Report Industry Investment Rating - Not provided Core View - The report provides cross - market, cross - period, and cross - variety arbitrage tracking data for non - ferrous metals including copper, zinc, aluminum, nickel, and lead on April 1, 2026 [1][3][4] Summary by Related Catalogs Cross - Market Arbitrage Tracking - **Copper**: On April 1, 2026, the domestic spot price was 95540, LME price was 12131, and the ratio was 7.87; the three - month domestic price was 95330, LME price was 12210, and the ratio was 7.83. The equilibrium ratio for spot import was 7.86, with a profit of - 92.99 [1] - **Zinc**: The domestic spot price was 23420, LME price was 3175, and the ratio was 7.83; the three - month domestic price was 23530, LME price was 3182, and the ratio was 5.18. The equilibrium ratio for spot import was 8.25, with a profit of - 2788.51 [1] - **Aluminum**: The domestic spot price was 24610, LME price was 3529, and the ratio was 6.97; the three - month domestic price was 24915, LME price was 3475, and the ratio was 7.13. The equilibrium ratio for spot import was 8.35, with a profit of - 4874.63 [1] - **Nickel**: The domestic spot price was 134700, LME price was 16966, and the ratio was 7.94. The equilibrium ratio for spot import was 7.99, with a profit of - 925.00 [1] - **Lead**: The domestic spot price was 16400, LME price was 1882, and the ratio was 8.69; the three - month domestic price was 16495, LME price was 1913, and the ratio was 12.31. The equilibrium ratio for spot import was 8.52, with a profit of 317.35 [3] Cross - Period Arbitrage Tracking - **Copper**: The spreads of the next - month, three - month, four - month, and five - month contracts relative to the spot month were - 360, - 370, - 350, and - 370 respectively, while the theoretical spreads were 581, 1059, 1547, and 2034 [4] - **Zinc**: The spreads were 0, 50, 55, and 45 respectively, and the theoretical spreads were 220, 347, 473, and 600 [4] - **Aluminum**: The spreads were 235, 275, 305, and 295 respectively, and the theoretical spreads were 234, 369, 505, and 640 [4] - **Lead**: The spreads were 35, 30, 55, and 30 respectively, and the theoretical spreads were 207, 311, 414, and 517 [4] - **Nickel**: The spreads were - 1760, - 1460, - 1170, and - 820 respectively [4] - **Tin**: The 5 - 1 spread was - 2600, and the theoretical spread was 7602 [4] Spot - Futures Arbitrage Tracking - **Copper**: The spreads of the current - month and next - month contracts relative to the spot were 110 and - 250 respectively, and the theoretical spreads were 340 and 814 [4] - **Zinc**: The spreads were 60 and 60 respectively, and the theoretical spreads were 138 and 274 [4] - **Lead**: The spreads were 65 and 100 respectively, and the theoretical spreads were 133 and 243 [5] Cross - Variety Arbitrage Tracking - The ratios of copper/zinc, copper/aluminum, copper/lead, aluminum/zinc, aluminum/lead, and lead/zinc for Shanghai (three - continuous) were 4.05, 3.83, 5.78, 1.06, 1.51, and 0.70 respectively; for London (three - continuous) were 3.82, 3.56, 6.48, 1.07, 1.82, and 0.59 respectively [5]

Report Industry Investment Rating - Not provided Core View - The report presents cross - market, cross - period, and cross - variety arbitrage tracking data for various non - ferrous metals including copper, zinc, aluminum, nickel, and lead on March 31, 2026 [1][3][4] Summary by Related Catalogs Cross - Market Arbitrage Tracking - **Copper**: Spot price in China is 95330, LME price is 12123, with a ratio of 7.90; March price in China is 95730, LME price is 12206, ratio 7.80. Spot import equilibrium ratio is 7.87, profit is 541.77 [1] - **Zinc**: Spot price in China is 23400, LME price is 3153, ratio 7.42; March price in China is 23575, LME price is 3154, ratio 5.22. Spot import equilibrium ratio is 8.26, profit is - 2650.82 [1] - **Aluminum**: Spot price in China is 24530, LME price is 3485, ratio 7.04; March price in China is 24795, LME price is 3438, ratio 7.18. Spot import equilibrium ratio is 8.37, profit is - 4632.22 [1] - **Nickel**: Spot price in China is 135150, LME price is 17158, ratio 7.88. Spot import equilibrium ratio is 8.00, profit is - 416.07 [1] - **Lead**: Spot price in China is 16400, LME price is 1972, ratio 8.28; March price in China is 16500, LME price is 1903, ratio 12.36. Spot import equilibrium ratio is 8.50, profit is - 444.79 [3] Cross - Period Arbitrage Tracking - **Copper**: Spreads for次月 - 现货月, 三月 - 现货月, 四月 - 现货月, 五月 - 现货月 are - 