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]

Report Industry Investment Rating - Stock index: ☆☆☆ [1] - Treasury bond: ☆☆☆ [1] Core Viewpoints - As of the week ending August 8, stock index futures rose, with IH2508 up 1.07%, IF2508 up 1.31%, IC2508 up 2.04%, and IM2508 up 2.79%. The current capital situation and bullish sentiment remain strong. Even if there is a short - term correction due to a marginal weakening of the driving force, the correction space is often limited [1]. - The net value of the financial derivatives quantitative CTA strategy rose 0.42% last week, with profits coming from going long on IC on Monday and shorting T on Wednesday. In the long - term, inflation has little difference from expectations but suppresses treasury bond futures, with PPI slightly lower than expected. In the short - term, the exchange - rate pressure from the US dollar still exists, the capital situation remains relatively loose, the margin balance has increased, and the overall market risk appetite remains high [1]. - In terms of positions, IF and IH have a marginal decline, while IC and IM remain neutral. The overall comprehensive signal is neutral and oscillating. For treasury bond futures, there was a slight rebound in the capital situation at the beginning of the month, but with the recovery of market risk appetite, the stock - bond seesaw rotation is obvious, the position factor weakens marginally, and institutions are still cautious about allocation behavior, with the comprehensive signal being neutral and oscillating [1]. Summary by Related Catalogs Macro - fundamental Medium - and High - Frequency Factor Scores - **Economic Kinetic Energy**: The blast furnace operating rate, PTA operating rate, and Shandong refinery operating rate increased by 1.35%, 1.35%, and 7.06% respectively, while the operating rate of automobile tires and polyester filament downstream looms decreased by 6.95% and 5.93%. The stock index score is 8, and the treasury bond score is 0 [2]. - **Inflation Indicators**: Some inflation indicators such as the vegetable basket product wholesale price index and coking coal index rose, while others like the 1 electrolytic copper price and styrene index fell. The stock index score is 7, and the treasury bond score is 8 [3]. - **Liquidity**: DR007 increased by 0.06%, while DR001, GC001, GC007, SHIBOR overnight, and SHIBOR 1 - week decreased. The stock index score is 9 [4]. - **Index Valuation**: The price - earnings ratio, price - sales ratio, and price - cash - flow ratio increased, while the dividend yield decreased. The stock index score is 10 [5]. - **Market Sentiment - Stock Index**: The margin balance increased by 1.48%, and the short - selling balance increased by 4.19%. The stock index score is 9 [6]. - **Market Sentiment - Bond**: The yield of 10 - year CDB bonds increased by 0.91%, and the S&P 500 volatility index decreased by 25.66%. The treasury bond score is 8 [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 situation, while the long - term model focuses on market expectations and macro - economic data. The position is synthesized by considering institutional long and short positions [17]. - The comprehensive signal strength is weighted by the signals of three independent models (0 - 1). Contracts with the top 2 comprehensive signal strengths greater than or equal to 0.6 are considered for long positions, and those with the bottom 2 less than or equal to 0.4 are considered for short positions. Position data within 7 days before delivery is shielded [18]. Last Week's Situation - For the IF, IH, IC, IM, T, and TF main contracts, the trading signals on different days from August 4 to August 8 are shown in the table, with some days having long, short, or no trading signals [20]. 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 factors use the instantaneous forward - rate function proposed by Nelson and Siegel, which decomposes the interest - rate term structure into level, slope, and curvature. Signals are divided into three types: '1' (large spread may decrease), '0' (uncertain spread change trend or oscillation), and '-1' (large spread may increase). The trend regression model is used to filter signals, and trading occurs when there is resonance. In actual operation, a duration - neutral ratio of 1:1.8 is used to adjust the 10 - 5Y spread [21]. - For the TF and T main contracts from August 4 to August 8, the N - S model signals and trend regression model signals are shown in the table, with some days having different signals [24].

