Report Summary 1. Report Industry Investment Rating - Not provided in the content 2. Report's Core View - The short - term, medium - term, and intraday views of crude oil 2512 are all weak, showing a trend of weak oscillation. The market is expected to maintain this weak oscillation trend on Monday [1][5] 3. Summary by Related Content Price and Market Conditions - Last Friday night, the domestic crude oil futures 2512 contract stopped falling and stabilized, with the futures price rebounding slightly by 0.34% to 441.1 yuan/barrel [5] Driving Logic - The macro - bearish sentiment has weakened as US President Trump actively released a signal to ease the situation, but the macro and industrial factors in the crude oil market remain weak [5] - Eight OPEC+ oil - producing countries decided to increase production by 137,000 barrels per day in November, increasing the supply pressure in the oil market [5] - The geopolitical situation in the Middle East has shown signs of easing, and the "war premium" that previously supported oil prices has subsided [5]

- **Domestic Asset BL Model** - **Model Name**: Black-Litterman (BL) Model - **Construction Idea**: The BL model integrates subjective views with quantitative asset allocation using Bayesian theory, optimizing asset weights based on market analysis and expected returns. It addresses the sensitivity of mean-variance models to expected returns and provides higher fault tolerance compared to purely subjective investments [26][27][33] - **Construction Process**: 1. Use historical returns of assets over the past five years to estimate market equilibrium returns (Π) 2. Specify a risk aversion coefficient (e.g., λ = 10), which corresponds to a target volatility 3. Alternatively, assign fixed weights (e.g., stock:bond:convertible bond:commodity:gold = 10:80:5:2.5:2.5) and reverse calculate the risk aversion coefficient dynamically for each period [33] - **Evaluation**: The BL model effectively combines subjective views with quantitative methods, providing robust asset allocation solutions [26][27] - **Domestic Asset Risk Parity Model** - **Model Name**: Risk Parity Model - **Construction Idea**: The model aims to equalize the risk contribution of each asset to the overall portfolio, optimizing asset weights based on expected volatility and correlation [32][35] - **Construction Process**: 1. Select appropriate underlying assets 2. Calculate each asset's risk contribution to the portfolio 3. Solve optimization problems to determine final asset weights 4. Use daily returns over the past five years to estimate the covariance matrix for stability [35] - **Evaluation**: The model provides stable returns across economic cycles and is well-suited for domestic investors [32][35] - **Macro Factor-Based Asset Allocation Strategy** - **Model Name**: Macro Factor-Based Strategy - **Construction Idea**: The strategy bridges macroeconomic research with asset allocation by constructing high-frequency macro factors (e.g., growth, inflation, interest rates, credit, exchange rates, liquidity) and aligning asset weights with subjective macroeconomic views [41][46] - **Construction Process**: 1. Calculate factor exposure levels for assets monthly 2. Use risk parity portfolios as benchmarks to compute baseline factor exposures 3. Adjust factor exposure targets based on subjective macroeconomic views (e.g., inflation up = positive deviation) 4. Solve for asset weights using the model [41][46] - **Evaluation**: The strategy effectively incorporates macroeconomic insights into asset allocation, enhancing adaptability to changing economic conditions [41][46] - **Backtest Results for Models** - **Domestic Asset BL Model 1**: - Annualized return: 3.58% - Max drawdown: 1.31% - Annualized volatility: 2.19% [31][33] - **Domestic Asset BL Model 2**: - Annualized return: 3.18% - Max drawdown: 1.06% - Annualized volatility: 1.99% [31][33] - **Domestic Asset Risk Parity Model**: - Annualized return: 3.12% - Max drawdown: 0.76% - Annualized volatility: 1.34% [39][40] - **Macro Factor-Based Strategy**: - Annualized return: 3.42% - Max drawdown: 0.65% - Annualized volatility: 1.32% [46][47]

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Report Core View - Both Shanghai rubber and synthetic rubber are expected to run weakly, with short - term, medium - term, and intraday views all being weakly oscillating [1][5][7] 3. Summary by Related Catalogs Shanghai Rubber (RU) - **Price Performance**: On Wednesday night, the domestic Shanghai rubber futures 2601 contract continued the weakly oscillating trend, with the futures price slightly down 0.37% to 14,795 yuan/ton [5] - **Core Logic**: Although the macro - bearish sentiment has weakened due to Trump's signal, the macro and industrial factors in the rubber market remain weak, so it is expected to maintain a weakly oscillating trend on Thursday [5] Synthetic Rubber (BR) - **Price Performance**: On Wednesday night, the domestic synthetic rubber futures 2512 contract showed a stable and slightly rising trend, with the futures price rebounding 0.84% to 10,835 yuan/ton, but it lacks the momentum to continue strengthening [7] - **Core Logic**: Similar to Shanghai rubber, despite the weakening of macro - bearish sentiment, the macro and industrial factors in the rubber market are still weak, and it is expected to maintain a weakly oscillating trend on Thursday [7]