190, - 220, - 200, - 260 respectively, with theoretical spreads of 582, 1062, 1550, 2039 [4] - **Zinc**: Spreads for次月 - 现货月, 三月 - 现货月, 四月 - 现货月, 五月 - 现货月 are 205, 240, 235, 255 respectively, with theoretical spreads of 220, 345, 471, 597 [4] - **Aluminum**: Spreads for次月 - 现货月, 三月 - 现货月, 四月 - 现货月, 五月 - 现货月 are 855, 925, 955, 965 respectively, with theoretical spreads of 230, 362, 493, 624 [4] - **Lead**: Spreads for次月 - 现货月, 三月 - 现货月, 四月 - 现货月, 五月 - 现货月 are - 20, - 15, - 5, - 15 respectively, with theoretical spreads of 208, 311, 415, 518 [4] - **Nickel**: Spreads for次月 - 现货月, 三月 - 现货月, 四月 - 现货月, 五月 - 现货月 are 500, 680, 920, 1090 respectively [4] - **Tin**: 5 - 1 spread is - 3090, theoretical spread is 7666 [4] Spot - Futures Arbitrage Tracking - **Copper**: Spreads for当月合约 - 现货 and 次月合约 - 现货 are 775 and 585 respectively, with theoretical spreads of 424 and 922 [4] - **Zinc**: Spreads for当月合约 - 现货 and 次月合约 - 现货 are - 65 and 140 respectively, with theoretical spreads of 154 and 290 [4] - **Zinc (repeated)**: Spreads for当月合约 - 现货 and 次月合约 - 现货 are - 65 and 140 respectively, with theoretical spreads of 47 and 317 [5] - **Lead**: Spreads for当月合约 - 现货 and 次月合约 - 现货 are 115 and 95 respectively, with theoretical spreads of 144 and 254 [5] Cross - Variety Arbitrage Tracking - Ratios for copper/zinc, copper/aluminum, copper/lead, aluminum/zinc, aluminum/lead, lead/zinc in Shanghai (triple - continuous) are 4.06, 3.86, 5.80, 1.05, 1.50, 0.70 respectively; in London (triple - continuous) are 3.84, 3.59, 6.40, 1.07, 1.78, 0.60 respectively [5]

Report Industry Investment Rating - Not provided in the given content Core Viewpoints of the Report - Overall, the tone of the Two Sessions is positive, laying a foundation for the good development of the domestic economy. The changing situation in the Middle East has led to a sharp rise in crude oil and chemical products, which may affect the cost and sentiment of other commodities, as well as economic factors such as interest rates. Due to cost increases and the relatively low valuation of the black industry, it may have an impact on the bottom - up of black prices, but the overall fundamentals of the black industry are average, and the actual impact is not significant [141] Summary by Relevant Catalogs 01 Weekly Report Thinking Explanation - **Valuation**: It addresses the static issue of whether a commodity is expensive or not. By comparing with history, production costs, spot prices, and import/regional price differences, an objective judgment can be made. When the situation is clear, there are usually good investment opportunities and strategies [8] - **Driver**: It is about how future valuations will change. The biggest driver comes from changes in the industrial pattern and capacity. Inventory changes are worthy of attention as they reflect recent changes in demand, production, and imports/exports [8] - **Other**: The formation of the final view and the expression of strategies are the result of multiple factors. Valuation and driver provide a basis for analysis, but additional thinking may be needed to achieve better results. The weekly report explores investment opportunities in the black industry from these three aspects and uses key data for verification [9] 02 Main Logic Summary of Each Variety Threaded Rods and Hot - Rolled Coils - **Bullish Logic**: The Two Sessions set a positive tone. Steel mill profits are average, and there may be pressure to reduce supply due to the 2026 capacity replacement policy. The upcoming demand season and better - than - expected exports, along with rising energy prices and a strong overall commodity atmosphere [13] - **Bearish Logic**: The era of real estate and infrastructure is over, and the export license system is implemented. Profits have improved, raw materials are in oversupply, inventory is large, and cost increases are limited [14] - **Viewpoint**: The price will continue to fluctuate within a range in the later period [15] - **Strategy**: Buy low and sell high [16] Ore - **Bullish Logic**: The ore basis still has an advantage, steel mill profits have improved. The comprehensive cost of newly -投产 ore is high, the rhythm is highly uncertain, and many are in non - traditional regions. Indian steel production is rising, Iranian ore exports are blocked, the progress of Simandou may be weaker than expected, and the price of crude oil has risen, increasing freight costs [57] - **Bearish Logic**: Ore production capacity is expected