Report Investment Ratings - Index Futures: ☆☆☆ [1] - Treasury Bond Futures: ☆☆☆ [1] Core Viewpoints - As of the week ending August 1st, index futures rose, with IH2508 changing -1.47%, IF2508 changing -1.96%, IC2508 changing -1.56%, and IM2508 changing -0.76%. The average daily trading volume of the entire market was 1.81 trillion yuan, a decrease of 39.1 billion yuan from the previous week, and market trading activity declined [1]. - In terms of high - frequency macro - fundamental factor scores, for index futures, the inflation indicator scored 7 points, the liquidity indicator scored 8 points, the valuation indicator scored 11 points, and the market sentiment indicator scored 9 points. For bond futures, the inflation indicator scored 7 points, the liquidity indicator scored 10 points, and the market sentiment indicator scored 8 points [1]. - The net value of the financial derivatives quantitative CTA strategy increased by 0.12% last week. Profits came from going long on IC on Monday, and losses came from IC positions on Wednesday. In the long - term, the PMI data in July was below expectations, putting pressure on index varieties other than IH. In the short - term, the exchange - rate pressure brought by the US dollar increased, and the overall market risk appetite declined slightly [1]. - For bond futures, compared with the beginning of the month, the capital situation rebounded slightly. With the recovery of market risk appetite, the stock - bond seesaw effect was obvious, and the position factor rebounded slightly [1]. Summary by Related Content 1. Macro - fundamental High - frequency Factor Scores - **Economic Momentum**: The blast furnace operating rate decreased by 0.97%, the PTA operating rate decreased by 0.97%, the Shandong refinery operating rate increased by 7.14%, the automobile tire operating rate decreased by 0.70%, and the polyester filament downstream loom operating rate decreased by 8.37%. The index futures scored 7 points, and the bond futures scored 0 points [2]. - **Inflation Indicators**: The vegetable basket product wholesale price index increased by 0.67%, the coking coal index decreased by 4.29%, etc. Both index futures and bond futures scored 7 points [3]. - **Liquidity**: DR007 decreased by 13.80%, DR001 decreased by 13.41%, etc. The index futures scored 8 points [4]. - **Index Valuation**: The price - earnings ratio (TTM) decreased by 2.13%, the price - sales ratio (TTM) decreased by 1.87%, etc. The index futures scored 10 points [5]. - **Market Sentiment - Index Futures**: The margin trading balance increased by 1.68%, the short - selling balance decreased by 0.07%, etc. The index futures scored 9 points [6]. - **Market Sentiment - Bond Futures**: The 10 - year CDB bond yield decreased by 3.30%, the VIX increased by 36.50%, etc. The bond futures scored 8 points [7]. 2. Strategy Introduction - **Multi - Strategy Model 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 flow, while the long - term model focuses on market expectations and macro - economic data. The position is synthesized based on institutional long and short positions [17]. - **Cross - variety Arbitrage Strategy for Treasury Bond Futures**: It is based on the signal resonance of the fundamental three - factor model and the trend regression model. The fundamental factors use the Nelson - Siegel instantaneous forward - rate function, and signals are divided into three categories: '1', '0', and '- 1'. In actual operation, a duration - neutral ratio of 1:1.8 is used to adjust the 10 - 5Y spread [21]. 3. Signal and Performance - **Last Week's Prediction Signals**: The short - term model, position indicator, long - term model, and comprehensive signals for IF, IH, IC, IM, T, and TF are provided. The comprehensive signal strength is weighted by three independent models, and trading rules are given [18]. - **Last Week's Actual Situation**: The position data from July 28th to August 1st for IF, IH, IC, IM, T, and TF are presented [20]. - **Treasury Bond Futures Cross - variety Arbitrage Signals**: The trading signals of the N - S model and the trend regression model for TF and T from July 28th to August 1st are given [24].

