晨会纪要 宝城期货原油早报-2025-10-10 品种晨会纪要 投资咨询业务资格：证监许可【2011】1778 号 时间周期说明：短期为一周以内、中期为两周至一月 | 品种 | 短期 | 中期 | 日内 | 观点参考 | 核心逻辑概要 | | --- | --- | --- | --- | --- | --- | | 原油 2511 | 震荡 偏弱 | 震荡 | 下跌 | 偏弱运行 | 避险情绪升温 原油偏弱运行 | 备注： 1.有夜盘的品种以夜盘收盘价为起始价格，无夜盘的品种以昨日收盘价为起始价格，当日日盘收盘 价为终点价格，计算涨跌幅度。 2.跌幅大于 1%为下跌，跌幅 0~1%为震荡偏弱，涨幅 0~1%为震荡偏强，涨幅大于 1%为上涨。 3.震荡偏强/偏弱只针对日内观点，短期和中期不做区分。 主要品种价格行情驱动逻辑—商品期货能源化工板块 原油（SC） 日内观点：震荡偏弱 中期观点：震荡 参考观点：偏弱运行 核心逻辑：美国两党迟迟无法达成共识，导致联邦政府持续停摆。全球金融市场避险情绪大幅升温， 风险资产受到承压，宏观因子转弱。同时，8 个 OPEC+产油国决定 11 月维持增产措施，增产原油 13.7 ...

- The Black-Litterman (BL) model is an improved version of the mean-variance optimization (MVO) model developed by Fisher Black and Robert Litterman in 1990. It combines Bayesian theory with quantitative asset allocation models, allowing investors to incorporate subjective views into asset return forecasts and optimize portfolio weights. This model addresses MVO's sensitivity to expected returns and provides a more robust framework for efficient asset allocation[12][13][14] - The BL model was implemented for both global and domestic assets. For global assets, it utilized indices such as the S&P 500, Hang Seng Index, and COMEX Gold. For domestic assets, it included indices like CSI 300, CSI 1000, and SHFE Gold. Two variations of the BL model were constructed for each asset category[13][14][18] - The Risk Parity model, introduced by Bridgewater in 2005, aims to equalize risk contributions across asset classes in a portfolio. It calculates initial asset weights based on expected volatility and correlation, then optimizes deviations between actual and expected risk contributions to determine final portfolio weights[17][18][20] - The Risk Parity model was applied to both global and domestic assets. Global assets included indices such as CSI 300, S&P 500, and COMEX Gold, while domestic assets incorporated CSI 300, CSI 1000, and SHFE Gold. The model followed a three-step process: selecting assets, calculating risk contributions, and solving optimization problems for portfolio weights[18][20][21] - The Macro Factor-based Asset Allocation model constructs a framework using six macroeconomic risk factors: growth, inflation, interest rates, credit, exchange rates, and liquidity. It employs Factor Mimicking Portfolio methods to calculate high-frequency macro factors and integrates subjective views on macroeconomic conditions into asset allocation decisions[22][24][25] - The Macro Factor-based model involves four steps: calculating factor exposures for assets, determining benchmark factor exposures using a Risk Parity portfolio, incorporating subjective factor deviations based on macroeconomic forecasts, and solving for asset weights that align with target factor exposures[22][24][25] Model Performance Metrics - Domestic BL Model 1: Weekly return -0.11%, September return -0.14%, 2025 YTD return 3.23%, annualized volatility 2.19%, maximum drawdown 1.31%[14][17] - Domestic BL Model 2: Weekly return -0.11%, September return -0.13%, 2025 YTD return 2.84%, annualized volatility 1.99%, maximum drawdown 1.06%[14][17] - Global BL Model 1: Weekly return 0.04%, September return 0.11%, 2025 YTD return 0.84%, annualized volatility 1.99%, maximum drawdown 1.64%[14][17] - Global BL Model 2: Weekly return 0.00%, September return 0.03%, 2025 YTD return 1.84%, annualized volatility 1.63%, maximum drawdown 1.28%[14][17] - Domestic Risk Parity Model: Weekly return -0.06%, September return 0.05%, 2025 YTD return 2.99%, annualized volatility 1.35%, maximum drawdown 0.76%[20][21] - Global Risk Parity Model: Weekly return -0.07%, September return 0.13%, 2025 YTD return 2.50%, annualized volatility 1.48%, maximum drawdown 1.20%[20][21] - Macro Factor-based Model: Weekly return 0.04%, September return 0.26%, 2025 YTD return 3.29%, annualized volatility 1.32%, maximum drawdown 0.64%[26][27]

