Report Summary 1. Report Industry Investment Rating - No investment rating information is provided in the report. 2. Core Views - In the week ending December 26, 2025, the weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were 2.73%, 0.07%, and 4.00% respectively. The equity strategy in the public - fund market rebounded, the commodity - type ETFs strengthened, and the silver ETF net value increased significantly [3]. - The growth and cyclical styles performed strongly last week, while the consumer style declined slightly. The style timing model currently signals a preference for the consumer style [3]. - The neutral strategy shows that the basis of stock index futures continued to rise last week, and the average premium rate index of 500 and 1000 ETFs decreased [3]. - Among Barra factors, the medium - long - term momentum factor's return strengthened this week, and the valuation factor's excess return declined [3]. 3. Summary by Related Catalogs Market Returns - Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index had weekly returns of 2.73%, 0.07%, and 4.00% respectively. Public - fund strategies: the enhanced index strategy rose 2.82%, and the silver ETF had a weekly return of 17.43% [3]. Style Performance - Growth and cyclical styles were strong last week, consumer style declined slightly. Financial and growth funds had better excess performance. The market's deviation from growth and consumer styles slightly recovered. The congestion index increased compared to last week, with cyclical style fund congestion at a historical low and growth style at a historical medium - high level [3]. Neutral Strategy - The basis of stock index futures (futures - spot) continued to rise last week. IC and IM contract basis rose above 3 times the standard deviation of the average in the past three months. The average premium rate index of 500 and 1000 ETFs decreased and is currently at a medium - low level in the past three months [3]. Barra Factors - Medium - long - term momentum factor's return strengthened, valuation factor's excess return declined. The leverage factor's strength increased marginally, and the dividend factor weakened. The factor cross - section rotation speed decreased slightly and is currently at a medium level in the past year [3]. Style Timing - According to the style timing model, the growth style weakened marginally this week, and the signal favors the consumer style. Last week, the style timing strategy's return was 4.41%, with an excess return of 2.61% compared to the benchmark balanced allocation [3].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - This week, broad - based indices generally rose, with most volatility declining. Market activity was at a medium - high level, and 77.4% of industries achieved positive returns. The current sentiment repair is relatively optimistic, component stock returns have strengthened, the profitability outside the index is poor, the basis has continuously converged to the growth level, and the intraday Alpha and trading - type Alpha environments have warmed up. Overall, the basis cost is favorable, the excess environment is weak, and the tail risk is moderately high. For long - only stock strategies, one can increase positions in trading - type Alpha or intraday Alpha, and strictly control the proportion of component stocks in long - only stock strategies with low exposure to small and micro - cap stocks. Neutral strategies can seize the window of low - cost position building and increase positions in replication T and strictly controlled exposure strategies that do not rely on the return contribution of small and micro - cap stocks [9]. 3. Summary by Relevant Catalogs 3.1 Equity Market Review - **Broad - based Index Performance**: As of December 26, 2025, this week, the CSI 500 index rose 4.03%, the CSI 1000 index rose 3.76%, the CSI 2000 index rose 3.06%, the CSI All - Share index rose 2.78%, the CSI A500 rose 2.75%, the SSE 50 index rose 1.95%, and the CSI Dividend index rose 0.55%. From the perspective of Barra style factors, the top three factors with the highest returns this week were BETA (1.16%), mid - cap (0.60%), and momentum (0.58%); the bottom three were leverage (0.03%), value (- 0.03%), and profitability (- 0.11%) [14]. - **Industry Index Performance**: This week, 77.4% of industries achieved positive returns, with the non - ferrous metals sector leading. The top three industries with the highest weekly returns were non - ferrous metals (6.43%), national defense and military industry (6.00%), and power equipment (5.37%); the bottom three were banks (- 1.01%), social services (- 1.05%), and beauty care (- 1.08%) [25]. - **Style Factor Performance**: The BETA, mid - cap, and momentum factors performed well, while the leverage, value, and profitability factors performed poorly. Among the Juchao stock style indices, the top three with the highest returns were small - cap growth (5.13%), mid - cap growth (3.28%), and large - cap growth (2.70%); the bottom three were mid - cap value (2.64%), small - cap value (2.19%), and large - cap value (- 0.02%) [27][32]. - **Futures Market**: The basis of IF, IC, and IM converged, and the basis volatility slightly increased, but the cost control pressure decreased. The estimated average returns of neutral products affected by each contract's hedging this week were - 0.38% for 300 neutral, - 0.50% for 500 neutral, and - 0.63% for 1000 neutral. Since the beginning of this year, the estimated average returns of neutral products affected by each contract's hedging were - 1.96% for 300 neutral, - 6.13% for 500 neutral, and - 7.71% for 1000 neutral [40]. - **Options Market**: This week, most implied volatilities declined, which is expected to be unfavorable for option - buying and arbitrage strategies [44]. 3.2 Strategy Environment Monitoring - **Intraday Alpha Environment**: Overall, it is conducive to intraday Alpha accumulation. The daily average trading volume of the stock market has slightly increased, the average intraday amplitude cross - sectional volatility is at a normal level, the proportion of high - volatility stocks is normal, and the short - term volatility of major indices is decreasing. Although the stock market has a daily net outflow, considering the market's upward trend, the actual capital inflow is beneficial for intraday Alpha accumulation [48][51][54]. - **Trading - type Alpha Environment**: The weekly average trading volume and turnover rate of the stock market are at a relatively high level, which is conducive to trading - type Alpha accumulation. The stock market shows a small - cap style, which is beneficial for trading - type Alpha accumulation, but the number of stocks that can beat the benchmark index has dropped to a low level, which is significantly unfavorable for trading - type Alpha accumulation [55][62]. - **Holding - type Alpha Environment**: It is generally conducive to holding - type Alpha accumulation and stability. The short - term returns of major broad - based indices are mostly positive, the trend smoothness of some factors is high, the style is small - cap, the number of daily limit and down - limit stocks is normal, the stock liquidity is normal, the volatility is high, the style return difference volatility is decreasing, the industry correlation coefficient is normal, and the factor rotation speed is at a high level [67][73][84]. - **Neutral Strategy Hedging Environment**: The basis of IF, IC, and IM converged, the basis volatility slightly increased, and the cost control pressure decreased [91]. 3.3 Future Strategy研判 - **Return Performance**: Based on the 20 - day rolling return, the relative returns of the CSI 1000, CSI 2000, and CSI 500 compared to the SSE 50 are in the normal or extremely high range, and the SSE 50 return is in the relatively high range [93]. - **Derivatives Market Sentiment**: In the options market, the sentiment towards the CSI 1000, SSE 50, and CSI 500 is generally cautious but shows structural differentiation. In the futures market, the basis of IF, IC, and IM converged, and market sentiment has recovered [97][102]. - **Risk Preference**: As of December 25, 2025, the margin trading balance was 2.53 trillion yuan, at the highest level in the past three years, indicating a high risk preference [105]. - **Trading Heat**: The trading heat of the SSE 50, CSI 500, CSI 1000, and CSI 2000 is at different levels, and the market trading volume is at an extremely high level [107]. - **Style Attention Multiple**: The CSI 1000 is in the relatively high range, the CSI 2000 is in the normal range, and the CSI 500 is in the extremely high range [110]. - **Profit Spread and Dividend Spread**: The profit spreads of the CSI 1000, CSI 500, CSI 2000, and SSE 50 are at different levels, mostly in the normal or extremely low range. The dividend spreads are all in the normal range [111][113]. - **Trading Crowding**: The trading heat of the TMT sector is in the low range, the trading heat of small - micro - cap sectors is in the high range, and the overall market trading volume is in the extremely high range [117].

