2026年1月5日 周度报告 期指长周期因子上升 金融工程周报 操作评级 股指 ☆☆☆ 国债 ☆☆☆ 王锴 金融工程组 010-58747784 gtaxinstitute@essence.com. cn Z0016943 F03091361 本报告版权属于国投期货有限公司 1 不可作为投资依据，转载请注明出处 p 截至12月31日当周，四大期指表现分化，其中IC和IH上涨， 涨幅分别为0.39%和0.90%，IF和IM分别下跌0.08%和 0.01%。行业层面，石油石化、国防军工、传媒等行业表现 相对较好，公用事业、食品饮料、电力设备等行业表现落后。 当前市场风险偏好在资金情绪推动下持续修复。 p 从高频宏观基本面因子评分来看，期指方面，通胀指标8分， 流动性指标7分，估值指标11分，市场情绪指标9分。期债 方面，通胀指标8分，流动性指标9分，市场情绪指标6分。 期限结构方面，IF、IC、IM和IH当季合约的年化基差率分 别为-1.95%、-4.62%、-8.48%和0.95%，IF、IC、 IM贴水幅度有所收窄，IH升水幅度扩大。 p 金融衍生品量化CTA策略上周净值没有变化，没有产生交 易信号。长周期方 ...

期指长周期因子小幅下降 金融工程周报 操作评级 股指 ☆☆☆ 国债 ☆☆☆ 王锴 金融工程组 010-58747784 gtaxinstitute@essence.com. cn Z0016943 F03091361 本报告版权属于国投期货有限公司 1 不可作为投资依据，转载请注明出处 2025年12月29日 周度报告 p 截至12月26日当周，期指分化，IH2601上升1.45%， IF2601上升2.79%，IC2601上升4.86%，IM2601上升 4.97%。板块层面，交投情绪升温带动科技与反内卷主线再 度活跃，卫星通信、新能源等板块表现强势。展望后市，当 前市场在资金情绪推动下持续修复，主要宽基指数已接近前 期高位。 p 从高频宏观基本面因子评分来看，期指方面，通胀指标8分， 流动性指标9分，估值指标11分，市场情绪指标9分。期债 方面，通胀指标8分，流动性指标9分，市场情绪指标5分。 期限结构方面，IH、IF、IC、IM 期末持仓量加权年化基差 率（分红调整）分别为 1.05%、-1.36%、-3.5%、- 6.52%，远月合约贴水较上周有所收窄。 p 金融衍生品量化CTA策略上周净值上升0.9 ...

本报告版权属于国投期货有限公司 1 不可作为投资依据，转载请注明出处 2025年12月15日 周度报告 期指长周期因子下降 金融工程周报 操作评级 股指 ☆☆☆ 国债 ☆☆☆ 王锴 金融工程组 010-58747784 gtaxinstitute@essence.com. cn Z0016943 F03091361 p 截至12月12日当周，A股整体呈结构化震荡走势，全市场日 均成交额为195万亿元，较上周增加近2600亿元，市场成 交活跃度小幅回升。三大指数涨跌不一，其中上证指数下跌 0.34%。短期增量政策与经济数据信息相对有限，市场结构 性特征显现。 p 从高频宏观基本面因子评分来看，期指方面，通胀指标8分， 流动性指标9分，估值指标11分，市场情绪指标9分。期债 方面，通胀指标8分，流动性指标10分，市场情绪指标6分。 期限结构方面，IH、IF、IC、IM 期末持仓量加权年化基差 率（分红调整）分别为 0.33%、-2.32%、-4.16%、- 9.95%，远月合约贴水再度扩大。 p 金融衍生品量化CTA策略上周净值没有变化。长周期方面， 社融数据虽然小幅超预期，但信贷数据M1和M2等均表现出 了超季 ...

