金工策略周报-20260315

1. Report Industry Investment Rating No information provided. 2. Core Views - Last week, all Treasury bond futures contracts closed down, with the 30 - year and 10 - year contracts experiencing relatively large declines, while the 5 - year and 2 - year contracts had smaller drops. The basis of various Treasury bond futures varieties showed differentiation. The market risk preference weakened, activating the hedging attribute of Treasury bond futures. The downward trend of Treasury bond futures is not likely to reverse when the long - term bullish logic of the stock market remains unchanged and the coupon income of Treasury bonds is not attractive. The short - term hedging trading attribute of the bond market is more obvious when the expected return of equity or risk assets declines marginally [5]. - Due to the blockade of the Strait of Hormuz and the unclear end of the US - Iran war, crude oil and energy - chemical industry chain varieties rose significantly last week, driving most industrial products up. In the commodity factor aspect, in the highly volatile market environment caused by event conflicts, the volatility factor rose nearly 5%, while the value factor measuring spot prices declined significantly. The term structure factor basically closed flat, but has relatively good long - term return capabilities. In the short term, the market may continue to be volatile due to geopolitical games, and the performance of CTA commodity factors may also be volatile. Investors are advised to diversify risks and avoid over - concentrating their positions [12][14]. 3. Summary by Directory 3.1 Treasury Bond Futures Quantitative Strategy 3.1.1 Treasury Bond Futures Market Review - Last week, all Treasury bond futures contracts closed down. The 30 - year main contract fell 1.47%, the 10 - year main contract fell 0.28%, the 5 - year main contract fell 0.15%, and the 2 - year main contract fell 0.03%. The basis of various varieties was differentiated. The CTD bond of the 10 - year bond was 250025, and its basis on the 13th was about 0.09 yuan, slightly lower than the historical average. The CTD bond of the 30 - year bond was 210014, and its basis on the 13th was 0.58 yuan, slightly higher than the historical average [5]. 3.1.2 Treasury Bond Futures Daily - Frequency Timing Strategy - For the 10 - year Treasury bond, from 2021/01/01 to the present, the annualized return, Sharpe ratio, and maximum drawdown of the single - leverage portfolio were 2.71%, 1.27, and 2.04% respectively. From 2025/11/01 to the present, the corresponding figures were 2.62%, 1.61, and 0.67% respectively [5]. 3.1.3 Unilateral Strategy Performance - The annualized return, annualized volatility, annualized Sharpe ratio, maximum drawdown, and Calmar ratio of the strategy from the full - sample period were 2.71%, 2.13%, 1.27, 2.04%, and 1.32 respectively. After the report was released, the corresponding figures were 2.62%, 1.63%, 1.61, 0.67%, and 3.88 respectively [8]. 3.2 Commodity CTA Factor and Strategy Performance 3.2.1 Commodity Factor Performance - Due to the blockade of the Strait of Hormuz and the unclear end of the US - Iran war, crude oil and energy - chemical industry chain varieties rose significantly last week, driving most industrial products up. The volatility factor rose nearly 5%, the value factor declined significantly, and the term structure factor basically closed flat. In the short term, the market may be volatile due to geopolitical games, and the performance of CTA commodity factors may also be volatile [12][14]. 3.2.2 Tracking Strategy Performance - CWFT strategy: Annualized return 9.4%, Sharpe ratio 1.62, Calmar 1.07, maximum drawdown - 8.81%, recent one - week return 1.14%, and year - to - date return 2.77%. - C_frontnext & Short Trend strategy: Annualized return 11.7%, Sharpe ratio 1.78, Calmar 1.74, maximum drawdown - 6.72%, recent one - week return 1.39%, and year - to - date return 3.85%. - Long CWFT & Short CWFT strategy: Annualized return 13.0%, Sharpe ratio 1.45, Calmar 0.99, maximum drawdown - 13.07%, recent one - week return 2.92%, and year - to - date return 7.41%. - CS XGBoost strategy: Annualized return 5.0%, Sharpe ratio 0.81, Calmar 0.23, maximum drawdown - 21.40%, recent one - week return 0.57%, and year - to - date return - 5.03%. - RuleBased TS Sharp - combine strategy: Annualized return 11.5%, Sharpe ratio 1.51, Calmar 1.39, maximum drawdown - 8.26%, recent one - week return 3.33%, and year - to - date return 0.15%. - RuleBased TS XGB - combine strategy: Annualized return 10.9%, Sharpe ratio 1.90, Calmar 2.21, maximum drawdown - 4.95%, recent one - week return 0.63%, and year - to - date return - 3.09%. - CS strategies, EW combine strategy: Annualized return 13.0%, Sharpe ratio 1.86, Calmar 1.76, maximum drawdown - 7.38%, recent one - week return 2.03%, and year - to - date return 4.70% [13].