金融工程周报：期指短周期因子小幅回落-20260302

1. Report Industry Investment Ratings - Index futures: ☆☆☆ [1] - Treasury bond futures: ☆☆☆ [1] 2. Core Views of the Report - As of the week ending February 27, index futures continued to rise, with IH2603 up 0.63%, IF2603 up 1.96%, IC2603 up 4.41%, and IM2603 up 4.22%. Market cooling features emerged, risk appetite declined, but overall capital flow remained supported. In terms of style, the market rotation accelerated, and the large - cap style marginally recovered [1]. - From the high - frequency macro - fundamental factor scores, for index futures, the inflation indicator scored 8 points, the liquidity indicator scored 8 points, the valuation indicator scored 12 points, and the market sentiment indicator scored 9 points. For Treasury bond futures, the inflation indicator scored 7 points, the liquidity indicator scored 9 points, and the market sentiment indicator scored 6 points [1]. - The term structure shows that the annualized basis rates of IF, IC, IM, and IH current - quarter contracts were 2.81%, 0.35%, - 2.92%, and - 6.45% respectively, with IC and IM remaining at relatively low historical basis levels [1]. - The net value of the financial derivatives quantitative CTA strategy rose 0.95% last week, with the profit coming from going long on IC and closing the position on Tuesday. In the long - term, credit data rebounded above the seasonal level, having a greater impact on IC and IM. In the short - term, the liquidity factor remained elevated, the medium - and high - frequency real estate market marginally recovered, and the short - term factors of index futures narrowed and showed a slight decline. In terms of open interest, risk appetite marginally declined compared to the previous week but remained in the neutral range. The current overall comprehensive signal is neutral and oscillating [1]. - For Treasury bond futures, the capital flow remained loose at the beginning of the year, but institutional allocation behavior was relatively slow. Coupled with the meeting expectations, the stock - bond seesaw effect was still significant. The bond market was relatively insensitive to fundamental feedback. Affected by geopolitical factors, the open - interest factors of TF and T recovered, and the comprehensive signal is neutral and oscillating [1]. 3. Summary by Relevant Catalogs 3.1 Macro - fundamental Medium - and High - frequency Factor Scores - Economic kinetic energy indicators such as blast furnace开工率, PTA开工率, etc., showed different degrees of decline. The index futures and Treasury bond futures scores were both 8 [2]. 3.2 Inflation Indicators - Some inflation - related indicators like the vegetable basket product wholesale price index decreased, while others like the coking coal index increased. The index futures score was 8, and the Treasury bond futures score was 7 [3]. 3.3 Liquidity - Liquidity - related indicators such as DR007, DR001, etc., mostly declined. The index futures score was 8 [4]. 3.4 Index Valuation - Valuation indicators such as PE and PS increased, while the dividend yield decreased. The index futures score was 11 [5]. 3.5 Market Sentiment - Index Futures - Indicators such as margin trading balance and trading volume showed different trends. The index futures score was 9 [6]. 3.6 Market Sentiment - Treasury Bond Futures - Indicators such as the yield of 10 - year government bonds and the VIX index changed. The Treasury bond futures score was 6 [7]. 3.7 Strategy Introduction - The product pool includes index futures and Treasury bond futures. The short - term model focuses on market style, external factors, and capital flow, while the long - term model focuses on market expectations and macro - economic data. Open interest is synthesized considering institutional long and short positions [17]. 3.8 Treasury Bond Futures Cross - variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the resonance of signals from the fundamental three - factor model and the trend regression model. The fundamental factor uses the Nelson - Siegel instantaneous forward - rate function. The signals are classified into three types, and the actual operation uses a 1:1.8 ratio for the 10 - 5Y spread adjustment [21]. 3.9 Market Quotes and Trading Signals - For TF and T main contracts, the N - S model and trend regression model generated different signals on different dates, with no trading signals on most days [24].