Report Industry Investment Rating - The investment ratings for stock index futures and treasury bond futures are both ☆☆☆ [1] Core Viewpoints - As of the week ending November 28, stock index futures showed differentiation. IH2512 rose 1.27%, IF2512 rose 2.67%, IC2512 rose 4.29%, and IM2512 rose 4.84%. The driving logic of policy and capital has not changed significantly, overseas macro is relatively stable, but domestic capital has not become more relaxed, and overall risk appetite has recovered [1] - The high - frequency macro - fundamental factor scores for stock index futures are: inflation indicator 8 points, liquidity indicator 9 points, valuation indicator 11 points, and market sentiment indicator 9 points. For treasury bond futures, the inflation indicator is 8 points, the liquidity indicator is 10 points, and the market sentiment indicator is 7 points. The weighted annualized basis rates (dividend - adjusted) of the ending open - interest of IH, IF, IC, and IM are - 2.81%, - 6.24%, - 12.5%, and - 15.52% respectively, and the discount of far - month contracts has widened again [1] - The net value of the financial derivatives quantitative CTA strategy rose slightly by 0.51% last week. In the long - term, most economic data in November showed weakening growth, industrial enterprises were weaker than seasonal, and PMI was lower than expected, putting pressure on IF and IC. In the short - term, medium - and high - frequency real estate and consumption are still weak, the RMB has continued to appreciate against the US dollar, and the capital situation remains relatively loose, with a relatively limited short - term increase. In terms of open - interest, risk appetite has recovered compared to last week. IF and IH remain relatively neutral, while IC and IM have increased significantly. The overall comprehensive signal is above neutral. For treasury bond futures, the capital situation remains loose, and the market risk appetite is relatively conducive to the recovery of the bond market, but the stock - bond seesaw effect is not significant, the bond market is insensitive to fundamental feedback, the open - interest factor has declined slightly, and institutional year - end allocation behavior has not yet been concentrated, with the comprehensive signal in a neutral oscillation [1] Summary by Related Catalogs Macro - fundamental Medium - and High - frequency Factor Scores - Economic kinetic energy indicators such as the blast furnace operating rate, PTA operating rate, etc. have different weekly changes, and the scores for stock index futures and treasury bond futures are 8 and 0 respectively (on a scale of 0 - 10) [2] Inflation Indicators - Various inflation - related indicators such as the vegetable basket product wholesale price index, coking coal index, etc. have different weekly changes, and the scores for both stock index futures and treasury bond futures are 8 (on a scale of 0 - 10) [3] Liquidity - Liquidity - related indicators such as DR007, DR001, etc. have different weekly changes, and the score for stock index futures is 9 (on a scale of 0 - 10) [4] Index Valuation - Index valuation indicators such as PE, PS, etc. have different weekly changes, and the score for stock index futures is 10 (on a scale of 0 - 10) [5] Market Sentiment: Stock Index - Stock - index - related market sentiment indicators such as margin trading balances, northbound trading amounts, etc. have different weekly changes, and the score for treasury bond futures is 9 (on a scale of 0 - 10) [6] Market Sentiment: Bond - Bond - related market sentiment indicators such as the 10 - year CDB bond yield, S&P 500 volatility index, etc. have different weekly changes, and the score for treasury bond futures is 7 (on a scale of 0 - 10) [7] Strategy Introduction - The product pool includes stock index futures and treasury bond futures. The short - term model focuses on market style, external factors, and capital data, while the long - term model focuses on market expectations and macro - economic data. The open - interest is synthesized based on institutional long and short positions [17] Forecast Signals - As of last Friday, the short - term model, open - interest indicator, long - term model, and comprehensive signals for different futures contracts are provided, and the principles for signal synthesis and trading are explained [18] Last Week's Situation - The trading signals for different futures contracts from November 24 - 28, 2025, are presented, and the data source is provided [20] Treasury Bond Futures Cross - Variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the resonance of signals from the fundamental three - factor model and the trend regression model. The fundamental factors use the Nelson - Siegel instantaneous forward - rate function, and the signals are divided into three types. In actual operation, a duration - neutral ratio of 1:1.8 is used to adjust the 10 - 5Y spread [21] Market Quotes and Trading Signals - The trading signals of the TF and T main contracts from November 24 - 28, 2025, are provided, and the data source is provided [24]

