1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Last week, the bond futures showed a differentiated trend, with the 30 - year main contract rising by 0.45%, the ten - year main contract falling by 0.01%, the five - year main contract rising by 0.01%, and the two - year main contract falling by 0.01%. The market risk preference gradually weakened, activating the hedging attribute of bond futures. The downward trend of bond futures is not likely to reverse when the long - term bullish logic of the stock market remains unchanged and the coupon income of bonds is not very attractive. Only when the expected return of equity or risk assets declines marginally, the short - term hedging trading attribute of the bond market becomes more obvious [6]. - Last week, domestic commodities remained highly volatile. Energy and chemical products showed a differentiated trend, with significant declines in crude oil and fuel oil, but sharp increases in some chemical products. The market's expectations regarding the situation in the Iranian region are still the focus of divergence and game. Most commodity factors declined, with significant drops in term - structure factors and slight declines in volatility, basis, and warehouse - receipt factors. Long - term trend and term - structure factors remain effective, and the gradual recovery of fundamental factors is worthy of future attention [13][15]. 3. Summary by Directory 3.1 Treasury Bond Futures Quantitative Strategy 3.1.1 Treasury Bond Futures Market Review - Last week, each bond futures contract showed a differentiated trend. The 30 - year main contract rose by 0.45%, the ten - year main contract fell by 0.01%, the five - year main contract rose by 0.01%, and the two - year main contract fell by 0.01%. The basis of each variety also showed a differentiated trend. The CTD bond of the ten - year bond was 250025, with a basis of about 0.06 yuan on the 27th, in line with the historical average. The CTD bond of the 30 - year bond was 210014, with a basis of 0.34 yuan on the 20th, higher than the historical average [6]. - The market risk preference gradually weakened, activating the hedging attribute of bond futures. The downward trend of bond futures is not likely to reverse when the long - term bullish logic of the stock market remains unchanged and the coupon income of bonds is not very attractive. Only when the expected return of equity or risk assets declines marginally, the short - term hedging trading attribute of the bond market becomes more obvious [6]. - For the ten - year treasury bond, in the out - of - sample period (from January 1, 2021, to the present), the annualized return, Sharpe ratio, and maximum drawdown of the portfolio under single - leverage are 2.71%, 1.27, and 2.04% respectively. Since the release of the report (from November 1, 2025, to the present), the annualized return, Sharpe ratio, and maximum drawdown of the portfolio under single - leverage are 2.62%, 1.61, and 0.67% respectively [6]. 3.1.2 Unilateral Strategy Performance - The unilateral strategy's performance is shown in the table. The annualized return, annualized volatility, annualized Sharpe ratio, maximum drawdown, and Calmar ratio in the full - sample period are 2.71%, 2.13%, 1.27, 2.04%, and 1.32 respectively. Since the report was released, these indicators are 2.62%, 1.63%, 1.61, 0.67%, and 3.88 respectively [9]. - The large - category factors include basis, intraday technical, intraday volume - price, high - frequency capital flow, member positions, and risk assets. The signal is generated by equal - weighting within each large - category factor and then taking the average, with the sign of the average as the long - short signal. The back - test details are that the strategy uses the VWAP of the first ten minutes of the next - day's opening as the trading price and buys with single - leverage [11]. 3.2 Commodity CTA Factor and Strategy Performance 3.2.1 Commodity Factor Performance - Last week, domestic commodities remained highly volatile. Energy and chemical products showed a differentiated trend, with significant declines in crude oil and fuel oil, but sharp increases in some chemical products. The market's expectations regarding the situation in the Iranian region are still the focus of divergence and game. Most commodity factors declined, with significant drops in term - structure factors and slight declines in volatility, basis, and warehouse - receipt factors. Long - term trend and term - structure factors remain effective, and the gradual recovery of fundamental factors is worthy of future attention [13][15]. 