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 - Not provided in the content 2. Core Viewpoints - The market style is differentiated, with CSI 500 and CSI 1000 rising, while SSE 50 and SSE 300 closing down. The electronic and banking sectors contributed to the main decline in SSE 50, the power equipment and non - ferrous metal sectors contributed to the main increase in SSE 300 and CSI 500, and the power equipment and pharmaceutical and biological sectors contributed to the main increase in CSI 1000 [3]. - The basis of stock index futures has strengthened. IH maintains a premium, IF maintains a shallow discount, and IC and IM maintain a deep discount. The short - side hedging demand on stock index futures remains dominant, and it is expected that the deep discount pattern of IC and IM will continue. It is recommended to pay attention to the opportunity to build positions in inter - period positive spreads when the discount converges driven by market sentiment. The roll - over strategy recommends going long on the near - term contract and short on the far - term contract [4]. - For the bond futures market, the IRR of bond futures has declined this week, and the inter - period spread has fluctuated strongly. The positive spread space is limited, and it is expected to maintain a volatile trend. The interest rate timing signal predicts a decline in interest rates, and it is recommended to choose high - duration varieties for hedging. The multi - factor timing strategy signal for bond futures is neutral, and the inter - variety arbitrage strategy signals for bond futures are also neutral [56]. - In the commodity market, the rise and fall of various varieties are scattered. Most commodity factors rose slightly last week, but the price - volume trend factors and value factors declined significantly. The overall commodity trend may be highly volatile due to external macro - factors, and medium - and long - term trend - based CTA strategies may face certain risks [70]. 3. Summary by Directory 3.1 Stock Index Futures Market 3.1.1 Market Review - Market style is differentiated, with different sectors contributing to the rise and fall of different indices [3]. - IH, IF, IC trading volume increased month - on - month, while IM trading volume decreased month - on - month, and the basis of each variety strengthened slightly [4]. 3.1.2 Basis Strategy - The basis has strengthened, and different varieties have different basis states. It is recommended to pay attention to inter - period positive spreads and adopt a long - near and short - far roll - over strategy [4]. 3.1.3 Arbitrage Strategy - In the inter - period arbitrage strategy, each strategy had a pullback last week, with the annualized basis rate, positive spread, and momentum factor losing 0.3%, 0.5%, and 0.4% respectively (6 - times leverage). The annualized basis rate factor turned to a reverse - spread signal [5]. - The net value of the inter - variety arbitrage time - series synthetic strategy lost 0.2% last week. The latest signal recommends a 50% position to go long on IC and short on IF, and the IM/IC combination is in a short position [6]. 3.1.4 Timing Strategy - The daily timing strategy lost money overall last week, with SSE 50, SSE 300, CSI 500, and CSI 1000 losing 0.5%, 0.8%, gaining 0.7%, and losing 1.4% respectively. The timing model's latest signal is bullish on each index [7]. 3.2 Bond Futures Market 3.2.1 Weekly Strategy Focus - In terms of basis and inter - period spreads, the IRR of bond futures has declined, and the inter - period spread has fluctuated strongly. The positive spread space is limited and is expected to be volatile [56]. - In terms of interest rate timing and hedging signals, the interest rate timing signal predicts a decline in interest rates, and high - duration varieties are recommended for hedging [56]. - The multi - factor timing strategy signal for bond futures is neutral, with some factors being bullish and some being bearish [56]. - The inter - variety arbitrage strategy signals for bond futures are neutral [56]. 3.3 Commodity Market 3.3.1 Factor Performance - The rise and fall of various commodity varieties are scattered. Most factors rose slightly, but price - volume trend factors and value factors declined significantly. The overall commodity trend may be volatile, and medium - and long - term trend - based CTA strategies may face risks [70]. 3.3.2 Tracking Strategy Performance - Different tracking strategies have different performance indicators such as annualized return, Sharpe ratio, Calmar ratio, and maximum drawdown. For example, the CWFT strategy has an annualized return of 9.2%, a Sharpe ratio of 1.58, a Calmar ratio of 1.05, and a maximum drawdown of - 8.81% [71].