Core Viewpoint - The A-share market experienced a strong rally, driven by AI hardware and resource sectors, indicating an increase in risk appetite and potential for further gains in the short term [1] Group 1: Market Performance - The ChiNext Index rose by 2.23%, supported by strong performance in AI hardware represented by CPO [1] - Over a hundred stocks in the Shanghai and Shenzhen markets hit the daily limit up, reflecting heightened trading sentiment [1] - The resource sector, including gold and silver stocks, saw significant gains, driven by rising international prices [3] Group 2: Global Liquidity Trends - There is a consensus among market participants that global liquidity will continue to increase, influenced by substantial fiscal spending from major economies [1][2] - The U.S. and Japan are implementing large fiscal stimulus plans, contributing to a trend of monetizing fiscal deficits in developed economies [1][2] Group 3: Investment Strategies - The increase in global liquidity is expected to enhance risk appetite, benefiting technology growth stocks and resource companies in the A-share market [3] - Some institutional investors are shifting from neutral strategies to more aggressive buying in the A-share market, as evidenced by increased trading volumes in the CSI A500 ETF [4] - The potential for further gains in the A-share market is supported by the dismantling of neutral strategies by institutions, leading to a more bullish outlook [4]

Group 1 - The article discusses the concept of "backwardation," which occurs when futures prices are lower than spot prices, indicating a pessimistic market outlook for the future [7][8]. - It explains that regardless of price fluctuations, spot and futures prices will converge at the delivery date due to trading mechanisms and arbitrage activities [10][12]. - The article provides an example of how arbitrage works using apples, illustrating how traders can profit from price discrepancies between spot and futures markets [13][19]. Group 2 - The article highlights that the convergence of prices is enforced by trading regulations, particularly in financial futures like the CSI 300 index futures [22][25]. - It notes that the cost of hedging, referred to as "hedging cost," is a significant factor affecting the final returns of neutral strategies [26][28]. - The article identifies two main factors that influence backwardation: corporate dividends and increased hedging demand, particularly during the dividend season from May to July [30][39]. Group 3 - It mentions that during the dividend season, stock prices drop due to ex-dividend adjustments, which leads to a decrease in index levels and consequently deepens backwardation [31][34]. - The article also points out that for small-cap indices, the impact of dividends is minimal, and deeper backwardation is primarily driven by supply-demand dynamics in the futures market [38]. - It advises investors to avoid neutral strategies when annualized backwardation exceeds 15% [39].

没出事，情况更新https://t.co/h6VtHnLnwCYuyue (@yuyue_chris):早上实在太恐慌，联系项目方也联系不上，睡醒发现 @zerobasezk 及时做出了回应，底层收益不是来自链上，都是来自交易所，做的中性策略不做 CTA，USDe 占比非常低我和多方核实过了下，协议目前是非常安全的，没有出问题，着急抄底可以等闪电赎回的池子加了之后付 0.5% 赎回费用提现好在钱存在 ...

早上实在太恐慌，联系项目方也联系不上，睡醒发现 @zerobasezk 及时做出了回应，底层收益不是来自链上，都是来自交易所，做的中性策略不做 CTA，USDe 占比非常低我和多方核实过了下，协议目前是非常安全的，没有出问题，着急抄底可以等闪电赎回的池子加了之后付 0.5% 赎回费用提现好在钱存在 ZEROBASE 才没什么太多仓位，现在 ZEROBASE 安全无事也是确定安全存活了 🙏 也希望大家一切都好！Gink5814.eth🐣 (@Gink5814):@yuyue_chris Yuyue 老师，我们资金流动性充裕，净值稳定，这一波整体微有盈利，闪提目前在排队是从交易所提币需要一些审核的时间，感谢关心🙏 ...

