[Table_IndNameRptType]2 固定收益 固收周报 债市回调，如何用好套保工具？ ——利率周记（8 月第 4 周） 报告日期： 2025-08-26 [Table_Author] 首席分析师：颜子琦 执业证书号：S0010522030002 电话：13127532070 邮箱：yanzq@hazq.com [Table_Author] 分析师：洪子彦 执业证书号：S0010525060002 电话：15851599909 邮箱：hongziyan@hazq.com 主要观点： ⚫[Table_Summary] 8 月债市回调，套期保值效果如何？ 8 月以来债券市场出现明显的回调，部分投资者运用衍生品进行利率风险对 冲，而国债期货是较为合适的对冲工具，本文基于此进行探讨。 为什么要进行国债期货套期保值？如果投资者预期利率后续可能上行且手中 持有现券头寸，则可以提前下国债期货的空单，进而卖出套期保值，反之则为 买入套期保值，套保可以较好地缓释债券组合的下跌/上涨风险。 与做多/窄基差不同的是，套保面临合约存续期间的基差收敛问题。套期保值 与正反套的操作较为类似，例如正套策略即为买入现券+做空国债期 ...

Quantitative Models and Construction Methods 1. Model Name: Continuous Hedging Strategy - **Model Construction Idea**: This strategy is based on the analysis of basis convergence factors and optimization strategies, as detailed in the Cinda Derivatives Research Report Series. It aims to continuously hedge using futures contracts to minimize basis risk[44][45] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to July 11, 2025[45] - **Spot Side**: Hold the total return index of the corresponding underlying index[45] - **Futures Side**: Use 70% of the funds for the spot side and allocate the same nominal principal to short futures contracts, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantities for both the spot and futures sides based on the product's net value[45] - **Rebalancing Rules**: Continuously hold quarterly/monthly contracts until the remaining time to maturity is less than two days. On that day, close the position at the closing price and simultaneously short the next quarterly/monthly contract at the closing price[45] - **Assumptions**: Equal principal allocation between the spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[45] 2. Model Name: Minimum Basis Strategy - **Model Construction Idea**: This strategy selects futures contracts with the smallest annualized basis discount to optimize hedging performance[46] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to July 11, 2025[46] - **Spot Side**: Hold the total return index of the corresponding underlying index[46] - **Futures Side**: Use 70% of the funds for the spot side and allocate the same nominal principal to short futures contracts, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantities for both the spot and futures sides based on the product's net value[46] - **Rebalancing Rules**: Calculate the annualized basis for all tradable futures contracts on the day of rebalancing and select the contract with the smallest basis discount for opening positions. Hold the same contract for eight trading days or until the remaining time to maturity is less than two days before selecting a new contract[46] - **Assumptions**: Equal principal allocation between the spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[46] --- Model Backtesting Results 1. Continuous Hedging Strategy - **IC (CSI 500 Futures)**: - Annualized Return: -2.83% (monthly), -2.06% (quarterly)[48] - Volatility: 3.87% (monthly), 4.77% (quarterly)[48] - Maximum Drawdown: -8.26% (monthly), -8.34% (quarterly)[48] - Net Value: 0.9188 (monthly), 0.9405 (quarterly)[48] - Annual Turnover: 12 (monthly), 4 (quarterly)[48] - 2025 YTD Return: -3.58% (monthly), -1.35% (quarterly)[48] - **IF (CSI 300 Futures)**: - Annualized Return: 0.49% (monthly), 0.71% (quarterly)[51] - Volatility: 3.01% (monthly), 3.35% (quarterly)[51] - Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly)[51] - Net Value: 1.0144 (monthly), 1.0211 (quarterly)[51] - Annual Turnover: 12 (monthly), 4 (quarterly)[51] - 2025 YTD Return: -0.89% (monthly), 0.12% (quarterly)[51] - **IH (SSE 50 Futures)**: - Annualized Return: 1.03% (monthly), 1.97% (quarterly)[54] - Volatility: 3.12% (monthly), 3.54% (quarterly)[54] - Maximum Drawdown: -4.22% (monthly), -3.76% (quarterly)[54] - Net