1. Report Industry Investment Ratings - Stock Index: ☆☆☆ [1] - Treasury Bonds: ☆☆☆ [1] 2. Core Views of the Report - As of the week ending June 27, the stock index rose significantly, with small and medium - cap stocks showing obvious gains, while the Shenzhen Component Index fell 1.16% weekly. The current stock market is mainly supported by loose capital and risk appetite, and the overall trading volume of the stock market has significantly recovered [1]. - From the perspective of high - frequency macro - fundamental factor scores, for stock index futures, the inflation indicator scored 7 points, the liquidity indicator scored 5 points, the valuation indicator scored 10 points, and the market sentiment indicator scored 8 points. For bond futures, the inflation indicator scored 7 points, the liquidity indicator scored 6 points, and the market sentiment indicator scored 9 points [1]. - The rapid convergence of the discount in the term structure may indicate an increase in the bullish power of the market and is also related to the correction of style drift at the end of the quarter. It is expected that as the neutral strategy increases again after obtaining a low hedging cost with the season change, the discount is expected to deepen again [1]. - The net value of the financial derivatives quantitative CTA strategy increased by 0.35% last week, mainly due to holding TF long positions on Thursday and Friday. In the long - term, the decline in industrial enterprise profits exerts some pressure on IC and IF, but the overall impact weight is not large. In the short - term, as the US dollar fluctuates downward, the pressure on interest rate spreads and exchange rates decreases, and the impact weight of the capital side on stock index futures continues to rise [1]. 3. Summary by Relevant Catalogs 3.1 Macro - Fundamental Medium - and High - Frequency Factor Scores - Economic kinetic energy indicators such as blast furnace开工率, PTA开工率, etc. have different weekly changes, historical quantiles, and correlations with stock and bond indexes. The stock index futures score is 7, and the bond futures score is 0 [2]. 3.2 Inflation Indicators - Various inflation - related indicators such as the vegetable basket product wholesale price index, coking coal index, etc. have different weekly changes, historical quantiles, and correlations with stock and bond indexes. Both stock index futures and bond futures scores for inflation are 7 [3]. 3.3 Liquidity - Liquidity indicators such as DR007, DR001, etc. have different weekly changes, historical quantiles, and correlations with stock and bond indexes. The stock index futures score for liquidity is 5 [4]. 3.4 Index Valuation - Index valuation indicators such as PE, PS, etc. have different weekly changes, historical quantiles, and correlations with the stock index. The stock index futures score for index valuation is 9 [5]. 3.5 Market Sentiment: Stock Index - Market sentiment indicators for the stock index such as margin trading balances, trading volumes, etc. have different weekly changes, historical quantiles, and correlations with the stock index. The bond futures score for stock - market sentiment is 8 [6]. 3.6 Market Sentiment: Bond - Market sentiment indicators for bonds such as the yield of 10 - year government bonds, credit spreads, etc. have different weekly changes, historical quantiles, and correlations with the bond index. The bond futures score for bond - market sentiment is 9 [7]. 3.7 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 - related high - frequency financial data, while the long - term model focuses on market expectations and low - frequency macro - economic data. The position volume is synthesized by considering institutional long and short positions [17]. 3.8 Prediction Signals - The short - term model, position volume indicator, long - term model, and comprehensive signals for IF, IH, IC, IM, T, and TF are provided. The comprehensive signal strength is synthesized by weighting the signals of three independent models (0 - 1) [18]. 3.9 Last Week's Situation - The positions of IF, IH, IC, IM, T, and TF last week are presented, and the net value is tracked [20]. 3.10 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 factor uses the instantaneous forward - rate function proposed by Nelson and Siegel, and the model is constructed using PCA, factor rotation, and logistic regression. The signals are divided into three categories: '1', '0', and '- 1'. In actual operation, the 10 - 5Y spread is adjusted with a duration - neutral ratio of 1:1.8 [21]. 3.11 Market Quotes and Trading Signals - The trading signals of TF and T main contracts from June 23 to June 27 are provided, showing the signals from the N - S model and the trend regression model [24].

