匪煤县寿(石册 800 50000 4000 600 3000 400 【钢材】情绪略微降温 2000 200 分歧的阶段,但并不能确定高点拐点己经出现。产业层面,关注本周钢材产量端变化,若延续需求韧性且能继续承接供 1000 增产,那么将继续支撑炉料偏强的格局。盘面10 合约螺纹相对更弱一些,这与近期螺纹期货仓单量快速回升存在相关性, 压制近月合约螺纹估值。目前期现套暂还没有解锁,期现正套依然锁住一部分现货货物流。单边,黑色系可能会出现波动加 -200 大,可观察是否回踩均线有支撑。行情的锚点主要在于期货市场资金驱动和情绪波动,重点关注 IC + 7202 50 + 7202 20 + 7202 【焦煤焦炭】焦煤继续涨停板,焦炭第三轮提涨井后 现货端,焦炭第三轮提涨登场,预计很快落地,焦煤现货竞拍情绪火爆,成交价大幅上涨。港口贸易准一焦炭报价1420(+ 40),炼焦煤价格指数1102.5(+31.7);蒙煤方面,市场报价再创新高,下游拿货情绪有所好转,现甘其毛都口岸,蒙5 焦炭基差(右轴) 原煤996(+89),蒙5精煤1029(-)。河北唐山:蒙5精媒1230(-)。期货端,市场情绪依然高涨,盘中多个品 ...

如何看浮法玻璃反内卷前景？20250723 摘要 反内卷共识增强背景下，浮法玻璃基本面触底，或迎来反弹机会。当前 亏损幅度若超 10%-20%难以长期维持，成本支撑依然存在，燃料和纯 碱价格是关键因素。 市场情绪受政策影响，悲观预期有所缓解，但具体政策落地效果仍待观 察。期货价格上涨带动套保增加，期现商通过套保将货物存放在市场中， 从而带动现货价格上涨，并提供套保机会。 沙河小板与大板价差几乎为零，表明家装需求尚存，工程需求未恢复。 湖北地区大板套保空间充足，但期货涨势过快导致套保热情下降，需等 待供需改善和政策传导。 当前挑战包括供需关系未根本改变，下游情绪未显著提升，政策效果待 观察，库存下降幅度有限。未来发展取决于政策、房地产复苏和全球经 济，有效政策传导有望改善前景。 期货市场给出较高价格，企业套保意愿平稳，观望情绪浓厚。部分厂家 已实现盈利，套保积极性下降，湖北地区仍有套保需求，若价差持续存 在，或增加套保需求。 Q&A 如何看待浮法玻璃行业近期的市场表现及其反内卷前景？ 近期浮法玻璃市场表现出一些积极迹象，尤其是在期货市场上出现了显著的波 动。尽管目前是传统淡季，但现货价格也有所上涨，生产企业库存 ...

有色套利早报 研究中心有色团队 2025/07/25 铜：跨市套利跟踪 2025/07/25 国内价格 LME价格 比价 现货 79790 9897 8.05 三月 79920 9947 8.01 均衡比价 盈利 现货进口 8.14 -630.69 现货出口 402.52 锌：跨市套利跟踪 2025/07/25 国内价格 LME价格 比价 现货 22870 2875 7.95 三月 23015 2876 5.86 均衡比价 盈利 现货进口 8.62 -1901.83 铝：跨市套利跟踪 2025/07/25 国内价格 LME价格 比价 现货 20730 2648 7.82 三月 20730 2646 7.82 均衡比价 盈利 现货进口 8.48 -1741.60 镍：跨市套利跟踪 2025/07/25 国内价格 LME价格 比价 现货 122850 15403 7.98 均衡比价 盈利 现货进口 8.22 -2151.35 跨期套利跟踪 2025/07/25 铜 次月-现货月 三月-现货月 四月-现货月 五月-现货月 价差 370 400 360 270 理论价差 500 897 1304 1710 锌 次月- ...

