Treasury bond, ranked by Sharpe ratio, the factors were high-frequency capital flow, intraday volume-price, risk assets, member positions, and the basis factor, with Sharpe ratios in 2025 of 2.51, 2.27, 1.71, 1.33, and 0.78 respectively [6][18]. - For the 2-year Treasury bond, ranked by Sharpe ratio, the factors were high-frequency capital flow, the basis factor, intraday volume-price, and member positions, with Sharpe ratios in 2025 of 2.45, 1.82, 1.59, and 0.82 respectively [6][19]. Commodity Factor Performance - Last week, the domestic commodity market was relatively balanced in terms of the number of rising and falling varieties. Silver and tin led the gains, with increases of over 20%, while caustic soda and glass led the declines [24][27]. - Except for the relatively poor returns of the basis and warehouse receipt factors, other types of commodity factors had varying degrees of increase. The volume-price trend factors rose by an average of about 2.0%, and the term structure factors also had an increase of over 0.5% [24][27]. - The volatility of commodity factor returns was rising, and investors were advised to pay attention to several types of commodity factors with long-term expected return capabilities and adopt a balanced allocation method to prevent risks [24][27]. Tracking Strategy Performance - The CWFT strategy had an annualized return of 9.2%, a Sharpe ratio of 1.58, a Calmar ratio of 1.05, a maximum drawdown of -8.81%, a return of 0.19% last week, and a return of 0.21% since the beginning of this year [25]. - The C_frontnext & Short Trend strategy had an annualized return of 11.3%, a Sharpe ratio of 1.72, a Calmar ratio of 1.69, a maximum drawdown of -6.72%, a return of -0.05% last week, and a return of 0.41% since the beginning of this year [25]. - The Long CWFT & Short CWFT strategy had an annualized return of 12.0%, a Sharpe ratio of 1.36, a Calmar ratio of 0.92, a maximum drawdown of -13.07%, a return of -0.27% last week, and a return of 0.26% since the beginning of this year [25]. - The CS XGBoost strategy had an annualized return of 5.5%, a Sharpe ratio of 0.92, a Calmar ratio of 0.29, a maximum drawdown of -18.84%, a return of -1.05% last week, and a return of -2.50% since the beginning of this year [25]. - The RuleBased TS Sharp-combine strategy had an annualized return of 11.9%, a Sharpe ratio of 1.55, a Calmar ratio of 1.43, a maximum drawdown of -8.26%, a return of 1.04% last week, and a return of 0.46% since the beginning of this year [25]. - The RuleBased TS XGB-combine strategy had an annualized return of 11.5%, a Sharpe ratio of 2.01, a Calmar ratio of 2.57, a maximum drawdown of -4.49%, a return of 0.08% last week, and a return of -1.30% since the beginning of this year [25]. - The CS strategies, EW combine strategy had an annualized return of 12.6%, a Sharpe ratio of 1.79, a Calmar ratio of 1.70, a maximum drawdown of -7.38%, a return of -0.01% last week, and a return of 0.61% since the beginning of this year [25]. - Among the above six strategies, the CWFT strategy performed the best last week, with a return of 0.19%; the C_frontnext & Short Trend strategy performed the best since the beginning of this year, with a return of 0.41% [46]. - The equal-weight composite strategy of the above cross-sectional strategies (equal-weighted weekly returns) had an annualized return of 12.6%, a Sharpe ratio of 1.79, a Calmar ratio of 1.70, a maximum drawdown of -7.38%, a return of -0.01% last week, and a return of 0.61% since the beginning of this year [46].
金工策略周报-20260118
Dong Zheng Qi Huo·2026-01-18 13:24