Report Industry Investment Rating - Index futures: ☆☆☆ [1] - Treasury bond futures: ☆☆☆ [1] Core Viewpoints - As of the week ending June 13, the stock index rose first and then fell, with a moderately increasing trading volume compared to the previous week, and the average daily trading volume was around 1.36 trillion yuan. Geopolitical conflicts and trade negotiations are still the main factors influencing the current market pattern [1]. - In terms of high - frequency macro - fundamental factor scores, for index futures, the inflation indicator scored 7 points, the liquidity indicator 4 points, the valuation indicator 10 points, and the market sentiment indicator 8 points. For treasury bond futures, the inflation indicator scored 7 points, the liquidity indicator 9 points, and the market sentiment indicator 8 points [1]. - In terms of the term structure, the annualized basis after dividend adjustment of most contracts converged compared to the previous week, and the basis of the IH contract decreased overall and turned into a discount [1]. - The net value of the financial derivatives quantitative CTA strategy did not change last week. In the long - term, financial data is mixed, with M1 and social financing showing better - than - expected performance, which contributes significantly to IC and IM. M2 and export data are weak, having less impact on index futures. In the short - term, the exchange rate shows low weekly volatility, the influence weight decreases, there is a lack of incremental funds, and the characteristics of stock game are significant [1]. - In terms of positions, the overall market risk preference declined in the second half of the week. The signal strength of IF and IH decreased significantly, but IC and IM still maintained a relatively high level, with the comprehensive signal showing a neutral oscillation. For treasury bond futures, the position factor shows a sign of marginal weakening after the rebound, but the current capital situation has significantly eased. The position reflects that institutions are still cautious about short - end allocation, and in the context of rising market sentiment, T is relatively strong in the cross - section signal [1]. Summary by Related Catalogs Macro - fundamental Medium - and High - Frequency Factor Scores - Economic kinetic energy: The blast furnace开工率 increased by 2.10%, with a current value of 45.12 and a historical quantile of 0.64. The index futures score was 6, and the treasury bond futures score was 0 [2]. - Inflation indicators: Some prices such as the vegetable basket product wholesale price index decreased, while others like the CITIC compound fertilizer index increased. The index futures and treasury bond futures scores for inflation indicators were both 7 [3]. - Liquidity: DR007 decreased by 1.98%, and GC001: weighted average increased by 7.98%. The index futures score for liquidity was 4 [4]. - Index valuation: The price - to - earnings ratio (TTM) decreased by 0.01%, and the index futures score for valuation was 9 [5]. - Market sentiment: For index futures, the financing balance increased by 0.45%, and the Shanghai Stock Exchange A - share trading volume increased by 32.92%. The index futures score was 8. For treasury bond futures, the trading volume of the Shanghai Treasury Bond Index increased by 19.07%, and the score was 8 [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 flow, while the long - term model focuses on market expectations and macro - economic data. The position is synthesized by considering institutional long and short positions [17]. Prediction Signals - As of last Friday, the short - term model, long - term model, and comprehensive signals for different contracts (IF, IH, IC, IM, T, TF) are provided, with specific values as shown in the table. The comprehensive signal strength is synthesized by weighting the signals of three independent models (0 - 1) [18]. Last Week's Situation - From June 9 to June 13, 2025, the signals of IF, IH, IC, IM, T, and TF main contracts were all 0 [20]. Recent Earnings Performance - The interval returns in the past 1 month, 3 months, 6 months, 1 year, and 3 years were 0.42%, 1.45%, 3.48%, 8.35%, and 25.16% respectively, and the corresponding maximum drawdowns were 0, 0.07%, 0.51%, 0.59%, and 3.27% [22]. 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 factor uses the instantaneous forward - rate function proposed by Nelson and Siegel, and the signals are divided into three types: '1', '0', and '- 1'. In actual operation, a 1:1.8 ratio is used for the 10 - 5Y spread adjustment [23]. Market Quotes and Trading Signals - For TF and T main contracts from June 9 to June 13, 2025, the N - S model signals and trend regression model signals are provided in the table [26].