Core Viewpoint - Index enhancement funds are a specialized subset of index funds, aiming to achieve excess returns relative to a benchmark index through various enhancement strategies [1][4]. Group 1: Types of Enhancement Strategies - There are six common enhancement strategies: fundamental enhancement, quantitative enhancement, IPO subscription, ETF premium/discount arbitrage, ETF futures arbitrage, and index enhancement return swaps [6][69]. - Fundamental enhancement involves overweighting stocks with strong profitability and favorable outlooks, similar to active fund stock selection [5][7]. - Quantitative enhancement utilizes various quantitative factors to capture investment opportunities, including valuation, fundamental, price-related, and sentiment factors [13][15][21]. - IPO subscription allows funds to participate in new stock offerings, typically yielding profits on the first trading day [31][34]. - ETF premium/discount arbitrage exploits price discrepancies between the net asset value and market price of ETFs [37][42]. - ETF futures arbitrage takes advantage of price differences between ETF spot prices and futures prices [55][58]. Group 2: Advantages and Disadvantages of Strategies - Fundamental enhancement has a flexible scale requirement, but may experience volatility in excess returns during unusual market conditions [10][12]. - Quantitative enhancement can yield good excess returns when fund sizes are small, but larger fund sizes may dilute these returns [27][28]. - IPO subscription can provide good excess returns for funds sized between 200 million to 1 billion, but larger funds may see diminished returns [35][36]. - ETF premium/discount arbitrage is flexible and offers stable excess returns, but the effectiveness can be impacted by the scale of participating funds [54]. - ETF futures arbitrage provides stable excess returns but is susceptible to regulatory changes [61]. Group 3: Application of Strategies in Financial Products - Different financial products utilize various enhancement strategies, with public funds commonly employing fundamental and quantitative enhancements, while private funds have more flexibility [66][71]. - Public funds often use IPO subscription and ETF premium/discount arbitrage as auxiliary strategies, while ETF futures arbitrage and index enhancement return swaps are less common [67]. Group 4: Investment Considerations - Investing in small-cap indices tends to yield better enhancement results due to higher retail investor participation and greater price inefficiencies [79][84]. - The scale of the enhancement fund is crucial; funds sized between 200 million to 1 billion are more likely to achieve excess returns [88]. - Investing during undervalued phases of indices can mitigate risks associated with high valuations [90][92]. Group 5: Summary of Findings - The primary source of returns for index enhancement products is the underlying index's profit growth, supplemented by various enhancement strategies [95][96]. - The six enhancement strategies each have unique advantages and disadvantages, with common applications in public and private index enhancement funds [97][98].

铅：跨市套利跟踪 2025/07/23 | 三月 | 16965 | 2002 | 11.40 | 现货进口 | 8.84 | -739.70 | | --- | --- | --- | --- | --- | --- | --- | | 现货 | 国内价格 16675 | LME价格 1976 | 比价 8.46 | | 均衡比价 | 盈利 | 有色套利早报 研究中心有色团队 2025/07/23 铜：跨市套利跟踪 2025/07/23 国内价格 LME价格 比价 现货 79760 9794 8.16 三月 79770 9863 8.07 均衡比价 盈利 现货进口 8.16 76.62 现货出口 -67.76 锌：跨市套利跟踪 2025/07/23 国内价格 LME价格 比价 现货 22800 2841 8.02 三月 22940 2846 5.92 均衡比价 盈利 现货进口 8.64 -1742.69 铝：跨市套利跟踪 2025/07/23 国内价格 LME价格 比价 现货 20950 2647 7.91 三月 20835 2645 7.86 均衡比价 盈利 现货进口 8.50 -1559.16 镍：跨市 ...

有色套利早报 研究中心有色团队 2025/07/22 铜：跨市套利跟踪 2025/07/22 国内价格 LME价格 比价 现货 79600 9790 8.03 三月 79770 9857 8.06 均衡比价 盈利 现货进口 8.16 - 现货出口 15.32 锌：跨市套利跟踪 2025/07/22 国内价格 LME价格 比价 现货 22820 2848 8.01 三月 22915 2850 5.93 均衡比价 盈利 现货进口 8.64 -1778.34 铝：跨市套利跟踪 2025/07/22 国内价格 LME价格 比价 现货 20890 2640 7.91 三月 20785 2638 7.87 均衡比价 盈利 现货进口 8.50 -1547.06 镍：跨市套利跟踪 2025/07/22 国内价格 LME价格 比价 现货 121350 15134 8.02 均衡比价 盈利 现货进口 8.24 -1872.54 免责声明: 以上内容所依据的信息均来源于交易所、媒体及资讯公司等发布的公开资料或通过合法授权渠道向发布人取得的资讯，我们力求分析及建议内 容的客观、公正，研究方法专业审慎，分析结论合理，但公司对信息来源的 ...