1. Report Industry Investment Ratings - The investment ratings for stock indices and government bonds are ☆☆☆, indicating a relatively clear long/short trend and current appropriate investment opportunities [1] 2. Core Views of the Report - As of the week ending November 28, stock index futures showed differentiation. IH2512 rose 1.27%, IF2512 rose 2.67%, IC2512 rose 4.29%, and IM2512 rose 4.84%. The driving logic of policy and capital did not change significantly, overseas macro was relatively stable, domestic capital remained relatively loose, and overall risk appetite recovered [1] - The high - frequency macro - fundamental factor scores showed that for stock index futures, the inflation indicator scored 8 points, the liquidity indicator scored 9 points, the valuation indicator scored 11 points, and the market sentiment indicator scored 9 points. For government bond futures, the inflation indicator scored 8 points, the liquidity indicator scored 10 points, and the market sentiment indicator scored 7 points [1] - The net value of the financial derivatives quantitative CTA strategy rose slightly by 0.51% last week. In the long - term, most economic data in November showed weakening growth, and IF and IC were under pressure. In the short - term, high - frequency real estate and consumption remained weak, the RMB appreciated against the US dollar, and the capital remained relatively loose with a limited short - term increase. Risk appetite recovered compared to last week, with IF and IH remaining neutral and IC and IM rising significantly. The overall comprehensive signal was above neutral. For government bond futures, the capital remained loose, market risk appetite was conducive to bond market repair, but the stock - bond seesaw effect was not significant, and the comprehensive signal was in a neutral oscillation [1] 3. Summary by Related Catalogs 3.1 Macro - fundamental Medium - and High - frequency Factor Scores - Among economic kinetic factors, the blast furnace开工率 decreased by 1.68%, the开工率 of PTA in China decreased by 1.68%, the refining plant开工率 in Shandong increased by 7.92%, the开工率 of automobile tires decreased by 4.98%, and the开工率 of downstream looms in the polyester filament industry in the Jiangsu and Zhejiang regions increased by 5.67%. The stock index futures score was 8, and the government bond futures score was 0 [2] 3.2 Inflation Indicators - The vegetable basket product wholesale price 200 index rose 0.73%, the coking coal index rose 0.57%, the price of 1 electrolytic copper rose 0.92%, the South China styrene index rose 1.81%, the CIF price of liquefied natural gas in China remained unchanged, the compound fertilizer index rose 1.30%, and the settlement price of natural rubber rose 1.35%. The stock index futures and government bond futures scores were both 8 [3] 3.3 Liquidity - DR007 decreased by 0.24%, DR001 decreased by 1.17%, GC001 weighted average increased by 5.63%, GC007 weighted average decreased by 2.57%, SHIBOR overnight decreased by 0.68%, SHIBOR 1 - week increased by 0.48%, the US dollar index decreased by 0.76%, and the inter - bank certificate of deposit yield (AAA) for 1 - month remained unchanged. The stock index futures score was 9 [4] 3.4 Index Valuation - The price - earnings ratio (TTM) rose 1.66%, the price - sales ratio (TTM) rose 1.66%, the dividend yield (last 12 months) decreased by 2.15%, and the price - cash - flow ratio (operating cash flow TTM) rose 1.67%. The stock index futures score was 10 [5] 3.5 Market Sentiment: Stock Indices - The margin trading balance rose 0.46%, the short - selling balance rose 5.09%, the net purchase amount of northbound funds was unchanged, the selling amount of northbound funds was unchanged, and the Shanghai Stock Exchange A - share trading volume decreased by 26.01%. The government bond futures score was 9 [6] 3.6 Market Sentiment: Bonds - The yield of 10 - year China Development Bank bonds rose 1.65%, the VIX index of the US S&P 500 decreased by 30.22%, the credit spread (median) of all industrial bonds remained unchanged, and the trading volume of the Shanghai Stock Exchange government bond index rose 33.65%. The government bond futures score was 7 [7] 3.7 Strategy Introduction - The product pool includes stock index futures and government bond futures. The short - term model focuses on market style, external factors, and capital, while the long - term model focuses on market expectations and macro - economic data. The position volume is synthesized considering institutional long and short positions [17] 3.8 Forecast Signals - The short - term model signals for IF, IH, IC, IM, T, and TF were 0.51, 0.51, 0.52, 0.53, 0.53, and 0.52 respectively; the position volume indicators were 0, 0, 1, 0, 0, and 0 respectively; the long - term model signals were 0.52, 0.5, 0.52, 0.51, 0.51, and 0.52 respectively; the comprehensive signals were 0.52, 0.51, 0.55, 0.5, 0.51, and 0.53 respectively [18] 3.9 Last Week's Situation - From November 24 to 28, the signals for IF, IH, IC, IM, T, and TF were mostly 0 [20] 3.10 Government Bond Futures Cross - variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the resonance of signals from the fundamental three - factor model and the trend regression model. The fundamental three - factor model uses the Nelson - Siegel instantaneous forward - rate function, and the signals are classified into three types: '1', '0', and '-1'. The trend regression model filters signals, and trading occurs when there is resonance. In practice, the 10 - 5Y spread is adjusted with a 1:1.8 ratio [21] 3.11 TF and T Main Contract Trading Signals - From November 24 to 28, the N - S model and trend regression model signals for TF and T main contracts were mostly 0, with the N - S model showing a signal of 1 on November 27 [24]