Group 1 - The report highlights that domestic equity assets performed well in July 2025, with the risk parity strategy achieving a year-to-date return of 2.65% [2][5][20] - The report provides a summary of various asset allocation strategies, indicating that the domestic asset BL strategy 1 and 2 yielded returns of 2.40% and 2.34% respectively, while the risk parity strategy and macro factor-based strategy returned 2.65% and 2.59% respectively [21][41][42] - The report notes that the domestic equity market saw significant gains, with the CSI 1000 index rising by 4.8% and the Hang Seng Index increasing by 2.78% in July [8][9][10] Group 2 - The report discusses the correlation between different asset classes, indicating that the correlation between the CSI 300 and the total wealth index of government bonds was -38.08%, suggesting a potential for diversification [15][16] - The report outlines the performance of various asset allocation models, with the domestic risk parity strategy showing a maximum drawdown of 0.76% and an annualized volatility of 1.46% [41][42] - The macroeconomic outlook suggests downward risks for growth factors, while inflation expectations may stabilize due to recent policy measures [45][47]

Report Summary 1) Report Industry Investment Rating No information provided on the industry investment rating. 2) Core View of the Report - With the temporary cease - fire of the military conflict between Thailand and Cambodia, the geopolitical premium in the rubber market has shrunk. The Shanghai rubber futures 2509 contract has experienced a high - level correction. In the future, it is expected to maintain a high - level oscillating trend due to the divergence between bulls and bears [2][5]. - The improvement of the macro - sentiment has led to an increase in commodity valuations, and the risk appetite of the commodity market has significantly rebounded [3]. 3) Summary According to Related Content Macro Environment - Overseas markets are optimistic. The US Congress has passed relevant bills, which may lead to a loose fiscal policy and help the US debt achieve a soft landing. The US has reached tariff agreements with multiple economies, and the third - round economic and trade talks between China and the US have raised high expectations in the global financial market. This has improved the macro - factors and increased the risk appetite in the commodity market [3]. Rubber Production in Thailand and Cambodia - Thailand is the world's largest natural rubber producer, accounting for about one - third of the global total output. In 2024, its production was 466.24 million tons, a year - on - year decrease of 5.59%. In 2025 from January to May, production was 143.21 million tons, a year - on - year increase of 1.73%. In 2024, exports were 392.63 million tons, a year - on - year decrease of 2.62%. In 2025 from January to May, exports were 177.49 million tons, a year - on - year increase of 11.45%. Cambodia is an emerging rubber - producing country. In 2024, its production was 40.72 million tons, a year - on - year increase of 3.93%, and exports were 39.95 million tons, a year - on - year increase of 1.65%. Thailand's annual production and exports are 11.45 times and 9.83 times that of Cambodia respectively [4]. Impact of the Conflict on Rubber Production - The conflict area between Thailand and Cambodia is mainly in Thailand's Surin Province and Cambodia's Oddar Meanchey Province. In Thailand, the rubber production in Surin Province is limited. In Cambodia, the main rubber - producing areas are not in Oddar Meanchey Province. So the conflict has a limited impact on rubber production, and the geopolitical premium in the rubber market has decreased [5].

Report Summary 1) Report Industry Investment Rating No information provided. 2) Core View of the Report The domestic crude oil futures contract 2509 is expected to run weakly, with short - term, medium - term, and intraday views being oscillation, oscillation, and oscillation - weak respectively [1][5]. 3) Summary by Related Content Market Situation - The domestic crude oil futures 2509 contract closed slightly lower by 1.32% to 501.9 yuan/ton on the night session of last Friday [5]. Driving Factors - Macro factors improved as the US and Europe reached a trade agreement last weekend, and China and the US will hold an economic and trade meeting in Sweden at the end of this month, leading to a recovery in the risk appetite of the commodity market [5]. - The sharp decline of black commodities on last Friday weakened the bullish atmosphere in the commodity futures market and increased the bearish sentiment. Currently, the supply - demand structure of the crude oil market is strong on both sides, and macro sentiment is dominant [5]. Forecast - It is expected that the domestic crude oil futures 2509 contract will maintain an oscillation - weak trend on Monday this week [5].