有色套利早报 研究中心有色团队 2025/07/18 铜：跨市套利跟踪 2025/07/18 国内价格 LME价格 比价 现货 78010 9538 8.19 三月 77830 9597 8.12 均衡比价 盈利 现货进口 8.17 -219.86 现货出口 -320.91 锌：跨市套利跟踪 2025/07/18 国内价格 LME价格 比价 现货 22120 2693 8.21 三月 22085 2696 6.24 均衡比价 盈利 现货进口 8.68 -1248.97 铝：跨市套利跟踪 2025/07/18 国内价格 LME价格 比价 现货 20570 2564 8.02 三月 20355 2567 7.96 均衡比价 盈利 现货进口 8.53 -1293.96 镍：跨市套利跟踪 2025/07/18 国内价格 LME价格 比价 现货 118550 14787 8.02 均衡比价 盈利 现货进口 8.25 -2413.78 免责声明: 以上内容所依据的信息均来源于交易所、媒体及资讯公司等发布的公开资料或通过合法授权渠道向发布人取得的资讯，我们力求分析及建议内 容的客观、公正，研究方法专业审慎，分析结论合理，但 ...

有色套利早报 研究中心有色团队 2025/07/17 铜：跨市套利跟踪 2025/07/17 国内价格 LME价格 比价 现货 78060 9576 8.15 三月 77940 9641 8.09 均衡比价 盈利 现货进口 8.17 -149.02 现货出口 -105.62 锌：跨市套利跟踪 2025/07/17 国内价格 LME价格 比价 现货 22060 2686 8.21 三月 21995 2695 6.27 均衡比价 盈利 现货进口 8.68 -1243.32 铝：跨市套利跟踪 2025/07/17 国内价格 LME价格 比价 现货 20520 2579 7.96 三月 20360 2581 7.92 均衡比价 盈利 现货进口 8.51 -1436.31 镍：跨市套利跟踪 2025/07/17 国内价格 LME价格 比价 现货 119950 14947 8.02 均衡比价 盈利 现货进口 8.25 -2104.30 铅：跨市套利跟踪 2025/07/17 免责声明: 以上内容所依据的信息均来源于交易所、媒体及资讯公司等发布的公开资料或通过合法授权渠道向发布人取得的资讯，我们力求分析及建议内 容的客观、 ...

发生任何变化。且全部分析及建议内容仅供参考，不构成对您的任何投资建议及入市依据，客户应当自主做出期货交易决策，独立承担期货交 易后果，凡据此入市者，我公司不承担任何责任。未经公司授权，不得随意转载、复制、传播本网站中所有研究分析报告、行情分析视频等全 部或部分材料、内容。对可能因互联网软硬件设备故障或失灵、或因不可抗力造成的全部或部分信息中断、延迟、遗漏、误导或造成资料传输 或储存上的错误、或遭第三人侵入系统篡改或伪造变造资料等，我们均不承担任何责任。 国内价格 LME价格 比价 现货 16800 1956 8.61 三月 16965 1988 11.13 均衡比价 盈利 现货进口 8.86 -480.20 有色套利早报 研究中心有色团队 2025/07/16 铜：跨市套利跟踪 2025/07/16 国内价格 LME价格 比价 现货 78025 9596 8.19 三月 77990 9645 8.09 均衡比价 盈利 现货进口 8.17 -326.69 现货出口 16.16 锌：跨市套利跟踪 2025/07/16 国内价格 LME价格 比价 现货 22150 2702 8.20 三月 22070 2712 6 ...