Report Investment Ratings - Index Futures: ☆☆☆ [1] - Treasury Bond Futures: ☆☆☆ [1] Core Views - As of the week ending November 21, index futures declined. IH2511 dropped 2.49%, IF2511 fell 3.38%, IC2511 decreased 5.17%, and IM2511 declined 5.02%. Geopolitical tensions and overseas tech - stock corrections, along with the weakening of the Fed's rate - cut expectations, pressured investors' risk appetite [1]. - The high - frequency macro - fundamental factor scores for index futures are: inflation indicator 8 points, liquidity indicator 8 points, valuation indicator 11 points, and market sentiment indicator 9 points. For treasury bond futures, the inflation indicator is 8 points, the liquidity indicator is 10 points, and the market sentiment indicator is 8 points [1]. - The weighted annualized basis rates (dividend - adjusted) of IH, IF, IC, and IM at the end of the period were - 3.35%, - 5.92%, - 9.19%, and - 9.89% respectively. The basis rates of IC and IM contracts were above the 50th percentile in the past year, showing significant divergence in the basis trends of index futures [1]. - The net value of the financial derivatives quantitative CTA strategy rose slightly by 0.21% last week. In the long - term, most economic data indicate weakening growth, pressuring index futures. In the short - term, high - frequency real estate and consumption remain weak, the exchange rate is at a low level, and the capital market remains relatively loose, resulting in a relatively limited short - term decline [1]. - For index futures, the risk appetite is at a six - month low, IF and IH are relatively neutral, and the overall comprehensive signal is below neutral. For treasury bond futures, the capital market remains loose, the market risk appetite is conducive to the bond market's recovery, but the stock - bond seesaw effect is not significant, and the bond market is insensitive to fundamental feedback. The position factor has declined, and institutional year - end allocation behavior has not yet emerged intensively, with the comprehensive signal in a neutral oscillation [1]. Summary by Related Catalogs Macro - fundamental High - frequency Factor Scores - Economic kinetic energy: The scores for index futures and treasury bond futures are 8 and 0 respectively (on a scale of 0 - 10). Different indicators such as blast furnace开工率, PTA开工率, etc., show various week - on - week changes, historical percentiles, and correlations with stock and bond indices [2]. - Inflation indicators: The scores for both index futures and treasury bond futures are 8 (on a scale of 0 - 10). Various inflation - related indicators like the vegetable basket product wholesale price index, coking coal index, etc., have different week - on - week changes, historical percentiles, and correlations with stock and bond indices [3]. - Liquidity: The score for index futures is 9 (on a scale of 0 - 10). Indicators such as DR007, DR001, etc., show different week - on - week changes, historical percentiles, and correlations with stock and bond indices [4]. - Index valuation: The score for index futures is 10 (on a scale of 0 - 10). Valuation indicators such as PE, PS, etc., have different week - on - week changes, historical percentiles, and correlations with stock indices [5]. - Market sentiment: For stock indices, the score is 9 (on a scale of 0 - 10), and for bonds, the score is 8 (on a scale of 0 - 10). Different sentiment - related indicators such as margin trading balances, bond yields, etc., show various week - on - week changes, historical percentiles, and correlations with stock and bond indices [6][7]. Strategy Introduction - The variety pool includes index futures and treasury bond futures. The short - term model focuses on market style, external factors, and capital market high - frequency financial data, while the long - term model focuses on market expectations and macro - economic low - frequency indicators. The position is synthesized based on institutional long and short positions [16]. - The comprehensive signal strength is weighted by three independent models (0 - 1). Contracts with the top 2 comprehensive signal strengths and values greater than or equal to 0.6 are considered for long positions, and those with the bottom 2 and values less than or equal to 0.4 are considered for short positions. Position data signals are shielded 7 days before delivery [17]. Treasury Bond Futures Cross - variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the resonance of signals from the fundamental three - factor model and the trend regression model. The fundamental three - factor model uses the Nelson - Siegel instantaneous forward - rate function, and signals are classified into three types: '1' (large spread may decrease), '0' (uncertain spread trend or oscillation), '- 1' (large spread may increase). The trend regression model filters signals, and trading occurs when there is resonance. In practice, a 1:1.8 ratio is used for the 10 - 5Y spread adjustment [20]. - For TF and T main contracts, different dates show different signals from the N - S model and the trend regression model [23].