1. Report Industry Investment Ratings - Index futures: ☆☆☆ [1] - Treasury bond futures: ☆☆☆ [1] 2. Core Viewpoints of the Report - As of the week ending May 23, index futures declined slightly, with IH2506 and IF2506 down 0.01%, IC2506 down 0.86%, and IM2506 down 1.29%. The market showed strong risk - aversion sentiment, with a significant contraction in the trading volume of the entire A - share market and relatively large declines in small - cap broad - based indices [1]. - From the perspective of high - frequency macro - fundamental factor scores, for index futures, the inflation indicator scored 6 points, the liquidity indicator 2 points, the valuation indicator 10 points, and the market sentiment indicator 7 points. For bond futures, the inflation indicator scored 7 points, the liquidity indicator 8 points, and the market sentiment indicator 8 points. In terms of the term structure, the basis discounts of each contract continued to be at historical lows [1]. - The net value of the financial derivatives quantitative CTA strategy increased by 0.45% last week, mainly from holding long positions in T on Monday and Tuesday. In the long - term, although industrial and production data slightly exceeded expectations, investment and real estate remained weak, with the decline of IC and IM exceeding that of IF. In the short - term, the impact of the exchange rate decreased slightly, the financing scale declined, and market speculation decreased. The position volume indicated an adjustment in risk preference, with IC and IM dropping below IF and IH, and IM having a larger decline. The comprehensive signal was below the neutral level. For bond futures, last week, the position volume factor showed some marginal improvement due to the stock - bond rotation but then gradually declined as institutions took profits. Although the short - term capital market was relatively loose, the comprehensive signal showed a neutral oscillation [1]. 3. Summary by Relevant Catalogs 3.1 Macro - fundamental Medium - and High - frequency Factor Scores - **Economic Momentum**: Among various indicators, the blast furnace开工率 (163 - company national average) and the开工率 of PTA in China both decreased by 2.75%. The开工率 of the Shandong local refinery's atmospheric and vacuum distillation unit increased by 0.36%. The开工率 of automobile all - steel tires decreased by 0.52%, and the开工率 of downstream looms for polyester filament in the Jiangsu and Zhejiang regions increased by 13.41%. The index futures scored 6 points, and the bond futures scored 0 points [2]. - **Inflation Indicators**: Most inflation - related indicators showed price declines, such as the vegetable basket product wholesale price 200 index down 0.05%, the coking coal index down 0.09%, etc. Only the CIF price of liquefied natural gas in China increased by 1.58%. The index futures scored 6 points, and the bond futures scored 7 points [3]. - **Liquidity**: DR007 and DR001 decreased by 3.14% and 4.05% respectively, while GC001 and GC007 increased by 6.98% and 4.27% respectively. The index futures scored 2 points [4]. - **Index Valuation**: The price - to - earnings ratio (TTM), price - to - sales ratio (TTM), and other valuation indicators all decreased slightly. The index futures scored 9 points [5]. - **Market Sentiment - Index Futures**: The margin trading balance decreased by 0.31%, and the short - selling balance increased by 3.50%. The index futures scored 7 points [6]. - **Market Sentiment - Bond Futures**: The 10 - year yield of China Development Bank bonds decreased by 0.39%, and the VIX index increased by 29.29%. The bond futures scored 8 points [7]. 3.2 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 market high - frequency financial data, while the long - term model focuses on market expectations and low - frequency macro - economic data. The position volume is synthesized based on institutional long and short positions [17]. - The comprehensive signal strength is weighted by the signals of three independent models (0 - 1). Contracts with the top two comprehensive signal strengths greater than or equal to 0.6 are considered for long positions, and those with the bottom two less than or equal to 0.4 are considered for short positions. Position volume signals are shielded 7 days before contract expiration. An intraday decline of more than 1% is set as the stop - loss point, and funds are equally weighted. Signals in the same direction for two consecutive trading days are shielded [18][19]. 3.3 Last Week's Situation - From May 19 to May 23, the positions of IF, IH, IC, and IM were all 0, while the position of T was 1 on May 19 and 20 and 0 for the rest of the days, and the position of TF was 0 throughout the week [20]. 3.4 Recent Income Performance - The previous day's return was 0%, the return for the past week was 0.45%, the return for the past month was 0.78%, the return for the past three months was 1.45%, the return for the past six months was 5.26%, the return for the past year was 8.51%, and the return for the past three years was 23.99%. The maximum drawdown for the past week was 0%, for the past month was 0.05%, for the past three months was 0.07%, for the past six months was 0.52%, for the past year was 0.59%, and for the past three years was 3.27% [22]. 3.5 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 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 signals are divided into three types: '1' (large spread may decrease), '0' (uncertain spread trend or oscillation), and '-1' (large spread may increase). The trend regression model is used to filter signals, and trading occurs when there is resonance. In actual operation, the 10 - 5Y spread is adjusted with a duration - neutral ratio of 1:1.8 [23]. - For the TF and T main contracts from May 19 to May 23, the N - S model and trend regression model signals mostly showed '0', except that the N - S model signal was '1' on May 21 and 22 [26].