3.2.2 Tracking Strategy Performance - The performance of each tracking strategy is as follows: - CWFT strategy: Annualized return of 9.4%, Sharpe ratio of 1.62, Calmar ratio of 1.07, maximum drawdown of - 8.81%, recent one - week return of - 0.22%, and year - to - date return of 2.84% [14]. - C_frontnext & Short Trend strategy: Annualized return of 11.2%, Sharpe ratio of 1.70, Calmar ratio of 1.66, maximum drawdown of - 6.72%, recent one - week return of - 1.19%, and year - to - date return of 1.42% [14]. - Long CWFT & Short CWFT strategy: Annualized return of 12.6%, Sharpe ratio of 1.41, Calmar ratio of 0.96, maximum drawdown of - 13.07%, recent one - week return of - 0.84%, and year - to - date return of 5.56% [14]. - CS XGBoost strategy: Annualized return of 4.8%, Sharpe ratio of 0.78, Calmar ratio of 0.22, maximum drawdown of - 21.64%, recent one - week return of - 0.44%, and year - to - date return of - 5.86% [14]. - RuleBased TS Sharp - combine strategy: Annualized return of 11.4%, Sharpe ratio of 1.49, Calmar ratio of 1.38, maximum drawdown of - 8.26%, recent one - week return of - 0.75%, and year - to - date return of - 0.05% [14]. - RuleBased TS XGB - combine strategy: Annualized return of 10.8%, Sharpe ratio of 1.88, Calmar ratio of 2.18, maximum drawdown of - 4.95%, recent one - week return of - 1.08%, and year - to - date return of - 3.30% [14]. - CS strategies, EW combine strategy: Annualized return of 12.6%, Sharpe ratio of 1.80, Calmar ratio of 1.71, maximum drawdown of - 7.38%, recent one - week return of - 0.84%, and year - to - date return of 2.86% [14]. - Among the above six strategies, the CWFT strategy performed the best last week with a return of - 0.22%, and the Long CWFT & Short CWFT strategy performed the best year - to - date with a return of 5.56%. The equal - weighted composite strategy of the above cross - sectional strategies (equal - weighted weekly returns) has an annualized return of 12.6%, a Sharpe ratio of 1.80, a Calmar ratio of 1.71, a maximum drawdown of - 7.38%, a recent one - week return of - 0.84%, and a year - to - date return of 2.86% [34].

1. Report Industry Investment Rating - No relevant information provided. 2. Core Viewpoints - Last week, all Treasury bond futures contracts closed higher, with the 30 - year, 10 - year, 5 - year, and 2 - year main contracts rising by 1.24%, 0.14%, 0.09%, and 0.02% respectively. The basis of each variety widened. The sentiment slightly recovered, driving the strength of each Treasury bond variety. With the continuous policy support since the beginning of the year and the overall stable economic operation, the short - term upward momentum is strong, and the core factors such as intraday technology and basis are still dominated by bulls [6]. - In the domestic commodity market last week, there were more rising varieties. The top risers were lithium carbonate, styrene, silver, PTA, synthetic rubber and other precious metals and some energy - chemical products, while the biggest decliners were caustic soda, glass, and coking coal, with a decline of more than 3%. Commodity factors generally performed strongly, with the average return of factors reflecting long - term price trends exceeding 1%, and the long - short strength ratio of the change in the positions of leading members in the position - related factors also having a return of more than 1% last week. The two - year value factor and some volatility factors also showed strong performance. Due to external market disturbances, the volatility of commodity factor returns is increasing. Investors are advised to focus on several types of commodity factors with long - term expected return capabilities [26][29]. 3. Summary by Relevant Catalogs 3.1 Treasury Bond Futures Quantitative Strategy - **Market Review**: The 30 - year main contract rose 1.24%, the 10 - year main contract rose 0.14%, the 5 - year main contract rose 0.09%, and the 2 - year main contract rose 0.02% last week. The basis of each variety widened. The 10 - year CTD bond was 250018, with a basis of about 0.05 yuan on the 23rd, slightly lower than the seasonal level; the 30 - year CTD bond was 210005, with a basis of 0.35 yuan on the 16th, lower than the seasonal level [6]. - **Factor Sharpe Ratio**: For the 10 - year Treasury bond, the Sharpe ratios of the basis factor, risk asset, and member position in 2025 are 1.68, 1.93, and 0.59 respectively. For the 5 - year Treasury bond, the Sharpe ratios of high - frequency capital flow, intraday volume - price, risk asset, member position, and basis factor in 2025 are 2.51, 2.27, 1.71, 1.33, and 0.78 respectively. For the 2 - year Treasury bond, the Sharpe ratios of high - frequency capital flow, basis factor, intraday volume - price, and member position in 2025 are 2.45, 1.82, 1.59, and 0.82 respectively [6][18][19][20]. 