Report Investment Ratings - Index futures: ☆☆☆ [1] - Treasury bond futures: ☆☆☆ [1] Core Views - As of the week ending November 7, index futures showed divergence, with IH2511 down 0.89%, IC2511 up 1.47%, and IM2511 up 1.31%. The average daily trading volume in the entire market was 2.01 trillion yuan, a decrease of 313 billion yuan from the previous week, indicating a decline in market trading activity [1]. - From the perspective of high - frequency macro - fundamental factor scores, for index futures, the inflation indicator scored 8 points, the liquidity indicator 9 points, the valuation indicator 11 points, and the market sentiment indicator 9 points. For Treasury bond futures, the inflation indicator scored 7 points, the liquidity indicator 10 points, and the market sentiment indicator 8 points [1]. - In terms of the term structure, the basis of each index futures contract declined collectively. The weighted annualized basis rates (after dividend adjustment) of the ending positions of IH, IF, IC, and IM were 0.28%, - 3.16%, - 11.12%, and - 14.41% respectively [1]. - The net value of the financial derivatives quantitative CTA strategy remained unchanged last week. In the long - term, inflation data outperformed expectations, which had a certain boosting effect on IC and IM, while Treasury bond futures were under pressure. In the short - term, the fundamentals of real estate and consumption were still weak, the exchange rate was in a low range, and the capital market remained relatively loose, showing a short - term low - level recovery. In terms of positions, IM showed a marginal recovery, IF and IH remained relatively neutral, and IC was relatively at a cross - sectional low. The overall comprehensive signal was in a neutral oscillation. For Treasury bond futures, the capital market remained loose, the market risk preference was conducive to the recovery of the bond market, the stock - bond seesaw effect was significant. Due to the unexpected inflation recovery, the position factor declined, and institutions were still cautious about allocation, with the comprehensive signal in a neutral oscillation [1]. Summary by Related Catalogs Macro - fundamental Medium - and High - Frequency Factor Scores - Some economic kinetic indicators showed different changes in the week, such as the blast furnace operating rate increasing by 1.41%, the PTA operating rate increasing by 1.41%, etc. The index futures scored 8 points, and the Treasury bond futures scored 0 points [2]. Inflation Indicators - Various inflation - related indicators had different weekly changes, such as the vegetable basket product wholesale price index rising 0.29%, the coking coal index rising 1.54%, etc. The index futures scored 8 points, and the Treasury bond futures scored 7 points [3]. Liquidity - Liquidity - related indicators like DR007 decreased by 0.40%, DR001 increased by 1.48%, etc. The index futures scored 9 points [4]. Index Valuation - Valuation indicators such as PE (TTM) increased by 0.33%, PS (TTM) increased by 0.33%, etc. The index futures scored 10 points [5]. Market Sentiment: Index - In terms of index market sentiment, the margin trading balance increased by 0.27%, the short - selling balance increased by 3.91%, etc. The Treasury bond futures scored 9 points [6]. Market Sentiment: Bond - Bond market sentiment indicators such as the 10 - year CDB bond yield increased by 0.77%, the S&P 500 volatility index increased by 9.40%, etc. The Treasury bond futures scored 8 points [7]. Strategy Introduction - The product pool includes index futures and Treasury bond futures. The short - term model focuses on market style, external factors, and capital market high - frequency financial data, while the long - term model focuses on market expectations and macro - economic low - frequency indicators. Positions are synthesized considering institutional long and short positions [16]. Forecast Signals - The short - term, long - term, and comprehensive signals of different futures contracts (IF, IH, IC, IM, T, TF) are provided, and the rules for determining long and short positions are given [17]. Treasury Bond Futures Cross - Variety Arbitrage Strategy - The cross - variety arbitrage 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 three parts: level, slope, and curvature. The actual operation uses a 1:1.8 ratio for the 10 - 5Y spread adjustment [20]. Market Quotes and Trading Signals - The trading signals of TF and T main contracts from November 3 to November 7 are provided, including the signals from the N - S model and the trend regression model [23].

Investment Ratings - Index Futures: ☆☆☆ [1] - Treasury Bond Futures: ☆☆☆ [1] Core Viewpoints - As of the week ending October 17, index futures showed differentiation. IH2510 rose by 0.30%, IF2510 fell by 1.64%, IC2510 dropped by 4.41%, and IM2510 declined by 3.85%. Trade issues made market sentiment cautious, and the trade war's uncertainty suppressed market risk appetite. There was also a demand for a post - overbought correction in the short - term technical aspect [1]. - From the high - frequency macro - fundamental factor scores, for index futures, the inflation indicator scored 8 points, the liquidity indicator 9 points, the valuation indicator 11 points, and the market sentiment indicator 9 points. For Treasury bond futures, the inflation indicator scored 7 points, the liquidity indicator 11 points, and the market sentiment indicator 7 points [1]. - The net value of the financial derivatives quantitative CTA strategy remained unchanged last week. In the long - term, September's financial and inflation data had a certain boosting effect on IF and IM, indicating that China still