Value: 1.0307 (monthly), 1.0593 (quarterly)[54] - Annual Turnover: 12 (monthly), 4 (quarterly)[54] - 2025 YTD Return: -0.01% (monthly), 0.99% (quarterly)[54] - **IM (CSI 1000 Futures)**: - Annualized Return: -6.04% (monthly), -4.45% (quarterly)[59] - Volatility: 4.74% (monthly), 5.79% (quarterly)[59] - Maximum Drawdown: -14.01% (monthly), -12.63% (quarterly)[59] - Net Value: 0.8469 (monthly), 0.8805 (quarterly)[59] - Annual Turnover: 12 (monthly), 4 (quarterly)[59] - 2025 YTD Return: -9.11% (monthly), -4.54% (quarterly)[59] 2. Minimum Basis Strategy - **IC (CSI 500 Futures)**: - Annualized Return: -1.06%[48] - Volatility: 4.67%[48] - Maximum Drawdown: -7.97%[48] - Net Value: 0.9692[48] - Annual Turnover: 17.28[48] - 2025 YTD Return: -0.96%[48] - **IF (CSI 300 Futures)**: - Annualized Return: 1.31%[51] - Volatility: 3.14%[51] - Maximum Drawdown: -4.06%[51] - Net Value: 1.0392[51] - Annual Turnover: 15.25[51] - 2025 YTD Return: 0.56%[51] - **IH (SSE 50 Futures)**: - Annualized Return: 1.72%[54] - Volatility: 3.14%[54] - Maximum Drawdown: -3.91%[54] - Net Value: 1.0516[54] - Annual Turnover: 15.93[54] - 2025 YTD Return: 1.04%[54] - **IM (CSI 1000 Futures)**: - Annualized Return: -3.83%[59] - Volatility: 5.59%[59] - Maximum Drawdown: -11.11%[59] - Net Value: 0.8949[59] - Annual Turnover: 15.91[59] - 2025 YTD Return: -3.89%[59] --- Quantitative Factors and Construction Methods 1. Factor Name: Cinda-VIX - **Factor Construction Idea**: Reflects investors' expectations of future volatility in the options market, with a term structure to capture expectations over different time horizons[61] - **Factor Construction Process**: Adjusted based on overseas methodologies and tailored to China's options market. The index reflects implied volatility from options pricing[61] - **Factor Evaluation**: Provides insights into market sentiment and risk expectations[61] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, capturing market expectations of extreme events[69][70] - **Factor Construction Process**: Analyzes the slope of implied volatility curves to quantify the degree of skewness, with higher values indicating greater concern for tail risks[69][70] - **Factor Evaluation**: Useful for identifying market concerns about potential extreme downside risks[70] --- Factor Backtesting Results 1. Cinda-VIX - **30-Day VIX Values**: - SSE 50: 19.77[61] - CSI 300: 18.92[61] - CSI 500: 25.01[61] - CSI 1000: 23.34[61] 2. Cinda-SKEW - **SKEW Values**: - SSE 50: 97.27[70] - CSI 300: 99.19[70] - CSI 500: 102.27[70] - CSI 1000: 101.82[70]

Report Summary 1. Report Industry Investment Rating No information provided regarding the report industry investment rating. 2. Core View of the Report The report aims to objectively reflect the research views of futures companies and securities companies on various commodity varieties, track hot - spot varieties, analyze market investment sentiment, and summarize investment driving logics. It is based on the publicly - released research reports of institutions in the current week, and the closing price data is from last Friday, with the weekly change calculated as the change in the closing price from the previous Friday [2]. 3. Summary by Relevant Catalogs 3.1行情数据 - **Commodities**: From June 23 to June 27, 2025, commodities such as coke, copper, and iron ore had price increases, with coke rising 2.67%, copper rising 2.47%, and iron ore rising 1.92%. Commodities like corn, gold, and palm oil had price decreases, with corn falling 1.04%, gold falling 1.56%, and palm oil falling 1.87%. Crude oil had a significant drop of 12.02% [3]. - **A - shares**: During the same period, the CSI 500 rose 3.98%, the SSE 50 rose 1.27%, and the CSI 300 rose 1.95% [3]. - **Overseas Stocks**: The Nikkei 225 rose 4.55%, the Nasdaq Index rose 4.25%, and the S&P 500 rose 3.44% [3]. - **Bonds**: The 5 - year Chinese Treasury bond rose 0.64%, the 10 - year Chinese Treasury bond rose 0.30%, and the 2 - year Chinese Treasury bond rose 0.19% [3]. - **Foreign Exchange**: The euro - US dollar exchange rate rose 1.69%, the US dollar index fell 1.52%, and the US dollar central parity rate fell 0.09% [3]. 