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - Both Shanghai rubber (RU) and synthetic rubber (BR) are expected to run weakly with a volatile and weak trend in the short - term, medium - term, and intraday periods [1][5][7] 3. Summary by Related Catalogs Shanghai Rubber (RU) - **Price Performance**: On the night session of this Monday, the domestic Shanghai rubber futures 2601 contract continued the volatile and weak trend, with the futures price slightly down 0.80% to 14,870 yuan/ton [5] - **Market Outlook**: It is expected that the Shanghai rubber 2601 contract may maintain a volatile and weak trend on Tuesday [5] - **Core Logic**: Although the macro - bearish sentiment has weakened as US President Trump actively released a signal to ease the situation, the macro and industrial factors in the rubber market still remain weak [5] Synthetic Rubber (BR) - **Price Performance**: On the night session of this Monday, the domestic synthetic rubber futures 2512 contract declined under pressure, with the futures price slightly down 0.92% to 10,800 yuan/ton [7] - **Market Outlook**: It is expected that the domestic synthetic rubber futures 2512 contract may maintain a volatile and weak trend on Tuesday [7] - **Core Logic**: Similar to Shanghai rubber, although the macro - bearish sentiment has weakened, the macro and industrial factors in the rubber market still remain weak [7]

Report Summary 1. Report Industry Investment Rating - No information provided on the investment rating of the industry in the report. 2. Core View of the Report - The domestic crude oil futures contract 2511 is expected to run weakly, with a short - term outlook of weak oscillation, a medium - term outlook of oscillation, and an intraday outlook of decline. Overall, it is expected to maintain a weakly oscillating trend on Friday [1][5]. 3. Summary by Related Content Market Situation of Crude Oil Futures 2511 - Short - term: Weak oscillation; Medium - term: Oscillation; Intraday: Decline; Overall view: Weak operation [1]. Core Logic - Macro factors have weakened as the US federal government shutdown due to the failure of the two parties to reach an agreement has led to a significant increase in global financial market risk - aversion sentiment, pressuring risk assets [5]. - The supply pressure in the oil market has increased again as eight OPEC+ oil - producing countries decided to maintain the production increase measure in November, increasing crude oil production by 137,000 barrels per day [5]. - The "war premium" that previously supported oil prices has subsided as the geopolitical situation in the Middle East has shown signs of easing, with Israel and Hamas signing the first - stage agreement of the "20 - point plan" [5]. - The domestic crude oil futures 2511 contract opened lower and ran weakly on Thursday, and the weak pattern continued at night. It is expected to maintain a weakly oscillating trend on Friday [5].

- The Black-Litterman (BL) model is an improved version of the mean-variance optimization (MVO) model developed by Fisher Black and Robert Litterman in 1990. It combines Bayesian theory with quantitative asset allocation models, allowing investors to incorporate subjective views into asset return forecasts and optimize portfolio weights. This model addresses MVO's sensitivity to expected returns and provides a more robust framework for efficient asset allocation[12][13][14] - The BL model was implemented for both global and domestic assets. For global assets, it utilized indices such as the S&P 500, Hang Seng Index, and COMEX Gold. For domestic assets, it included indices like CSI 300, CSI 1000, and SHFE Gold. Two variations of the BL model were constructed for each asset category[13][14][18] - The Risk Parity model, introduced by Bridgewater in 2005, aims to equalize risk contributions across asset classes in a portfolio. It calculates initial asset weights based on expected volatility and correlation, then optimizes deviations between actual and expected risk contributions to determine final portfolio weights[17][18][20] - The Risk Parity model was applied to both global and domestic assets. Global assets included indices such as CSI 300, S&P 500, and COMEX Gold, while domestic assets incorporated CSI 300, CSI 1000, and SHFE Gold. The model followed a three-step process: selecting assets, calculating risk contributions, and solving optimization problems for portfolio weights[18][20][21] - The Macro Factor-based Asset Allocation model constructs a framework using six macroeconomic risk factors: growth, inflation, interest rates, credit, exchange rates, and liquidity. It employs Factor Mimicking Portfolio methods to calculate high-frequency macro factors and integrates subjective views on macroeconomic conditions into asset allocation decisions[22][24][25] - The Macro Factor-based model involves four steps: calculating factor exposures for assets, determining benchmark factor exposures using a Risk Parity portfolio, incorporating subjective factor deviations based on macroeconomic forecasts, and solving for asset weights that align with target factor exposures[22][24][25] Model Performance Metrics - Domestic BL Model 1: Weekly return -0.11%, September return -0.14%, 2025 YTD return 3.23%, annualized volatility 2.19%, maximum drawdown 1.31%[14][17] - Domestic BL Model 2: Weekly return -0.11%, September return -0.13%, 2025 YTD return 2.84%, annualized volatility 1.99%, maximum drawdown 1.06%[14][17] - Global BL Model 1: Weekly return 0.04%, September return 0.11%, 2025 YTD return 0.84%, annualized volatility 1.99%, maximum drawdown 1.64%[14][17] - Global BL Model 2: Weekly return 0.00%, September return 0.03%, 2025 YTD return 1.84%, annualized volatility 1.63%, maximum drawdown 1.28%[14][17] - Domestic Risk Parity Model: Weekly return -0.06%, September return 0.05%, 2025 YTD return 2.99%, annualized volatility 1.35%, maximum drawdown 0.76%[20][21] - Global Risk Parity Model: Weekly return -0.07%, September return 0.13%, 2025 YTD return 2.50%, annualized volatility 1.48%, maximum drawdown 1.20%[20][21] - Macro Factor-based Model: Weekly return 0.04%, September return 0.26%, 2025 YTD return 3.29%, annualized volatility 1.32%, maximum drawdown 0.64%[26][27]