Core Insights - The 2025 Autumn Strategy Conference by CITIC Futures focused on the theme "Tides Surge, Breakthroughs and Innovations," analyzing investment opportunities across various sectors for Q4 and 2026 [1] Macro and Precious Metals Forum - The macroeconomic outlook for Q4 is characterized by a "steady progress" approach, with policies aimed at stabilizing growth through 500 billion yuan in financial tools and potential interest rate cuts [2] - Gold is expected to show a strong oscillation in Q4, with long-term strategic allocation opportunities due to the anticipated decline in real interest rates and ongoing geopolitical tensions [2] Financial Forum - Equity assets are projected to perform positively in Q4, driven by new capital inflows and policy expectations, with a focus on IM long positions and strategies to capitalize on market movements [3] - The bond market may shift from a weak stance, with a potential recovery in bullish sentiment, although the 10-year government bond yield is expected to fluctuate between 1.65% and 1.95% [3] Energy and Chemical Forum - The energy and chemical sectors are facing slightly weak supply and demand dynamics in Q4, with oil prices influenced by geopolitical factors and supply disruptions [4] - The chemical industry is under pressure from increasing production capacities, particularly in PVC and styrene, which may hinder demand growth without supportive consumption policies [4] Non-Ferrous Metals Forum - The non-ferrous metals sector is expected to see a positive shift in Q4, with copper, aluminum, and tin being highlighted as potential bullish opportunities due to supply disruptions and macroeconomic support from interest rate cuts [5][6] - Industrial silicon and lithium carbonate may face downward pressure, while polysilicon is expected to benefit from supply-side contraction policies [6] Agricultural Forum - Agricultural products are in a transitional phase between old and new crops, with inventory dynamics and international trade relations significantly impacting market conditions [7] - The soybean market is expected to remain stable, while palm oil may see bullish opportunities due to seasonal production declines [7] Black Metals Forum - The black metals market is anticipated to experience a mixed trend, with short-term price support from a favorable macro environment, but potential long-term weakness due to inventory pressures [8] - Iron ore prices are expected to fluctuate widely, while coal and coke prices may initially rise before facing downward pressure [8] Innovation Forum - The energy sector is under pressure from oversupply, with fossil fuels facing challenges, while the demand for new energy sources is expected to grow steadily [9] - The shipping market is projected to perform strongly due to production increases and sanctions, with coal supply tightening expected to support prices [9]

Core Viewpoint - The bond market in 2025 is characterized by low volatility, which limits the profit potential of traditional trend-following strategies. Quantitative and neutral trading strategies are proposed as effective methods to enhance returns in this low-volatility environment [1][2]. Summary by Sections Current Market Conditions - As of early 2025, China's bond market is experiencing low yields and low volatility, prompting investment institutions to rethink their strategies to navigate this challenging environment [2][6]. - The bond market's volatility has significantly decreased, reaching levels below the 10th percentile since April 2025, influenced by factors such as U.S. tariffs and domestic liquidity conditions [2][6]. Causes of Low Volatility - The low volatility in the bond market is attributed to several factors: 1. **Liquidity Constraints**: The central bank's policies have maintained reasonable liquidity, keeping overnight repo rates around 1.4%, which has limited further declines in bond yields [6][7]. 2. **Economic Expectations**: Weak economic indicators and uncertainties surrounding U.S.-China trade relations have constrained the upward movement of bond yields, with the 10-year government bond yield mostly staying below 1.75% [6][7]. 3. **Supply and Demand Dynamics**: Increased government bond issuance has not significantly impacted the market due to ongoing liquidity support from the central bank [7]. 4. **Arbitrage Strategies**: The widespread use of neutral arbitrage strategies by investment institutions has helped stabilize the market and reduce irrational volatility [7]. Investment Strategies in Low Volatility Market - In response to the low volatility environment, two main strategies are recommended: 1. **Quantitative Strategies**: These strategies utilize historical data and mathematical models to identify trading opportunities. A volatility factor model has been developed, demonstrating predictive capabilities and profitability in low-volatility conditions [9][10][17]. 2. **Neutral Strategies**: These involve constructing both long and short positions to hedge market risks and capture stable returns. The application of classic neutral trading strategies, such as basis trading, term spread trading, and new/old bond spread trading, has shown potential for excess returns [17][18]. Performance of Quantitative Strategies - A quantitative strategy based on a volatility factor was tested, yielding a cumulative return of 26.17 basis points with a win rate of 62.33%, outperforming traditional single-direction strategies [14][22]. - The strategy's performance highlighted areas for improvement, such as enhancing sensitivity to directional signals and optimizing threshold parameters for better risk management [15][16]. Performance of Neutral Strategies - Classic neutral strategies have been effectively employed to exploit market inefficiencies, with examples demonstrating successful basis trading, term spread trading, and new/old bond spread trading [18][19][20][21]. - These strategies have proven to enhance absolute returns and improve the return on assets (ROA) in a low-volatility market [22]. Future Outlook - The bond market's low volatility phase is seen as a transitional period that necessitates a restructuring of investment strategies. The integration of quantitative and neutral strategies is emphasized as crucial for adapting to the new market norm [23]. - Investment institutions are encouraged to enhance their research capabilities and technological integration to better navigate the evolving market landscape [23].