faced credit contraction and deflation pressure and was far from full recovery, which required further policy support. In the short - term, the exchange rate was still in a low range, and the capital market remained relatively loose. The overall market risk appetite recovered compared to the beginning of the week, and the overall comprehensive signal was above neutral. For Treasury bond futures, although the capital market was loose, the market risk appetite limited the upward space, and the stock - bond seesaw effect was significant [1]. Summary by Directory Macroeconomic Fundamental High - Frequency Factor Scores - Economic kinetic energy indicators such as blast furnace operating rate, PTA operating rate, etc., showed different week - on - week changes. The index futures scored 8 points, and the Treasury bond futures scored 0 points [2]. - Inflation indicators including vegetable basket product wholesale price index, coking coal index, etc., also had various week - on - week changes. The index futures scored 8 points, and the Treasury bond futures scored 7 points [3]. - Liquidity indicators like DR007, DR001, etc., had their own week - on - week changes, and the index futures scored 9 points [4]. - Index valuation indicators such as PE, PS, etc., showed different trends, and the index futures scored 10 points [5]. - Market sentiment indicators for stocks (financing balance, margin trading balance, etc.) and bonds (government bond yield, etc.) had corresponding week - on - week changes. The index futures' market sentiment scored 9 points, and the Treasury bond futures' market sentiment scored 7 points [6][7]. Strategy Introduction - The variety pool includes stock index futures and Treasury bond futures. The short - term model focuses on market style, external factors, and capital market high - frequency data, while the long - term model focuses on market expectations and macro - economic data. The position volume is synthesized considering institutional long and short positions [16]. Prediction Signals - As of last Friday, the short - term model, position volume indicator, long - term model, and comprehensive signals for different futures contracts (IF, IH, IC, IM, T, TF) were provided. The comprehensive signal strength is a weighted synthesis of three independent models [17]. Last Week's Situation - From October 13 to October 17, the trading signals of different futures contracts showed different states. For example, the IC main contract had a signal of 1 on October 17 [19]. Treasury Bond Futures Cross - Variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the resonance of signals from the fundamental three - factor model and the trend regression model. The fundamental three - factor model decomposes the interest rate term structure into three parts: level, slope, and curvature. The signals are divided into three types: 1, 0, - 1. The actual operation uses a 1:1.8 ratio to adjust the 10 - 5Y spread [20]. Market Quotes and Trading Signals - For TF and T main contracts from October 13 to October 17, the N - S model signals and trend regression model signals were provided [23].

Report Investment Ratings - Stock index: ☆☆☆ [1] - Treasury bond: ☆☆☆ [1] Core Views - As of the week ending September 19, the stock index rebounded slightly after a brief shock last week, with some indices hitting new highs, but individual stock performance diverged. The risk - free rate has rebounded, but the capital side remains loose, and trading volume and margin trading leverage continue to rise. Foreign investors may still have a high level of attention to the A - share market, and foreign futures member seats are still in the stage of increasing positions, indicating that market risk appetite may still be high [1]. - From the high - frequency macro - fundamental factor scores, for stock index futures, the inflation indicator scored 7 points, the liquidity indicator scored 9 points, the valuation indicator scored 11 points, and the market sentiment indicator scored 9 points. For treasury bond futures, the inflation indicator scored 8 points, the liquidity indicator scored 11 points, and the market sentiment indicator scored 7 points [1]. - In terms of the term structure, the discount of stock index futures narrowed rapidly last week, and the near - month contracts of IF, IH, and IC all showed premiums, indicating strong bullish sentiment. However, the December contracts of IC and IM still had a large discount [1]. - The net value of the financial derivatives quantitative CTA strategy increased by 0.45% last week, with profits coming from opening and closing a long position in TF on Wednesday. In the long - term, fixed - asset investment and social retail consumption were both lower than expected, and the overall economic data in August exerted significant pressure on stock index futures, while the rebound of treasury bond futures was not significant. In the short - term, the continuous decline of the US dollar index increased the contribution of the exchange rate to stock index futures. Currently, the capital side remains relatively loose, the margin trading balance remains high, and the overall market risk appetite remains high [1]. - In terms of open interest, the open interest of IC and IM decreased marginally, while that of IF and IH remained relatively neutral. The overall comprehensive signal was neutral and oscillating. For treasury bond futures, although the capital side remained loose, market risk appetite limited the upward space, the stock - bond seesaw effect decreased, the open - interest factor weakened marginally, and institutions were still cautious about allocation behavior, with the comprehensive