3.2 Commodity CTA Factor and Strategy Performance - **Commodity Factor Performance**: Last week, there were more rising varieties in the domestic commodity market. The top risers were lithium carbonate, styrene, silver, PTA, synthetic rubber and other precious metals and some energy - chemical products, while the biggest decliners were caustic soda, glass, and coking coal, with a decline of more than 3%. Commodity factors generally performed strongly, with the average return of factors reflecting long - term price trends exceeding 1%, and the long - short strength ratio of the change in the positions of leading members in the position - related factors also having a return of more than 1% last week. The two - year value factor and some volatility factors also showed strong performance. The volatility of commodity factor returns is increasing [26][29]. - **Tracking Strategy Performance**: - CWFT strategy: Annualized return of 9.3%, Sharpe ratio of 1.60, Calmar of 1.06, maximum drawdown of - 8.81%, recent one - week return of 0.62%, and year - to - date return of 0.83% [27]. - C_frontnext & Short Trend strategy: Annualized return of 11.2%, Sharpe ratio of 1.71, Calmar of 1.67, maximum drawdown of - 6.72%, recent one - week return of - 0.48%, and year - to - date return of - 0.07% [27]. - Long CWFT & Short CWFT strategy: Annualized return of 12.1%, Sharpe ratio of 1.36, Calmar of 0.92, maximum drawdown of - 13.07%, recent one - week return of 0.45%, and year - to - date return of 0.71% [27]. - CS XGBoost strategy: Annualized return of 5.4%, Sharpe ratio of 0.90, Calmar of 0.28, maximum drawdown of - 19.39%, recent one - week return of - 0.68%, and year - to - date return of - 3.16% [27]. - RuleBased TS Sharp - combine strategy: Annualized return of 11.6%, Sharpe ratio of 1.52, Calmar of 1.41, maximum drawdown of - 8.26%, recent one - week return of - 1.04%, and year - to - date return of - 0.59% [27]. - RuleBased TS XGB - combine strategy: Annualized return of 11.4%, Sharpe ratio of 1.99, Calmar of 2.54, maximum drawdown of - 4.49%, recent one - week return of - 0.63%, and year - to - date return of - 1.92% [27]. - CS strategies, EW combine strategy: Annualized return of 12.6%, Sharpe ratio of 1.80, Calmar of 1.71, maximum drawdown of - 7.38%, recent one - week return of 0.30%, and year - to - date return of 0.91% [27]. - **Strategy Position Details**: Each strategy has specific position details such as the number of position varieties, net position, total position return, winning rate, and performance of individual varieties last week, as well as the number of position varieties, net position, number of varieties to be rolled over, and total turnover capital ratio this week [34][36][38][40][42][44]. - **Best - Performing Strategies**: The best - performing strategy last week and year - to - date was CWFT. The equal - weighted composite strategy of the above cross - sectional strategies has an annualized return of 12.6%, a Sharpe ratio of 1.80, a Calmar of 1.71, a maximum drawdown of - 7.38%, a recent one - week return of 0.30%, and a year - to - date return of 0.91% [47].

1. Report Industry Investment Rating No information provided in the given content. 2. Core Viewpoints of the Report - In the Treasury bond futures market, last week all Treasury bond futures contracts closed down, with the 30 - year, 10 - year, 5 - year, and 2 - year main contracts dropping by 0.04%, 0.08%, 0.12%, and 0.07% respectively. The basis of each variety was differentiated. The CTD bond basis of the 10 - year and 30 - year bonds showed different relationships with the seasonal level. The 12 - month inflation data exceeded market expectations, affecting the bond market trend. For different - term Treasury bonds, different factors had different Sharpe ratios in 2025 [6]. - In the domestic commodity market in the first week of 2026, it generally rose, with lithium carbonate leading the rise and polysilicon leading the decline. Tin and coking coal had a rise of over 6%. Different commodity factors had obvious performance differences. The term - structure and basis - type factors almost closed flat, the volume - price trend - type factors had a return of over 0.5%, the value - type and volatility - type factors rose slightly, and the warrant - type factors had a decline of over 0.5%. Due to external market disturbances, the volatility of commodity factor returns increased. It is recommended that investors focus on commodity factors with long - term expected return capabilities, adopt a balanced allocation approach, and prevent risks [25]. - For the commodity tracking strategies, different strategies had different performance indicators such as annualized return, Sharpe ratio, Calmar ratio, and maximum drawdown. Among them, the Long CWFT & Short CWFT strategy had the best performance last week and so far this year, with a return of 0.53%. The equal - weighted composite strategy of the cross - sectional strategies had an annualized return of 12.6%, a Sharpe ratio of 1.79, a Calmar of 1.71, a maximum drawdown of - 7.38%, a recent one - week return of 0.62%, and a return of 0.62% so far this year [26][47]. 