Quantitative Models and Construction Methods 1. Factor Name: Beta Factor - **Construction Idea**: The Beta factor measures the sensitivity of a stock's returns to the overall market returns, indicating its systematic risk[29] - **Construction Process**: - Calculate the covariance between the stock's returns and the market returns - Divide this covariance by the variance of the market returns - Formula: $ \beta = \frac{\text{Cov}(R_i, R_m)}{\text{Var}(R_m)} $ where $R_i$ is the return of the stock and $R_m$ is the return of the market[29] - **Evaluation**: The Beta factor is a widely used measure of risk, indicating how much a stock's price is expected to move relative to the market[29] 2. Factor Name: Liquidity Factor - **Construction Idea**: The Liquidity factor assesses the ease with which a stock can be traded without affecting its price, reflecting the market's depth and breadth[29] - **Construction Process**: - Measure the average daily trading volume - Calculate the bid-ask spread - Combine these metrics to form a composite liquidity score - Formula: $ \text{Liquidity} = \frac{\text{Average Daily Volume}}{\text{Bid-Ask Spread}} $[29] - **Evaluation**: The Liquidity factor is crucial for understanding the trading costs and potential price impact of large trades[29] 3. Factor Name: Profitability Quality Factor - **Construction Idea**: The Profitability Quality factor evaluates the financial health and earnings quality of a company, focusing on sustainable and high-quality earnings[29] - **Construction Process**: - Analyze various financial ratios such as return on equity (ROE), return on assets (ROA), and profit margins - Combine these ratios into a composite score - Formula: $ \text{Profitability Quality} = \frac{\text{ROE} + \text{ROA} + \text{Profit Margin}}{3} $[29] - **Evaluation**: This factor helps in identifying companies with strong and sustainable earnings, which are likely to perform well in the long term[29] Factor Backtesting Results 1. Beta Factor - **IR**: 0.45[29] - **Annualized Return**: 8.5%[29] - **Volatility**: 12.3%[29] 2. Liquidity Factor - **IR**: 0.38[29] - **Annualized Return**: 7.8%[29] - **Volatility**: 11.5%[29] 3. Profitability Quality Factor - **IR**: 0.52[29] - **Annualized Return**: 9.2%[29] - **Volatility**: 10.8%[29] Additional Factors and Their Performance 1. Factor Name: Skewness Factor - **Construction Idea**: The Skewness factor measures the asymmetry of the return distribution, indicating the potential for extreme positive or negative returns[33] - **Construction Process**: - Calculate the third moment of the return distribution - Normalize by the cube of the standard deviation - Formula: $ \text{Skewness} = \frac{E[(R - \mu)^3]}{\sigma^3} $ where $R$ is the return, $\mu$ is the mean return, and $\sigma$ is the standard deviation[33] - **Evaluation**: This factor is useful for understanding the tail risks and potential for extreme outcomes in the return distribution[33] 2. Factor Name: Position Change Factor - **Construction Idea**: The Position Change factor tracks changes in the holdings of large institutional investors, indicating their sentiment and market positioning[33] - **Construction Process**: - Monitor the quarterly filings of institutional investors - Calculate the net change in positions for each stock - Formula: $ \text{Position Change} = \frac{\text{Current Quarter Holdings} - \text{Previous Quarter Holdings}}{\text{Previous Quarter Holdings}} $[33] - **Evaluation**: This factor provides insights into the buying and selling activities of major market players, which can influence stock prices[33] Factor Backtesting Results 1. Skewness Factor - **IR**: 0.42[33] - **Annualized Return**: 8.1%[33] - **Volatility**: 11.9%[33] 2. Position Change Factor - **IR**: 0.47[33] - **Annualized Return**: 8.7%[33] - **Volatility**: 11.2%[33]

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Report's Core View - The crude oil futures are expected to run strongly. The short - term and medium - term trends are both oscillatory, while the intraday trend is oscillatory and bullish. It is anticipated that the domestic crude oil futures on Thursday will maintain an oscillatory and bullish trend [1][5]. 3. Summary by Related Catalog 3.1 Variety Morning Meeting Minutes - For the crude oil 2507 contract, the short - term, medium - term trends are oscillatory, and the intraday trend is oscillatory and bullish. The reference view is a bullish run, with the core logic being the intensification of geopolitical risks [1]. 3.2 Price Quotes and Driving Logic of Main Varieties - Energy and Chemicals Sector of Commodity Futures - The intraday view of crude oil (SC) is oscillatory and bullish, and the medium - term view is oscillatory. The reference view is a bullish run. The core logic includes positive signals from the China - US leaders' phone call, the potential cooling of the China - US tariff war, the escalation of the Russia - Ukraine conflict, concerns about the breakdown of the US - Iran nuclear negotiation and the potential blockade of the Strait of Hormuz by Iran, as well as the OPEC+ countries' lower - than - expected production increase in April - May. International crude oil futures prices rose by over 5% on Wednesday night, and the domestic crude oil futures 2507 contract closed up 3.37% to 497.4 yuan per barrel [5].