3.2大宗商品观点汇总 3.2.1宏观金融板块 - **Stock Index Futures**: Among 8 institutions' views, 2 were bullish, 1 was bearish, and 5 were for a sideways market. Bullish factors included rising Fed rate - cut expectations, a low risk - premium rate of the CSI 300, increased issuance of equity - oriented public funds, and sufficient bottom - supporting funds. Bearish factors included short - term difficulty in improving corporate fundamentals, the central bank's change in monetary policy stance, and over - heated market sentiment [4]. - **Treasury Bond Futures**: Among 7 institutions' views, 3 were bullish, 1 was bearish, and 3 were for a sideways market. Bullish factors included net liquidity injection by the central bank, weak credit and inflation data, and strong demand for bond allocation. Bearish factors included the central bank's change in monetary policy stance, the stock - bond seesaw effect, and rising long - term interest rates [4]. 3.2.2能源板块 - **Crude Oil**: Among 9 institutions' views, 3 were bullish, 2 were bearish, and 4 were for a sideways market. Bullish factors included falling US and Cushing crude oil inventories, reduced Russian exports, and geopolitical tensions. Bearish factors included the decline in geopolitical premiums, expected OPEC production increases, and weak terminal demand [5]. - **Eggs**: Among 8 institutions' views, 2 were bullish, 2 were bearish, and 4 were for a sideways market. Bullish factors included postponed peak - season stocking, approaching stocking season, potential egg - price increases, and reduced supply due to heat. Bearish factors included limited decline in laying - hen inventory, high chick - replenishment volume, high new - production capacity, and postponed downstream stocking [5]. 3.2.3有色板块 - **Copper**: Among 7 institutions' views, 5 were bullish, 0 were bearish, and 2 were for a sideways market. Bullish factors included rising Fed rate - cut expectations, improved risk appetite, and falling global visible inventories. Bearish factors included the substitution effect of recycled copper, weakening downstream procurement, and weakening terminal demand [6]. - **Methanol**: Among 7 institutions' views, 0 were bullish, 1 was bearish, and 6 were for a sideways market. Bullish factors included limited port - available goods, expected low port inventories, and increased downstream demand. Bearish factors included expected increases in Iranian imports, port inventory accumulation, potential MTO device maintenance, and a loosening supply - demand pattern [6]. 3.2.4贵金属 - **Gold**: Among 7 institutions' views, 4 were bullish, 1 was bearish, and 2 were for a sideways market. Bullish factors included rising Fed rate - cut expectations, a downward trend in real interest rates, and the strengthening of gold's safe - haven property. Bearish factors included reduced safe - haven demand, capital flowing to risky assets, and technical - level sell - offs [7]. 3.2.5黑色板块 - **Iron Ore**: Among 8 institutions' views, 2 were bullish, 2 were bearish, and 4 were for a sideways market. Bullish factors included increased molten - iron production, expected decline in overseas shipments, and improved macro sentiment. Bearish factors included rising port inventories, increased global shipments, weakening demand for five major steel products, and narrowing basis [7].

