金工策略周报-20260308

1. Report Industry Investment Rating - There is no content regarding the report industry investment rating in the given text. 2. Core Viewpoints of the Report - In the government bond futures market, last week, all bond futures contracts closed higher, with the 30 - year and 10 - year contracts showing relatively large increases. The basis of each variety was differentiated. The market risk preference weakened, activating the hedging attribute of bond futures. The downward trend of government bond futures is not easy to reverse when the long - term bullish logic of the stock market remains unchanged and the coupon income of government bonds is not attractive. Only when the expected return of equity or risk assets declines marginally, the short - term hedging trading attribute of the bond market is more obvious [5]. - In the commodity CTA market, due to the outbreak of the US - Iran war, many domestic commodity varieties rose, especially in the energy - chemical sector. The volatility factor rose significantly, while the price - volume trend and value factors with longer - term positions suffered large losses. The term structure factor performed well. In the short term, the market may fluctuate more due to geopolitical games, and investors are advised to diversify risks and avoid over - concentrated positions [12][15]. 3. Summary According to Relevant Catalogs 3.1 Government Bond Futures Quantitative Strategy 3.1.1 Market Review - Last week, all bond futures contracts closed higher. The 30 - year main contract rose 0.63%, the 10 - year main contract rose 0.12%, the 5 - year main contract rose 0.09%, and the 2 - year main contract rose 0.03%. The basis of each variety was differentiated. The CTD bond of the 10 - year bond was 250025, and the basis on the 6th was about 0.06 yuan, slightly lower than the historical average. The CTD bond of the 30 - year bond was 210014, and the basis on the 27th was 0.54 yuan, slightly higher than the historical average [5]. 3.1.2 Daily - frequency Timing Strategy for Government Bond Futures - For the 10 - year government bond, from 2021/01/01 to the present, the annualized return, Sharpe ratio, and maximum drawdown of the single - leverage portfolio were 2.78%, 1.31, and 2.13% respectively. Since the report was released (2025/11/01 to the present), the corresponding figures were 2.98%, 1.85, and 0.67% respectively [5]. 3.1.3 Unilateral Strategy Performance - The strategy uses factors such as basis, intraday technical, intraday volume - price, high - frequency capital flow, member positions, and risk assets. The signals are generated by equal - weighting and averaging within each factor category, and the sign of the average is used as the long - short signal. The strategy trades at the VWAP of the first ten minutes of the next - day's opening with single - leverage buying [10]. 3.2 Commodity CTA Factor and Strategy Performance 3.2.1 Commodity Factor Performance - Affected by the US - Iran war, many domestic commodity varieties rose, especially in the energy - chemical sector. The volatility factor rose nearly 5%, while the price - volume trend and value factors with longer - term positions suffered large losses. The term structure factor performed well. In the short term, the market may fluctuate more due to geopolitical games, and investors are advised to diversify risks [12][15]. 3.2.2 Tracking Strategy Performance - Different strategies have different performance indicators. For example, the CWFT strategy has an annualized return of 9.3%, a Sharpe ratio of 1.60, a Calmar ratio of 1.05, and a maximum drawdown of - 8.81%. The C_frontnext & Short Trend strategy has an annualized return of 11.5%, a Sharpe ratio of 1.75, a Calmar ratio of 1.70, and a maximum drawdown of - 6.72%. The Long CWFT & Short CWFT strategy has an annualized return of 12.5%, a Sharpe ratio of 1.41, a Calmar ratio of 0.96, and a maximum drawdown of - 13.07% [13]. - Among the six strategies, the Long CWFT & Short CWFT strategy performed best last week with a return of 1.87% and also performed best since the beginning of this year with a return of 4.36%. The equal - weighted composite strategy of cross - sectional strategies has an annualized return of 12.7%, a Sharpe ratio of 1.82, a Calmar ratio of 1.72, a maximum drawdown of - 7.38%, a recent weekly return of 0.47%, and a return of 2.62% since the beginning of this year [37].