signal being neutral and oscillating [1]. Summary by Related Catalogs Macro - fundamental High - frequency Factor Scores - **Economic Kinetic Energy**: The weekly changes of different indicators varied, such as the blast furnace开工率 decreased by 1.28%, the开工率 of PTA decreased by 1.28%, while the炼油厂开工率 of Shandong refineries increased by 8.04%. The stock index futures score was 8, and the treasury bond futures score was 0 [2]. - **Inflation Indicators**: The weekly changes of various inflation - related indicators were different. For example, the vegetable basket product wholesale price index decreased by 0.32%, and the coking coal index increased by 4.61%. The stock index futures score was 7, and the treasury bond futures score was 8 [3]. - **Liquidity**: The weekly changes of liquidity - related indicators such as DR007, DR001, etc. showed different trends. The stock index futures score was 8 [4]. - **Index Valuation**: The price - to - earnings ratio (TTM), price - to - sales ratio (TTM), etc. had certain changes. The stock index futures score was 10 [5]. - **Market Sentiment - Stock Index**: The financing balance increased by 2.00%, and the margin - selling balance decreased by 0.22%. The treasury bond futures score was 9 [6]. - **Market Sentiment - Bond**: The yield of 10 - year CDB bonds decreased by 0.27%, and the S&P 500 volatility index increased by 4.67%. The treasury bond futures score was 7 [7]. Strategy Introduction - **Multi - Strategy for Financial Futures**: The product pool includes stock index futures and treasury bond futures. The short - term model focuses on market style, external factors, and capital - side high - frequency data, while the long - term model focuses on market expectations and low - frequency macro - economic data. The open - interest is synthesized by considering institutional long and short positions [17]. - **Treasury Bond Futures Cross - Variety Arbitrage Strategy**: Based on the resonance of signals from the fundamental three - factor model (using the Nelson - Siegel instantaneous forward - rate function) and the trend - regression model. The signals are classified into three types: '1' (large spread may decrease), '0' (uncertain spread change or oscillation), '-1' (large spread may increase). In actual operation, a 1:1.8 ratio is used for the 10 - 5Y spread adjustment [21]. Market Signals - **Multi - Strategy Model Signals**: The short - term, long - term, and comprehensive signals of different futures contracts (IF, IH, IC, IM, T, TF) were provided, with specific values for each contract. The trading rules include taking the top 2 contracts with a comprehensive signal strength greater than or equal to 0.6 for long positions and the bottom 2 with a value less than or equal to 0.4 for short positions, and other rules such as signal shielding [18]. - **Treasury Bond Futures Cross - Variety Arbitrage Signals**: The N - S model and trend - regression model signals for TF and T main contracts from September 15 to September 19 were presented, showing different signal combinations on different days [24].

1. Report Industry Investment Ratings - Investment rating for stock index futures: ★★★ [1] - Investment rating for treasury bond futures: ★★★ [1] 2. Core Viewpoints - As of the week ending September 12, the A - share market showed a trend of shrinking volume, oscillating, and rising. The average daily trading volume of the whole market was 2.33 trillion yuan, a decrease of 276.8 billion yuan from the previous week, and market trading sentiment declined. The average daily trading volume of stock index futures contracts decreased significantly compared with the previous week. The market sentiment maintained an optimistic tone, but the wait - and - see attitude in the capital aspect increased [1]. - In terms of high - frequency macro - fundamental factor scores, for stock index futures, the inflation indicator scored 7 points, the liquidity indicator scored 9 points, the valuation indicator scored 12 points, and the market sentiment indicator scored 10 points. For treasury bond futures, the inflation indicator scored 8 points, the liquidity indicator scored 11 points, and the market sentiment indicator scored 7 points. The premium of the main contract narrowed again, indicating that funds were optimistic about the future [1]. - The net value of the financial derivatives quantitative CTA strategy did not change compared with the previous week. In the long - term, the new credit scale in August was lower than expected and seasonality, while the social financing scale basically met expectations, and M1 and M2 were slightly higher than expected, which had a certain improvement effect on stock index futures, and treasury bond futures continued to be under pressure. In the short - term, the continuous decline of the US dollar index increased the contribution of the exchange rate to stock index futures. The capital side remained relatively loose, the margin balance remained high, and the overall market risk preference remained high. For stock index futures, the positions of IC and IM increased marginally, while IF and IH remained neutral, and the overall comprehensive signal was neutral to strong. For treasury bond futures, although the capital side remained loose, the market risk preference limited the upward space, the stock - bond seesaw effect was still obvious, the position factor weakened marginally, and institutions were still cautious about allocation behavior, with a neutral and oscillating comprehensive signal [1] 3. Summary by Relevant Catalogs 3.1 Macro - fundamental Medium - and High - frequency Factor Scores - **Economic Momentum**: The blast furnace开工率 (163 