Group 1 - The report highlights that domestic equity assets performed well in July 2025, with the risk parity strategy achieving a year-to-date return of 2.65% [2][5][20] - The report provides a summary of various asset allocation strategies, indicating that the domestic asset BL strategy 1 and 2 yielded returns of 2.40% and 2.34% respectively, while the risk parity strategy and macro factor-based strategy returned 2.65% and 2.59% respectively [21][41][42] - The report notes that the domestic equity market saw significant gains, with the CSI 1000 index rising by 4.8% and the Hang Seng Index increasing by 2.78% in July [8][9][10] Group 2 - The report discusses the correlation between different asset classes, indicating that the correlation between the CSI 300 and the total wealth index of government bonds was -38.08%, suggesting a potential for diversification [15][16] - The report outlines the performance of various asset allocation models, with the domestic risk parity strategy showing a maximum drawdown of 0.76% and an annualized volatility of 1.46% [41][42] - The macroeconomic outlook suggests downward risks for growth factors, while inflation expectations may stabilize due to recent policy measures [45][47]

Report Summary 1) Report Industry Investment Rating No information provided on the industry investment rating. 2) Core View of the Report - With the temporary cease - fire of the military conflict between Thailand and Cambodia, the geopolitical premium in the rubber market has shrunk. The Shanghai rubber futures 2509 contract has experienced a high - level correction. In the future, it is expected to maintain a high - level oscillating trend due to the divergence between bulls and bears [2][5]. - The improvement of the macro - sentiment has led to an increase in commodity valuations, and the risk appetite of the commodity market has significantly rebounded [3]. 3) Summary According to Related Content Macro Environment - Overseas markets are optimistic. The US Congress has passed relevant bills, which may lead to a loose fiscal policy and help the US debt achieve a soft landing. The US has reached tariff agreements with multiple economies, and the third - round economic and trade talks between China and the US have raised high expectations in the global financial market. This has improved the macro - factors and increased the risk appetite in the commodity market [3]. Rubber Production in Thailand and Cambodia - Thailand is the world's largest natural rubber producer, accounting for about one - third of the global total output. In 2024, its production was 466.24 million tons, a year - on - year decrease of 5.59%. In 2025 from January to May, production was 143.21 million tons, a year - on - year increase of 1.73%. In 2024, exports were 392.63 million tons, a year - on - year decrease of 2.62%. In 2025 from January to May, exports were 177.49 million tons, a year - on - year increase of 11.45%. Cambodia is an emerging rubber - producing country. In 2024, its production was 40.72 million tons, a year - on - year increase of 3.93%, and exports were 39.95 million tons, a year - on - year increase of 1.65%. Thailand's annual production and exports are 11.45 times and 9.83 times that of Cambodia respectively [4]. Impact of the Conflict on Rubber Production - The conflict area between Thailand and Cambodia is mainly in Thailand's Surin Province and Cambodia's Oddar Meanchey Province. In Thailand, the rubber production in Surin Province is limited. In Cambodia, the main rubber - producing areas are not in Oddar Meanchey Province. So the conflict has a limited impact on rubber production, and the geopolitical premium in the rubber market has decreased [5].