Quantitative Models and Construction Methods Model Name: Continuous Hedging Strategy - **Construction Idea**: The strategy is based on the analysis of basis convergence factors and optimization strategies[43] - **Construction Process**: - **Backtesting Parameters and Settings**: - **Backtesting Period**: July 22, 2022, to June 27, 2025[44] - **Spot End**: Hold the total return index of the corresponding underlying index[44] - **Futures End**: Use 70% of the funds for the spot end, short the corresponding nominal principal amount of CSI 500 (CSI 300, SSE 50, CSI 1000) stock index futures contracts, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantity of the spot and futures ends based on the product's net value[44] - **Rebalancing Rules**: Continuously hold quarterly/monthly contracts until the remaining days to expiration are less than 2 days. On that day, close the position at the closing price and simultaneously short the next quarterly/monthly contract at the closing price[44] - **Remarks**: Allocate equal principal to the spot and futures ends, without considering transaction fees, impact costs, and the non-infinite divisibility of futures contracts[44] - **Evaluation**: The strategy is designed to optimize hedging by continuously adjusting positions based on basis convergence factors[43] Model Name: Minimum Basis Strategy - **Construction Idea**: The strategy selects the contract with the smallest annualized basis discount for hedging[45] - **Construction Process**: - **Backtesting Parameters and Settings**: - **Backtesting Period**: July 22, 2022, to June 27, 2025[45] - **Spot End**: Hold the total return index of the corresponding underlying index[45] - **Futures End**: Use 70% of the funds for the spot end, short the corresponding nominal principal amount of CSI 500 (CSI 300, SSE 50, CSI 1000) stock index futures contracts, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantity of the spot and futures ends based on the product's net value[45] - **Rebalancing Rules**: When rebalancing, calculate the annualized basis of all tradable futures contracts on the day and select the contract with the smallest annualized basis discount for opening a position. Hold the same contract for 8 trading days or until the remaining days to expiration are less than 2 days, then select a new contract (excluding futures contracts with less than 8 days to expiration). Even if the selection result is to hold the original contract unchanged, continue to hold for 8 trading days[45] - **Remarks**: Allocate equal principal to the spot and futures ends, without considering transaction fees, impact costs, and the non-infinite divisibility of futures contracts[45] - **Evaluation**: The strategy aims to minimize basis discount by selecting the optimal contract for hedging[45] Model Backtesting Results Continuous Hedging Strategy - **CSI 500 Index Futures**: - **Annualized Return**: -2.77% (monthly), -2.08% (quarterly), -0.98% (minimum basis)[47] - **Volatility**: 3.88% (monthly), 4.77% (quarterly), 4.69% (minimum basis)[47] - **Maximum Drawdown**: -8.15% (monthly), -8.34% (quarterly), -7.97% (minimum basis)[47] - **Net Value**: 0.9215 (monthly), 0.9405 (quarterly), 0.9718 (minimum basis)[47] - **Annual Turnover**: 12 (monthly), 4 (quarterly), 17.53 (minimum basis)[47] - **2025 YTD Return**: -3.31% (monthly), -1.35% (quarterly), -0.69% (minimum basis)[47] - **CSI 300 Index Futures**: - **Annualized Return**: 