金工策略周报-20260201

Report Industry Investment Rating No information provided in the report. 2. Core Viewpoints of the Report - Last week, the performance of Treasury bond futures was differentiated, with the 30 - year main contract down - 0.33%, the 10 - year main contract up 0.11%, the 5 - year main contract up 0.01%, and the 2 - year main contract down - 0.02%. The basis of each variety was also differentiated. The CTD bond of the 10 - year Treasury bond was 250018, and the basis on the 30th was about 0.05 yuan, which was the same as the historical average. The CTD bond of the 30 - year Treasury bond was 210005, and the basis on the 30th was 0.27 yuan, higher than the historical average. It is expected that the subsequent trend of Treasury bond futures will change from shock to strength [6]. - The domestic commodity market rose last week, with silver rising the most (24%) and fuel oil rising more than 10%, while lithium carbonate and polysilicon declined more. Commodity factors continued to perform strongly, and factors other than basis and warrant factors performed well, with the average returns of term - structure and value factors exceeding 1%. The volatility of commodity factor returns is increasing, and investors are advised to focus on commodity factors with long - term expected return capabilities [19]. 3. Summary by Relevant Catalogs (1) Treasury Bond Futures Quantitative Strategy - Market Review: Last week, the performance of each Treasury bond futures variety was differentiated, and the basis was also differentiated. The influence of commodities such as gold, silver, and copper on Treasury bond futures was small, and the performance was shock - weak last week. With the release of economic data in January, it is expected that inflation data will not be weak, and the market is worried about the stock market rising during the Spring Festival and the Two Sessions. The probability of the subsequent trend changing from shock to strength is relatively high. The sentiment index of A - share options and interval - shock technical indicators in timing factors have performed well recently [6]. - Sharpe Ratio Ranking of Factors: - 10 - year Treasury bond: The factors ranked by Sharpe ratio are basis factor, risk asset, and member position, with Sharpe ratios of 1.68, 1.93, and 0.59 in 2025 respectively [12]. - 5 - year Treasury bond: The factors ranked by Sharpe ratio are high - frequency capital flow, intraday volume - price, risk asset, member position, and basis factor, with Sharpe ratios of 2.51, 2.27, 1.71, 1.33, and 0.78 in 2025 respectively [13]. - 2 - year Treasury bond: The factors ranked by Sharpe ratio are high - frequency capital flow, basis factor, intraday volume - price, and member position, with Sharpe ratios of 2.45, 1.82, 1.59, and 0.82 in 2025 respectively [14]. (2) Commodity CTA Factor and Strategy Performance - Commodity Factor Performance: The domestic commodity market rose last week. Silver rose the most (24%), and fuel oil rose more than 10%, while lithium carbonate and polysilicon declined more. Commodity factors continued to perform strongly, and factors other than basis and warrant factors performed well, with the average returns of term - structure and value factors exceeding 1%. The volatility of commodity factor returns is increasing, and investors are advised to focus on commodity factors with long - term expected return capabilities [19]. - Tracking Strategy Performance: - CWFT Strategy: Annualized return of 9.4%, Sharpe ratio of 1.61, Calmar of 1.06, maximum drawdown of - 8.81%, last - week return of 0.65%, and year - to - date return of 1.49% [20]. - C_frontnext & Short Trend Strategy: Annualized return of 11.2%, Sharpe ratio of 1.71, Calmar of 1.67, maximum drawdown of - 6.72%, last - week return of 0.37%, and year - to - date return of 0.31% [20]. - Long CWFT & Short CWFT Strategy: Annualized return of 12.3%, Sharpe ratio of 1.39, Calmar of 0.94, maximum drawdown of - 13.07%, last - week return of 1.63%, and year - to - date return of 2.34% [20]. - CS XGBoost Strategy: Annualized return of 5.0%, Sharpe ratio of 0.82, Calmar of 0.24, maximum drawdown of - 21.19%, last - week return of - 2.23%, and year - to - date return of - 5.32% [20]. - RuleBased TS Sharp - combine Strategy: Annualized return of 11.6%, Sharpe ratio of 1.52, Calmar of 1.40, maximum drawdown of - 8.26%, last - week return of 0.03%, and year - to - date return of - 0.57% [20]. - RuleBased TS XGB - combine Strategy: Annualized return of 11.1%, Sharpe ratio of 1.94, Calmar of 2.48, maximum drawdown of - 4.49%, last - week return of - 1.19%, and year - to - date return of - 3.09% [20]. - CS strategies, EW combine Strategy: Annualized return of 12.7%, Sharpe ratio of 1.81, Calmar of 1.72, maximum drawdown of - 7.38%, last - week return of 0.63%, and year - to - date return of 1.54% [20]. - Performance Comparison: Among the above six strategies, the Long CWFT & Short CWFT strategy performed the best last week with a return of 1.63%, and also performed the best year - to - date with a return of 2.34%. The equal - weighted composite strategy of the above cross - sectional strategies (equal - weighted weekly returns) has an annualized return of 12.7%, a Sharpe ratio of 1.81, a Calmar of 1.72, a maximum drawdown of - 7.38%, a last - week return of 0.63%, and a year - to - date return of 1.54% [39].