3. Summary According to the Directory 3.1 Treasury Bond Futures Market - **Market Performance Last Week**: All Treasury bond futures contracts closed down. The 30 - year main contract dropped by 0.04%, the 10 - year by 0.08%, the 5 - year by 0.12%, and the 2 - year by 0.07%. The basis of each variety was differentiated. The 10 - year CTD bond was 250018, with a basis of about 0.09 yuan on the 31st, in line with the seasonal level; the 30 - year CTD bond was 210005, with a basis of 0.23 yuan on the 31st, lower than the seasonal level [6]. - **Influencing Factors**: The 12 - month inflation data exceeded market expectations. The bond market weakened in the early session on Friday last week. It strengthened briefly around the primary market issuance but finally declined with the strong performance of the stock market [6]. - **Factor Performance in 2025**: For the 10 - year Treasury bond, the factors ranked by Sharpe ratio were the basis factor, risk asset, and member position, with Sharpe ratios of 1.68, 1.93, and 0.59 respectively; for the 5 - year Treasury bond, they were high - frequency capital flow, intraday volume - price, risk asset, member position, and basis factor, with Sharpe ratios of 2.51, 2.27, 1.71, 1.33, and 0.78 respectively; for the 2 - year Treasury bond, they were high - frequency capital flow, basis factor, intraday volume - price, and member position, with Sharpe ratios of 2.45, 1.82, 1.59, and 0.82 respectively [6][17][18][19]. 3.2 Commodity Market - **Commodity Factor Performance**: In the first week of 2026, the domestic commodity market generally rose. Lithium carbonate led the rise, and polysilicon led the decline. Tin and coking coal had a rise of over 6%. Different commodity factors had obvious performance differences. The term - structure and basis - type factors almost closed flat, the volume - price trend - type factors had a return of over 0.5%, the value - type and volatility - type factors rose slightly, and the warrant - type factors had a decline of over 0.5%. Due to external market disturbances, the volatility of commodity factor returns increased. It is recommended that investors focus on commodity factors with long - term expected return capabilities, adopt a balanced allocation approach, and prevent risks [25]. - **Tracking Strategy Performance** - **CWFT Strategy**: Annualized return of 9.2%, Sharpe ratio of 1.58, Calmar of 1.05, maximum drawdown of - 8.81%, recent one - week return of 0.03%, and return of 0.03% so far this year [26]. - **C_frontnext & Short Trend Strategy**: Annualized return of 11.4%, Sharpe ratio of 1.73, Calmar of 1.69, maximum drawdown of - 6.72%, recent one - week return of 0.47%, and return of 0.47% so far this year [26]. - **Long CWFT & Short CWFT Strategy**: Annualized return of 12.1%, Sharpe ratio of 1.36, Calmar of 0.93, maximum drawdown of - 13.07%, recent one - week return of 0.53%, and return of 0.53% so far this year [26]. - **CS XGBoost Strategy**: Annualized return of 5.7%, Sharpe ratio of 0.95, Calmar of 0.32, maximum drawdown of - 17.98%, recent one - week return of - 1.47%, and return of - 1.47% so far this year [26]. - **RuleBased TS Sharp - combine Strategy**: Annualized return of 11.7%, Sharpe ratio of 1.53, Calmar of 1.42, maximum drawdown of - 8.26%, recent one - week return of - 0.57%, and return of - 0.57% so far this year [26]. - **RuleBased TS XGB - combine Strategy**: Annualized return of 11.6%, Sharpe ratio of 2.02, Calmar of 2.58, maximum drawdown of - 4.49%, recent one - week return of - 1.38%, and return of - 1.38% so far this year [26]. - **CS strategies, EW combine Strategy**: Annualized return of 12.6%, Sharpe ratio of 1.79, Calmar of 1.71, maximum drawdown of - 7.38%, recent one - week return of 0.62%, and return of 0.62% so far this year [26]. - **Best - Performing Strategy**: The Long CWFT & Short CWFT strategy performed best last week and so far this year, with a return of 0.53% [47].