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core Views - **Alumina**: The alumina market is in a stage of relatively high supply and stable demand. The previous optimistic sentiment in the market has cooled, and it is gradually returning to the fundamentals. It is recommended to trade with a light - position, expecting a slightly stronger and volatile trend [2]. - **Electrolytic Aluminum**: The electrolytic aluminum market has a situation of a slight increase in supply and weak demand. Affected by the off - season and trade uncertainties, the upward space for the price of Shanghai aluminum may be limited [2]. - **Cast Aluminum Alloy**: The cast aluminum alloy market is in a situation of weak supply and demand. Due to the tight supply of scrap aluminum, the cost - support logic is relatively strong. In the short term, the upward space for the price of cast aluminum may be limited [2]. 3. Directory Summaries 3.1 Futures Market - **Prices and Spreads**: The closing price of the Shanghai aluminum main contract was 20,430 yuan/ton, up 15 yuan; the closing price of the alumina futures main contract was 3,165 yuan/ton, up 20 yuan. The spread between this month and next month's contracts for Shanghai aluminum decreased by 5 yuan, while that for alumina increased by 73 yuan [2]. - **Positions and Inventories**: The positions of the main contracts of Shanghai aluminum, alumina, and cast aluminum alloy changed, with decreases in Shanghai aluminum and alumina and an increase in cast aluminum alloy. The LME aluminum inventory increased by 5,275 tons, and the Shanghai aluminum inventory on the SHFE increased by 8,565 tons [2]. - **Other Indicators**: The net position of the top 20 in Shanghai aluminum increased by 703 hands, and the Shanghai - London ratio increased by 0.02 [2]. 3.2 Spot Market - **Prices**: The prices of Shanghai Non - ferrous A00 aluminum and Yangtze River Non - ferrous AOO aluminum increased, while the price of ADC12 aluminum alloy ingot remained unchanged. The spot price of alumina increased by 10 yuan/ton [2]. - **Basis**: The basis of cast aluminum alloy decreased by 500 yuan/ton, the basis of electrolytic aluminum increased by 25 yuan/ton, and the basis of alumina decreased by 10 yuan/ton [2]. - **Premiums and Discounts**: The Shanghai Wumao aluminum premium increased by 150 yuan/ton, and the LME aluminum discount decreased by 2.17 dollars/ton [2]. 3.3 Upstream Situation - **Alumina**: The production of alumina increased by 16.50 million tons, the demand increased by 26.32 million tons, and the supply - demand balance decreased by 15.33 million tons. The import volume increased by 5.68 million tons, and the export volume decreased by 5 million tons [2]. - **Aluminum Scrap**: The average price of crushed raw aluminum in Foshan and Shandong remained unchanged. The import volume of aluminum scrap decreased by 30,651.64 tons, and the export volume increased by 35.90 tons [2]. 3.4 Industry Situation - **Electrolytic Aluminum**: The total production capacity increased by 0.50 million tons, the production of primary aluminum decreased by 27,381.21 tons, and the export increased by 18,421.29 tons. The production of aluminum products decreased by 0.20 million tons, and the export of un - forged aluminum and aluminum products decreased by 6.10 million tons [2]. - **Recycled Aluminum Alloy Ingot**: The production increased by 0.29 million tons, and the export increased by 0.76 million tons. The built - in production capacity decreased by 1.10 million tons [2]. 3.5 Downstream and Application - **Automobile**: The monthly automobile production was 2.809 million vehicles, an increase of 0.167 million vehicles [2]. - **Real Estate**: The national real - estate climate index was 93.60, a decrease of 0.11 [2]. 3.6 Option Situation - **Volatility**: The 20 - day and 40 - day historical volatilities of Shanghai aluminum decreased, and the implied volatility of the at - the - money option of the Shanghai aluminum main contract decreased slightly [2]. - **Put - Call Ratio**: The put - call ratio of Shanghai aluminum options was 1.16, an increase of 0.0711 [2]. 3.7 Industry News - **Trade**: In the first half of the year, China's total import and export value of goods trade was 21.79 trillion yuan, a year - on - year increase of 2.9%. Exports were 13 trillion yuan, up 7.2%; imports were 8.79 trillion yuan, down 2.7% [2]. - **Monetary Policy**: At the end of June, the balance of broad money (M2) was 330.29 trillion yuan, a year - on - year increase of 8.3%; the stock of social financing scale was 430.22 trillion yuan, a year - on - year increase of 8.9% [2]. - **Automobile Registration**: In the first half of the year, 16.88 million new motor vehicles were registered nationwide, including 5.622 million new energy vehicles, a year - on - year increase of 27.86% [2].