Group 1 - The macro growth factor continues to rise, while inflation indicators show a weakening rebound, with domestic CPI turning negative at -0.4% and PPI's decline narrowing to -2.9%, indicating persistent internal demand issues [4] - The Federal Reserve's interest rate cut expectations are driving upward global liquidity expectations, benefiting Asian equity markets, with the Korean Composite Index rising by 5.94% and the Hang Seng Tech Index by 5.31% [4][9] - The A-share market shows a preference for growth styles, with the Sci-Tech 50 Index increasing by 5.48%, while small-cap indices outperform large-cap blue chips [4] Group 2 - Recommendations for asset allocation include favoring high-grade credit bonds in the bond market, adjusting duration flexibly, and focusing on bank and insurance sector movements [5] - In the overseas equity market, the report suggests monitoring interest rate-sensitive sectors due to limited short-term rebound potential for the dollar and significantly raised interest rate cut expectations [5] - For gold, it is recommended to increase allocations to gold and silver as they are core assets during the interest rate cut cycle, with expectations for Shanghai gold to break previous highs [5] Group 3 - The report indicates that the overall liquidity environment remains supportive for market valuation recovery and structural trends, with a significant decrease in average daily trading volume in the A-share market [56] - The A-share valuation levels have increased, with the price-to-earnings ratio rising to 50.38 times and the price-to-book ratio reaching 5.60 times, suggesting that market expectations for future corporate earnings may be overly optimistic [60] - The report highlights that the earnings expectations for A-shares are weaker than historical averages, with a projected rolling one-year earnings growth rate of 10.3% and revenue growth rate of 5.9% [61]

Industry Investment Rating - No relevant information Core View - Fed's July meeting minutes show increasing internal divergence and no hint of a September rate cut, while the unexpectedly high US manufacturing PMI in August may change market expectations for a September rate cut [2] - Domestic policy intensity has marginally converged recently, and the main driving forces for the index are the "93 consensus" and institutional clustering. A - shares are not affected by the continuous decline of Hong Kong and US stocks due to the support of mainland margin - trading funds. The margin balance has increased significantly, and the total A - share trading volume has soared. The Sci - tech Innovation 50 index was the strongest this week, with a gain of over 13%, and the Shanghai Composite Index rose above 3800 points [2] - The rise of the index this week has further pushed up the basis of various varieties. The annualized discounts of IC and IM have converged to 5.5% and 6.7%, and the term structure near - end and inter - period spreads have increased. There is a large profit space for cash - and - carry arbitrage in IH and IF September contracts, and the annualized hedging cost of near - month contracts of IC and IM is only about 2%, which may lead to an increase in the scale of neutral strategies [2] - The model predicts that the basis of IH, IF, IC, and IM will strengthen, remain flat, weaken, and weaken respectively next week [2] Summary by Related Contents Market Background - The Fed's internal divergence is increasing, and it is facing a trade - off between inflation and employment risks. The unexpectedly high US manufacturing PMI in August may affect the expected September rate cut [2] - Domestic policy intensity has marginally converged, and the main driving forces for the index are the "93 consensus" and institutional clustering. Geopolitical situation is calm, and A - shares are supported by mainland margin - trading funds [2] Market Performance - The margin balance has increased significantly, with a net purchase of over 80 billion this week. The total A - share trading volume is about 2.5 trillion per day. The Sci - tech Innovation 50 index was the strongest this week, with a gain of over 13%, and the Shanghai Composite Index rose above 3800 points [2] Basis and Spread - The rise of the index has further pushed up the basis of various varieties. The annualized discounts of IC and IM have converged to 5.5% and 6.7%, and the term structure near - end and inter - period spreads have increased [2] - The September contracts of IH and IF have an annualized premium of over 6% and 7% respectively, with a large profit space for cash - and - carry arbitrage. The annualized hedging cost of near - month contracts of IC and IM is only about 2% [2] Forecast - The model predicts that the basis of IH, IF, IC, and IM will strengthen, remain flat, weaken, and weaken respectively next week [2]