金融工程周报：期债持仓量因子回升-20260330

1. Report Industry Investment Ratings - Stock index: ☆☆☆ [1] - Treasury bonds: ☆☆☆ [1] 2. Core Views of the Report - As of the week ending March 27, IH2604 declined 1.37%, IF2604 fell 0.46%, IC2603 rose 1.38%, and IM2603 increased 0.92%. The small - cap style in the market has somewhat recovered, with signs of market cooling and low risk appetite [1]. - In terms of style, the risk of short - term liquidity shocks has risen, causing concerns about economic stagflation and recession, so funds tend to wait and seek safety [1]. - From the perspective of high - frequency macro - fundamental factor scores, for stock index futures, the inflation indicator scored 7 points, liquidity 9 points, valuation 11 points, and market sentiment 8 points. For bond futures, the inflation indicator scored 5 points, liquidity 9 points, and market sentiment 6 points [1]. - The annualized basis rates of IF, IC, IM, and IH current - quarter contracts are - 1.05%, - 4.62%, - 7.08%, and - 10.08% respectively. The hedging costs of each variety have increased compared to last week [1]. - The net value of the financial derivatives quantitative CTA strategy remained unchanged last week. In the long - term, the better - than - expected industrial enterprise profits have a certain boosting effect on the long - term of IC and IF, but the contribution ratio of long - term factors has recently decreased. In the short - term, geopolitical factors have expanded the impact on market liquidity, the medium - and high - frequency real estate market has slightly rebounded, the short - term factors of stock index futures have narrowed in differentiation, showing a continuous decline overall. The risk appetite has marginally recovered to the neutral range compared to last week. The current overall comprehensive signal is neutral and volatile. For bond futures, the capital market remains loose, but institutional allocations are relatively cautious about the long - end. The stock - bond seesaw effect is not significant. The bond market has significantly priced in the inflation expectations caused by geopolitics. The strength of the T position factor is relatively low, while TF has relatively strong support, and the comprehensive signal is also neutral and volatile [1]. 3. Summary by Relevant Catalogs 3.1 Macro - fundamental Medium - and High - frequency Factor Scores - Among economic kinetic energy indicators, the weekly increases of blast furnace开工率,开工率 of PTA in China, Shandong refinery开工率,开工率 of automobile tires, and开工率 of downstream looms for polyester filament in the Yangtze River Delta are 0.18%, 0.18%, 6.33%, 66.79%, and 347.36% respectively. The stock index futures score is 6 points, and the bond futures score is 7 points [2]. 3.2 Inflation Indicators - The weekly changes of various inflation - related indicators vary, such as the - 1.38% decline in the vegetable basket product wholesale price 200 index, and the 1.67% increase in the market price of 1 electrolytic copper. The stock index futures score is 7 points, and the bond futures score is 5 points [3]. 3.3 Liquidity - The weekly changes of liquidity - related indicators such as DR007, DR001, etc. are different. The stock index futures score for liquidity is 9 points [4]. 3.4 Index Valuation - The weekly changes of valuation indicators such as PE, PS, etc. are shown, with the stock index futures score being 10 points [5]. 3.5 Market Sentiment - Stock Index Market Sentiment: The stock index market sentiment indicators such as margin trading balance have different weekly changes, and the bond futures score is 8 points [6]. - Bond Market Sentiment: The bond market sentiment indicators such as the 10 - year CDB bond yield have different weekly changes, and the bond futures score is 6 points [7]. 3.6 Strategy Introduction - Multi - strategy for Stock and Bond Futures: The product pool includes stock index futures and bond futures. The short - term model focuses on market style, external factors, and capital market high - frequency data. The long - term model focuses on market expectations and macro - economic low - frequency data. The position factor is synthesized based on institutional long and short positions [16]. - Treasury Bond Futures Cross - variety Arbitrage Strategy: This strategy is based on the signal resonance of the fundamental three - factor model and the trend regression model. The fundamental three - factor model decomposes the interest rate term structure into level, slope, and curvature. The signals are divided into three types: '1' (large spread may decrease), '0' (uncertain spread change trend or maintain oscillation), '- 1' (large spread may increase). The trend regression model is used to filter signals. In actual operation, the 10 - 5Y spread is adjusted with a duration - neutral ratio of 1:1.8 [20]. 3.7 Signal and Performance Data - Multi - strategy Signal: The short - term, long - term, and comprehensive signals of IF, IH, IC, IM, T, and TF are provided, along with relevant trading rules [17]. - Last Week's Performance: The data from March 23 to 27, 2026, shows that the positions of all contracts were 0 [19]. - Treasury Bond Futures Cross - variety Arbitrage Signal: The N - S model and trend regression model signals of TF and T main contracts from March 23 to 27, 2026, are presented [23].