Report Summary 1) Report Industry Investment Rating No information provided. 2) Core View of the Report The domestic crude oil futures contract 2509 is expected to run weakly, with short - term, medium - term, and intraday views being oscillation, oscillation, and oscillation - weak respectively [1][5]. 3) Summary by Related Content Market Situation - The domestic crude oil futures 2509 contract closed slightly lower by 1.32% to 501.9 yuan/ton on the night session of last Friday [5]. Driving Factors - Macro factors improved as the US and Europe reached a trade agreement last weekend, and China and the US will hold an economic and trade meeting in Sweden at the end of this month, leading to a recovery in the risk appetite of the commodity market [5]. - The sharp decline of black commodities on last Friday weakened the bullish atmosphere in the commodity futures market and increased the bearish sentiment. Currently, the supply - demand structure of the crude oil market is strong on both sides, and macro sentiment is dominant [5]. Forecast - It is expected that the domestic crude oil futures 2509 contract will maintain an oscillation - weak trend on Monday this week [5].

Quantitative Models and Construction Methods 1. Factor Name: Beta Factor - **Construction Idea**: The Beta factor measures the sensitivity of a stock's returns to the overall market returns, indicating its systematic risk[29] - **Construction Process**: - Calculate the covariance between the stock's returns and the market returns - Divide this covariance by the variance of the market returns - Formula: $ \beta = \frac{\text{Cov}(R_i, R_m)}{\text{Var}(R_m)} $ where $R_i$ is the return of the stock and $R_m$ is the return of the market[29] - **Evaluation**: The Beta factor is a widely used measure of risk, indicating how much a stock's price is expected to move relative to the market[29] 2. Factor Name: Liquidity Factor - **Construction Idea**: The Liquidity factor assesses the ease with which a stock can be traded without affecting its price, reflecting the market's depth and breadth[29] - **Construction Process**: - Measure the average daily trading volume - Calculate the bid-ask spread - Combine these metrics to form a composite liquidity score - Formula: $ \text{Liquidity} = \frac{\text{Average Daily Volume}}{\text{Bid-Ask Spread}} $[29] - **Evaluation**: The Liquidity factor is crucial for understanding the trading costs and potential price impact of large trades[29] 3. Factor Name: Profitability Quality Factor - **Construction Idea**: The Profitability Quality factor evaluates the financial health and earnings quality of a company, focusing on sustainable and high-quality earnings[29] - **Construction Process**: - Analyze various financial ratios such as return on equity (ROE), return on assets (ROA), and profit margins - Combine these ratios into a composite score - Formula: $ \text{Profitability Quality} = \frac{\text{ROE} + \text{ROA} + \text{Profit Margin}}{3} $[29] - **Evaluation**: This factor helps in identifying companies with strong and sustainable earnings, which are likely to perform well in the long term[29] Factor Backtesting Results 1. Beta Factor - **IR**: 0.45[29] - **Annualized Return**: 8.5%[29] - **Volatility**: 12.3%[29] 2. Liquidity Factor - **IR**: 0.38[29] - **Annualized Return**: 7.8%[29] - **Volatility**: 11.5%[29] 3. Profitability Quality Factor - **IR**: 0.52[29] - **Annualized Return**: 9.2%[29] - **Volatility**: 10.8%[29] Additional Factors and Their Performance 1. Factor Name: Skewness Factor - **Construction Idea**: The Skewness factor measures the asymmetry of the return distribution, indicating the potential for extreme positive or negative returns[33] - **Construction Process**: - Calculate the third moment of the return distribution - Normalize by the cube of the standard deviation - Formula: $ \text{Skewness} = \frac{E[(R - \mu)^3]}{\sigma^3} $ where $R$ is the return, $\mu$ is the mean return, and $\sigma$ is the standard deviation[33] - **Evaluation**: This factor is useful for understanding the tail risks and potential for extreme outcomes in the return distribution[33] 2. Factor Name: Position Change Factor - **Construction Idea**: The Position Change factor tracks changes in the holdings of large institutional investors, indicating their sentiment and market positioning[33] - **Construction Process**: - Monitor the quarterly filings of institutional investors - Calculate the net change in positions for each stock - Formula: $ \text{Position Change} = \frac{\text{Current Quarter Holdings} - \text{Previous Quarter Holdings}}{\text{Previous Quarter Holdings}} $[33] - **Evaluation**: This factor provides insights into the buying and selling activities of major market players, which can influence stock prices[33] Factor Backtesting Results 1. Skewness Factor - **IR**: 0.42[33] - **Annualized Return**: 8.1%[33] - **Volatility**: 11.9%[33] 2. Position Change Factor - **IR**: 0.47[33] - **Annualized Return**: 8.7%[33] - **Volatility**: 11.2%[33]