to increase, Simandou will enter the market. The cash cost of new production capacity is low, future steel demand is unlikely to improve significantly, and ore inventory is high [57] - **Viewpoint**: The supply - demand situation of ore has marginally improved due to factors such as Iran, but the overall pattern remains unchanged [58] - **Strategy**: Wait for the price of far - month ore to rise before making a decision [59] Coking Coal and Coke - **Bullish Logic**: Domestic coal supply may be affected by future environmental protection factors. Rising crude oil prices have a price - comparison pulling effect on coal, and the demand for coal in the coal - chemical industry is expected to increase. The current valuation is not high, and sea - coal imports have stopped due to price issues [79] - **Bearish Logic**: Domestic coal is in the process of resuming production, and the probability of further tightening in the later period is low. Coal imports from Mongolia and Russia will remain high in 2026, and the previous high prices have attracted hedging positions [79] - **Viewpoint**: It is highly likely that coking coal and coke will fluctuate within a range [80] - **Strategy**: The coking coal spot - futures arbitrage has shrunk significantly. Choose the right time to shift positions to far - month contracts and operate in a rolling manner [81] Silicon Manganese and Silicon Iron - **Bullish Logic**: The price is not high, and production profits are low. The variety is small, and volatility can be easily amplified. Manganese ore prices have risen significantly due to factors such as Australian weather and diesel. Silicon manganese production has decreased. There are rumors that South Africa will impose an export tax on manganese ore. Iron - water production is expected to rise, there is an expectation of an increase in differential electricity prices, and rising crude oil prices boost sentiment and raise cost expectations [104] - **Bearish Logic**: It is expected that demand will not grow significantly in 2026, production capacity is loose and new capacity is added. Silicon manganese inventory is high, and ferromanganese inventory is also not low. If the futures price continues to rise, the spot - futures price difference will be favorable [105] - **Viewpoint**: The rise in manganese ore prices has led to some performance of silicon manganese. Pay attention to the spot - futures price difference [106] 03 Strategy Tracking and Summary - **Summary**: The overall situation is affected by the positive tone of the Two Sessions and the rise in crude oil and chemical products. The black industry's fundamentals are average, and the real impact on prices is not significant [141] - **Strategy**: The spot - futures arbitrage of coking coal, glass, and soda ash has performed well. Choose the right time to shift positions to far - month contracts and operate in a rolling manner. Wait for the improvement of ore. Glass and soda ash remain in a bearish pattern, and short positions can be taken on rallies and operated in a rolling manner [142]

Report Summary 1. Report Industry Investment Rating - No information provided 2. Core View - The report presents cross - market, cross - period, and cross - variety arbitrage tracking data for various non - ferrous metals including copper, zinc, aluminum, nickel, and lead on March 26, 2026, which can help investors find potential arbitrage opportunities [1][3][4] 3. Summary by Related Catalogs Cross - Market Arbitrage Tracking - **Copper**: The spot price in China is 95,610, LME price is 12,158, with a spot ratio of 7.73; the March price in China is 95,610, LME price is 12,229, with a ratio of 7.83. The equilibrium ratio for spot import is 7.85, and the profit is - 81.97 [1] - **Zinc**: The spot price in China is 22,920, LME price is 3,058, with a spot ratio of 7.50; the March price in China is 22,945, LME price is 3,058, with a ratio of 5.39. The equilibrium ratio for spot import is 8.26, and the profit is - 2,327.04 [1] - **Aluminum**: The spot price in China is 23,760, LME price is 3,284, with a spot ratio of 7.23; the March price in China is 23,920, LME price is 3,235, with a ratio of 7.40. The equilibrium ratio for spot import is 8.38, and the profit is - 3,776.15 [1] - **Nickel**: The spot price in China is 134,450, LME price is 17,040, with a spot ratio of 7.89. The equilibrium ratio for spot import is 7.98, and the profit is - 223.68 [1] - **Lead**: The spot price in China