金工策略周报-20260125

1. Report Industry Investment Rating - No relevant information provided. 2. Core Viewpoints - Last week, all Treasury bond futures contracts closed higher, with the 30 - year, 10 - year, 5 - year, and 2 - year main contracts rising by 1.24%, 0.14%, 0.09%, and 0.02% respectively. The basis of each variety widened. The sentiment slightly recovered, driving the strength of each Treasury bond variety. With the continuous policy support since the beginning of the year and the overall stable economic operation, the short - term upward momentum is strong, and the core factors such as intraday technology and basis are still dominated by bulls [6]. - In the domestic commodity market last week, there were more rising varieties. The top risers were lithium carbonate, styrene, silver, PTA, synthetic rubber and other precious metals and some energy - chemical products, while the biggest decliners were caustic soda, glass, and coking coal, with a decline of more than 3%. Commodity factors generally performed strongly, with the average return of factors reflecting long - term price trends exceeding 1%, and the long - short strength ratio of the change in the positions of leading members in the position - related factors also having a return of more than 1% last week. The two - year value factor and some volatility factors also showed strong performance. Due to external market disturbances, the volatility of commodity factor returns is increasing. Investors are advised to focus on several types of commodity factors with long - term expected return capabilities [26][29]. 3. Summary by Relevant Catalogs 3.1 Treasury Bond Futures Quantitative Strategy - Market Review: The 30 - year main contract rose 1.24%, the 10 - year main contract rose 0.14%, the 5 - year main contract rose 0.09%, and the 2 - year main contract rose 0.02% last week. The basis of each variety widened. The 10 - year CTD bond was 250018, with a basis of about 0.05 yuan on the 23rd, slightly lower than the seasonal level; the 30 - year CTD bond was 210005, with a basis of 0.35 yuan on the 16th, lower than the seasonal level [6]. - Factor Sharpe Ratio: For the 10 - year Treasury bond, the Sharpe ratios of the basis factor, risk asset, and member position in 2025 are 1.68, 1.93, and 0.59 respectively. For the 5 - year Treasury bond, the Sharpe ratios of high - frequency capital flow, intraday volume - price, risk asset, member position, and basis factor in 2025 are 2.51, 2.27, 1.71, 1.33, and 0.78 respectively. For the 2 - year Treasury bond, the Sharpe ratios of high - frequency capital flow, basis factor, intraday volume - price, and member position in 2025 are 2.45, 1.82, 1.59, and 0.82 respectively [6][18][19][20]. 3.2 Commodity CTA Factor and Strategy Performance - Commodity Factor Performance: Last week, there were more rising varieties in the domestic commodity market. The top risers were lithium carbonate, styrene, silver, PTA, synthetic rubber and other precious metals and some energy - chemical products, while the biggest decliners were caustic soda, glass, and coking coal, with a decline of more than 3%. Commodity factors generally performed strongly, with the average return of factors reflecting long - term price trends exceeding 1%, and the long - short strength ratio of the change in the positions of leading members in the position - related factors also having a return of more than 1% last week. The two - year value factor and some volatility factors also showed strong performance. The volatility of commodity factor returns is increasing [26][29]. - Tracking Strategy Performance: - CWFT strategy: Annualized return of 9.3%, Sharpe ratio of 1.60, Calmar of 1.06, maximum drawdown of - 8.81%, recent one - week return of 0.62%, and year - to - date return of 0.83% [27]. - C_frontnext & Short Trend strategy: Annualized return of 11.2%, Sharpe ratio of 1.71, Calmar of 1.67, maximum drawdown of - 6.72%, recent one - week return of - 0.48%, and year - to - date return of - 0.07% [27]. - Long CWFT & Short CWFT strategy: Annualized return of 12.1%, Sharpe ratio of 1.36, Calmar of 0.92, maximum drawdown of - 13.07%, recent one - week return of 0.45%, and year - to - date return of 0.71% [27]. - CS XGBoost strategy: Annualized return of 5.4%, Sharpe ratio of 0.90, Calmar of 0.28, maximum drawdown of - 19.39%, recent one - week return of - 0.68%, and year - to - date return of - 3.16% [27]. - RuleBased TS Sharp - combine strategy: Annualized return of 11.6%, Sharpe ratio of 1.52, Calmar of 1.41, maximum drawdown of - 8.26%, recent one - week return of - 1.04%, and year - to - date return of - 0.59% [27]. - RuleBased TS XGB - combine strategy: Annualized return of 11.4%, Sharpe ratio of 1.99, Calmar of 2.54, maximum drawdown of - 4.49%, recent one - week return of - 0.63%, and year - to - date return of - 1.92% [27]. - CS strategies, EW combine strategy: Annualized return of 12.6%, Sharpe ratio of 1.80, Calmar of 1.71, maximum drawdown of - 7.38%, recent one - week return of 0.30%, and year - to - date return of 0.91% [27]. - Strategy Position Details: Each strategy has specific position details such as the number of position varieties, net position, total position return, winning rate, and performance of individual varieties last week, as well as the number of position varieties, net position, number of varieties to be rolled over, and total turnover capital ratio this week [34][36][38][40][42][44]. - Best - Performing Strategies: The best - performing strategy last week and year - to - date was CWFT. The equal - weighted composite strategy of the above cross - sectional strategies has an annualized return of 12.6%, a Sharpe ratio of 1.80, a Calmar of 1.71, a maximum drawdown of - 7.38%, a recent one - week return of 0.30%, and a year - to - date return of 0.91% [47].