companies: national) decreased by 12.79% to 50.64, with a historical quantile of 0.14; the开工率 of PTA (domestic) decreased by 12.79% to 74.95, with a historical quantile of 0.14; the refining厂开工率 of Shandong local refineries (atmospheric and vacuum distillation unit) increased by 3.94% to 50.64, with a historical quantile of 0.09; the开工率 of automobile tires (all - steel tires) decreased by 2.13% to 65.59, with a historical quantile of 0.51; the开工率 of polyester filament downstream looms in the Jiangsu and Zhejiang regions increased by 12.45% to 62.42, with a historical quantile of 0.66. The stock index futures score was 8, and the treasury bond futures score was 0 [2] - **Inflation Indicators**: The wholesale price 200 - index of vegetable basket products increased by 0.05% to 119.16, with a historical quantile of 0.33; the CITIC industry index of coking coal increased by 0.94% to 2968.06, with a historical quantile of 0.31; the market price of 1 electrolytic copper (standard cathode copper) increased by 1.14% to 80945.00, with a historical quantile of 0.94; the Nanhua styrene index decreased by 1.21% to 1346.84, with a historical quantile of 0.05; the CITIC industry index of compound fertilizer increased by 2.66% to 1916.80, with a historical quantile of 0.99. The stock index futures score was 7, and the treasury bond futures score was 8 [3] - **Liquidity**: DR007 increased by 1.41% to 1.46, with a historical quantile of 0.03; DR001 increased by 3.67% to 1.36, with a historical quantile of 0.17; the weighted average of GC001 decreased by 2.45% to 1.35, with a historical quantile of 0.03; the weighted average of GC007 increased by 0.48% to 1.46, with a historical quantile of 0.01; the SHIBOR overnight increased by 3.88% to 1.37, with a historical quantile of 0.25; the SHIBOR 1 - week increased by 2.31% to 1.46, with a historical quantile of 0.04; the US dollar index decreased by 0.12% to 97.62, with a historical quantile of 0.03; the yield of inter - bank certificates of deposit (AAA: 1 - month) remained unchanged at 1.85, with a historical quantile of 0.01. The stock index futures score was 9 [4] - **Index Valuation**: The price - earnings ratio (TTM) increased by 1.83% to 22.25, with a historical quantile of 1.00; the price - sales ratio (TTM) increased by 1.73% to 1.64, with a historical quantile of 1.00; the dividend yield (in the past 12 months) decreased by 2.21% to 1.81, with a historical quantile of 0.01; the price - cash - flow ratio (operating cash flow TTM) increased by 1.72% to 7.08, with a historical quantile of 0.51. The stock index futures score was 10 [5] - **Market Sentiment: Stock Index**: The margin balance increased by 2.31% to 23236.61, with a historical quantile of 1.00; the short - selling balance increased by 6.32% to 167.47, with a historical quantile of 0.35; the net purchase amount of northbound funds was - 67.75, unchanged from the previous week, with a historical quantile of 0.05; the selling amount of northbound funds was 494.16, unchanged from the previous week, with a historical quantile of 0.20; the trading amount of A - shares on the Shanghai Stock Exchange increased by 9.51% to 8119.65, with a historical quantile of 0.98. The stock index futures score was 9 [6] - **Market Sentiment: Bonds**: The yield to maturity of 10 - year China Development Bank bonds increased by 7.95% to 2.03, with a historical quantile of 0.27; the VIX index decreased by 2.77% to 14.76, with a historical quantile of 0.32; the median credit spread remained unchanged at 53.38, with a historical quantile of 0.03; the trading volume of the Shanghai Treasury Bond Index decreased by 53.32% to 23.44, with a historical quantile of 0.66. The treasury bond futures score was 7 [7] 3.2 Strategy Introduction - **Multi - strategy Model for Stock Index and Treasury Bond Futures**: The variety pool includes stock index futures and treasury bond futures. The short - term model focuses on market style, external factors, and high - frequency financial data of the capital side, while the long - term model focuses on market expectations and low - frequency macro - economic data. The position is synthesized by considering 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 factor uses the instantaneous forward - rate function proposed by Nelson and Siegel, which decomposes the interest - rate term structure into level, slope, and curvature. The three - factor model is constructed by PCA principal component analysis, the maximum - variance factor rotation method, and logistic regression. The signals are divided into three types: '1' (the spread may decrease), '0' (the spread change trend is uncertain or oscillating), and '- 1' (the spread may increase). The trend regression model is used to filter signals, and transactions are made when there is resonance. In actual operation, the 10 - 5Y spread is adjusted with a duration - neutral ratio of 1:1.8 [20] 3.3 Signal and Performance - **Last Week's Prediction Signals**: For short - term models, the signals of IF, IH, IC, IM, T, and TF main contracts were 0.52, 0.51, 0.53, 0.53, 0.52, and 0.51 respectively; for position indicators, all were 0; for long - term models, the signals were 0.53, 0.51, 0.52, 0.53, 0.51, and 0.5 respectively; the comprehensive signals were 0.53, 0.52, 0.53, 0.54, 0.51, and 0.5 respectively [17] - **Last Week's Situations**: From September 5 to September 11, 2025, the signals of IF, IH, IC, IM, T, and TF main contracts were all 0 [19] - **TF and T Main Contract Trading Signals**: From September 5 to September 11, 2025, the N - S model signals were 0, - 1, 0, 0, 0 respectively, and the trend regression model signals were 0, 0, 0, 0, 0 respectively [23]