is 16,375, LME price is 1,901, with a spot ratio of 8.59; the March price in China is 16,500, LME price is 1,901, with a ratio of 12.10. The equilibrium ratio for spot import is 8.50, and the profit is 160.51 [3] Cross - Period Arbitrage Tracking - **Copper**: The spreads between the next - month, March, April, and May contracts and the spot month are 1,480, 1,500, 1,540, and 1,450 respectively, while the theoretical spreads are 573, 1,043, 1,523, and 2,002 [4] - **Zinc**: The spreads between the next - month, March, April, and May contracts and the spot month are - 5, 5, 35, and 30 respectively, while the theoretical spreads are 218, 341, 465, and 589 [4] - **Aluminum**: The spreads between the next - month, March, April, and May contracts and the spot month are 280, 340, 385, and 405 respectively, while the theoretical spreads are 229, 359, 489, and 619 [4] - **Lead**: The spreads between the next - month, March, April, and May contracts and the spot month are 85, 90, 120, and 105 respectively, while the theoretical spreads are 207, 310, 413, and 516 [4] - **Nickel**: The spreads between the next - month, March, April, and May contracts and the spot month are 2,930, 3,120, 3,350, and 3,490 respectively [4] - **Tin**: The spread between the 5 - 1 contracts is - 4,620, and the theoretical spread is 7,346 [4] Spot - Futures Arbitrage Tracking - **Copper**: The spreads between the current - month and next - month contracts and the spot are - 1,465 and 15 respectively, while the theoretical spreads are 204 and 947 [4] - **Zinc**: The spreads between the current - month and next - month contracts and the spot are 20 and 15 respectively, while the theoretical spreads are 157 and 290 [4] - **Lead**: The spreads between the current - month and next - month contracts and the spot are 35 and 120 respectively, while the theoretical spreads are 151 and 261 [5] Cross - Variety Arbitrage Tracking - The ratios of copper/zinc, copper/aluminum, copper/lead, aluminum/zinc, aluminum/lead, and lead/zinc for Shanghai (three - continuous) are 4.17, 4.00, 5.79, 1.04, 1.45, and 0.72 respectively; for LME (three - continuous) are 4.00, 3.80, 6.45, 1.05, 1.70, and 0.62 respectively [5]

Group 1 - The report emphasizes the importance of distinguishing between different hedging strategies based on the type and maturity of bonds, specifically focusing on 30-year government bonds, local government bonds, and policy bank bonds for implementing neutral strategies [1][4]. - The core trading strategy involves identifying the most cost-effective spread opportunities in the bond market and utilizing government bond futures to construct neutral strategies that mitigate directional risks while stabilizing the spread convergence [7][8]. - The report outlines that common neutral strategy varieties include: 1) 30-year government bonds, where the focus is on mean reversion versus trend-based trading; 2) ultra-long local government bonds, which require precise alignment; and 3) policy bank bonds, where different maturities necessitate different hedging tools [4][18][25]. Group 2 - The report details that government bond futures are closely tied to the cheapest-to-deliver (CTD) bonds, which may not always align with the movements of actively traded bonds of the same maturity, necessitating careful consideration of the spread between the target bonds and CTD bonds [8][12]. - It highlights that the TL contract is primarily anchored to 30-year government bonds, and the spread between old and new bonds should be monitored for effective arbitrage [9][19]. - The report indicates that the T contract is linked to 7-year government bonds, and the strategy must account for the 10-7 year spread, which has shown significant fluctuations in recent years [13][25]. Group 3 - The analysis of neutral strategies reveals that the 30-year government bonds exhibit a stable spread around 0 basis points, making them suitable for high-certainty narrow spread trading [19][28]. - For ultra-long local government bonds, the report suggests that bond lending is a more robust choice due to the stable mean-reversion characteristics of the spread with 30-year government bonds, while also allowing for precise targeting of liquidity [22][30]. - The report notes that for policy bank bonds, the 7-year bonds are better suited for hedging with government bond futures, while the 10-year bonds require careful consideration of the 10-7 year spread to avoid hedging mismatches [25][35].