Group 1: Report Industry Investment Rating - No relevant content Group 2: Core View of the Report - The domestic methanol futures 2509 contract is expected to maintain a slightly stronger than volatile trend on Thursday, with a short - term, medium - term, and intraday view of being volatile, and a reference view of running stronger [1][5] Group 3: Summary According to Related Catalogs Methanol Market Analysis - **Price Movement**: On Wednesday night, the domestic methanol futures 2509 contract slightly rose 0.35% to 2288 yuan/ton [5] - **Driving Factors** - **Macro - factors**: Positive signals from the phone call between Chinese and US leaders, an invitation for the US to visit China, and a consensus on tariffs in London have led to an improvement in the macro - factor as optimism rises [5] - **Industrial Factors**: The domestic methanol supply pressure has increased again, downstream demand improvement is limited, the futures contract profit of methanol - to - olefins has declined, and the port inventory is difficult to further reduce. With an expected increase in imports, the future social inventory accumulation pressure is rising [5]

Report Summary 1. Report Industry Investment Rating - No information provided in the report regarding industry investment rating. 2. Report's Core View - Both Shanghai rubber (RU) and synthetic rubber (BR) are expected to run strongly. Shanghai rubber 2509 and synthetic rubber 2507 are likely to maintain a slightly stronger and oscillating trend on Thursday, May 22, 2025 [1][5][7]. 3. Summary by Related Catalogs Shanghai Rubber (RU) - **Short - term, Medium - term, and Intraday Views**: Short - term: oscillating; Medium - term: oscillating; Intraday: oscillating and slightly stronger; Overall view: running strongly [1]. - **Core Logic**: Macro factors have improved, boosting the confidence of rubber market bulls. However, new rubber supply is gradually increasing as the new rubber tapping season begins in domestic and foreign natural rubber producing areas. Meanwhile, the procurement demand is expected to increase as the operating rate of the downstream tire industry returns to normal. Against the backdrop of improved supply - demand structure, Shanghai rubber futures may maintain an oscillating and slightly stronger trend. On the night of Wednesday, the 2509 contract of domestic Shanghai rubber futures slightly rose 0.61% to 14,945 yuan/ton [5]. Synthetic Rubber (BR) - **Short - term, Medium - term, and Intraday Views**: Short - term: oscillating; Medium - term: oscillating; Intraday: oscillating and slightly stronger; Overall view: running strongly [1]. - **Core Logic**: Although Sino - US economic and trade relations have made substantial progress and macro factors have turned optimistic, the US debt crisis in June is approaching, which may trigger a new round of negative macro - impacts. OPEC+ oil - producing countries are accelerating production, and the crude oil demand is expected to be weak. However, the geopolitical situation in the Middle East has become chaotic again, increasing geopolitical risks. With the recovery of crude oil premium, the 2507 contract of domestic synthetic rubber futures slightly rose 0.62% to 12,145 yuan/ton on the night of Wednesday. It may maintain an oscillating and slightly stronger trend on Thursday [7].

Group 1: Report Industry Investment Rating - No relevant content Group 2: Report's Core View - The Shanghai rubber futures 2509 contract is expected to maintain a slightly stronger oscillating trend on Wednesday, and the synthetic rubber futures 2507 contract is also expected to maintain a slightly stronger oscillating trend [5][7] Group 3: Summary by Related Catalogs Shanghai Rubber (RU) - Short - term view: Oscillating; Medium - term view: Oscillating; Intraday view: Slightly stronger oscillating; Reference view: Stronger operation [1][5] - Core logic: Macro factors have improved, boosting the confidence to buy in the rubber market. However, the new rubber supply is gradually increasing as the rubber - tapping season arrives. The downstream tire industry's procurement demand is expected to increase. Despite a 0.74% decline in the 2509 contract on Tuesday night, it may maintain a slightly stronger oscillating trend on Wednesday [5] Synthetic Rubber (BR) - Short - term view: Oscillating; Medium - term view: Oscillating; Intraday view: Rising; Reference view: Stronger operation [1][7] - Core logic: Although macro factors are turning optimistic, the US debt crisis in June may cause a negative impact. OPEC+ is increasing production, and oil demand is expected to be weak. But the news of Israel's possible attack on Iran's nuclear facilities has driven up oil prices. Despite a 0.86% decline in the 2507 contract on Tuesday night, it may maintain a slightly stronger oscillating trend on Wednesday [7]