0.58% (monthly), 0.77% (quarterly), 1.42% (minimum basis)[52] - **Volatility**: 3.02% (monthly), 3.37% (quarterly), 3.16% (minimum basis)[52] - **Maximum Drawdown**: -3.95% (monthly), -4.03% (quarterly), -4.06% (minimum basis)[52] - **Net Value**: 1.0171 (monthly), 1.0226 (quarterly), 1.0418 (minimum basis)[52] - **Annual Turnover**: 12 (monthly), 4 (quarterly), 15.46 (minimum basis)[52] - **2025 YTD Return**: -0.63% (monthly), 0.27% (quarterly), 0.82% (minimum basis)[52] - **SSE 50 Index Futures**: - **Annualized Return**: 1.07% (monthly), 2.04% (quarterly), 1.76% (minimum basis)[56] - **Volatility**: 3.14% (monthly), 3.57% (quarterly), 3.16% (minimum basis)[56] - **Maximum Drawdown**: -4.22% (monthly), -3.75% (quarterly), -3.91% (minimum basis)[56] - **Net Value**: 1.0315 (monthly), 1.0605 (quarterly), 1.0521 (minimum basis)[56] - **Annual Turnover**: 12 (monthly), 4 (quarterly), 15.81 (minimum basis)[56] - **2025 YTD Return**: 0.07% (monthly), 1.11% (quarterly), 1.09% (minimum basis)[56] - **CSI 1000 Index Futures**: - **Annualized Return**: -6.00% (monthly), -4.44% (quarterly), -3.79% (minimum basis)[58] - **Volatility**: 4.73% (monthly), 5.78% (quarterly), 5.60% (minimum basis)[58] - **Maximum Drawdown**: -14.00% (monthly), -12.63% (quarterly), -11.11% (minimum basis)[58] - **Net Value**: 0.8523 (monthly), 0.8843 (quarterly), 0.9009 (minimum basis)[58] - **Annual Turnover**: 12 (monthly), 4 (quarterly), 16.02 (minimum basis)[58] - **2025 YTD Return**: -8.76% (monthly), -4.36% (quarterly), -3.55% (minimum basis)[58] Quantitative Factors and Construction Methods Factor Name: Cinda-VIX - **Construction Idea**: Reflects the market's expectation of future volatility of the underlying asset[61] - **Construction Process**: - **Algorithm**: Based on the methodology in the report series "Exploring Market Sentiment Implied in the Options Market"[61] - **Data**: As of June 27, 2025, the 30-day VIX values for SSE 50, CSI 300, CSI 500, and CSI 1000 are 17.47, 16.92, 23.84, and 21.35, respectively[61] - **Evaluation**: The index accurately reflects the volatility expectations of the market for different time horizons[61] Factor Name: Cinda-SKEW - **Construction Idea**: Measures the skewness of implied volatility across different strike prices[69] - **Construction Process**: - **Algorithm**: Based on the methodology in the report series "Exploring Market Sentiment Implied in the Options Market"[69] - **Data**: As of June 27, 2025, the SKEW values for SSE 50, CSI 300, CSI 500, and CSI 1000 are 95.51, 97.95, 93.74, and 101.14, respectively[70] - **Evaluation**: The index provides valuable insights into market expectations of extreme events and tail risks[70] Factor Backtesting Results Cinda-VIX - **SSE 50**: 17.47[61] - **CSI 300**: 16.92[61] - **CSI 500**: 23.84[61] - **CSI 1000**: 21.35[61] Cinda-SKEW - **SSE 50**: 95.51[70] - **CSI 300**: 97.95[70] - **CSI 500**: 93.74[70] - **CSI 1000**: 101.14[70]

钢材：基差收敛，市场情绪反复 研究员：戚纯怡 期货从业证号：F03113636 投资咨询证号：Z0018817 目录 | 第一章 | 钢材行情总结与展望 | 2 | | --- | --- | --- | | 第二章 | 价格及利润回顾 | 5 | | 第三章 | 国内外重要宏观数据 | 12 | | 第四章 | 钢材供需以及库存情况 | 19 | GALAXY FUTURES 1 钢材总结 交易策略 GALAXY FUTURES 3 单边：维持底部震荡走势 套利：建议买入套保继续持有，建议做空热卷焦煤价差 期权：建议观望 目录 数据总结： 供给：本周螺纹小样本产量218.46万吨（-7.05），热卷小样本产量328.75万吨（+9.20）。247家钢厂高炉铁水日 均241.8万吨（-0.11），富宝49家独立电弧炉钢厂产能利用率33.9%（+1.2）。长流程现货端，华北螺纹长流程现 金含税利润在-24.10元/吨，华北长流程螺纹现金含税成本在3164.10元/吨。电炉端，华东平电电炉成本在3371（折 盘面）元左右，电炉平电利润-288.63元/吨左右，谷电成本3206（折理记）元左右，华东三线螺纹谷电利润 ...