Report Summary 1) Report Industry Investment Rating - Not provided in the given content 2) Core View - The report presents cross - market, cross - period, spot - futures, and cross - variety arbitrage tracking data for non - ferrous metals such as copper, zinc, aluminum, nickel, and lead on March 23, 2026, including domestic and LME prices, price ratios, equilibrium price ratios, and profit/loss data [1][3][4] 3) Summary by Relevant Catalogs Cross - Market Arbitrage Tracking - **Copper**: On March 23, 2026, the domestic spot price was 95790, LME spot price was 12057, with a ratio of 7.82; the domestic three - month price was 94710, LME three - month price was 12152, with a ratio of 7.88. The equilibrium ratio for spot import was 7.84, with a profit of 149.23, and a loss of - 1379.27 for spot export [1] - **Zinc**: The domestic spot price was 22900, LME spot price was 3062, with a ratio of 7.48; the domestic three - month price was 22950, LME three - month price was 3087, with a ratio of 5.31. The equilibrium ratio for spot import was 8.26, with a loss of - 2399.15 [1] - **Aluminum**: The domestic spot price was 24070, LME spot price was 3294, with a ratio of 7.31; the domestic three - month price was 24075, LME three - month price was 3256, with a ratio of 7.46. The equilibrium ratio for spot import was 8.34, with a loss of - 3405.67 [1] - **Nickel**: The domestic spot price was 133850, LME spot price was 16738, with a ratio of 8.00. The equilibrium ratio for spot import was 7.99, with a loss of - 683.23 [1] - **Lead**: The domestic spot price was 16150, LME spot price was 1842, with a ratio of 8.84; the domestic three - month price was 16335, LME three - month price was 1882, with a ratio of 12.23. The equilibrium ratio for spot import was 8.53, with a profit of 570.92 [3] Cross - Period Arbitrage Tracking - **Copper**: The spreads between the next month, three - month, four - month, and five - month contracts and the spot month were 310, 280, 390, and 340 respectively, while the theoretical spreads were 574, 1046, 1527, and 2009 [4] - **Zinc**: The spreads were 245, 260, 280, and 275, and the theoretical spreads were 216, 339, 461, and 584 [4] - **Aluminum**: The spreads were - 110, - 55, - 45, and - 15, and the theoretical spreads were 232, 364, 497, and 630 [4] - **Lead**: The spreads were - 110, - 65, - 40, and 15, and the theoretical spreads were 207, 310, 413, and 516 [4] - **Nickel**: The spreads were 1940, 2110, 2370, and 2720 [4] - **Tin**: The 5 - 1 spread was - 2860, and the theoretical spread was 7101 [4] Spot - Futures Arbitrage Tracking - **Copper**: The spreads between the current - month and next - month contracts and the spot were - 1375 and - 1065, and the theoretical spreads were 313 and 886 [4] - **Zinc**: The spreads were - 210 and 35, and the theoretical spreads were 198 and 325 [4][5] - **Lead**: The spreads were 250 and 140, and the theoretical spreads were 199 and 308 [5] Cross - Variety Arbitrage Tracking - The ratios of copper/zinc, copper/aluminum, copper/lead, aluminum/zinc, aluminum/lead, and lead/zinc for Shanghai (three - continuous) were 4.13, 3.93, 5.80, 1.05, 1.47, and 0.71 respectively; for London (three - continuous), they were 3.89, 3.71, 6.29, 1.05, 1.70, and 0.62 [5]

Report Industry Investment Rating - Not provided Core View - The report presents the latest data on cross - market, cross - period, spot - futures, and cross - variety arbitrage for有色金属 (non - ferrous metals) including copper, zinc, aluminum, nickel, and lead on March 19, 2026 [1][4] Summary by Directory Cross - Market Arbitrage - **Copper**: The domestic spot price is 98,960, the LME price is 12,601, and the spot import balance ratio is 7.82 with a profit of - 140.18; the three - month domestic price is 98,620, the LME price is 12,709, and the ratio is 7.80 [1] - **Zinc**: The domestic spot price is 23,220, the LME price is 3,172, and the spot import balance ratio is 8.23 with a profit of - 2,887.41; the three - month domestic price is 23,385, the LME price is 3,214, and the ratio is 5.21 [1] - **Aluminum**: The domestic spot price is 24,510, the LME price is 3,397, and the spot import balance ratio is 8.29 with a profit of - 3,652.55; the three - month domestic price is 24,835, the LME price is 3,365, and the ratio is 7.37 [1] - **Nickel**: The domestic spot price is 133,900, the LME price is 17,024, and the spot import balance ratio is 7.97 with a profit of - 852.43 [1] - **Lead**: The domestic spot price is 16,525, the LME price is 1,888, and the spot import balance ratio is 8.49 with a profit of 511.66; the three - month domestic price is 16,685, the LME price is 1,932, and the ratio is 12.06 [3] Cross - Period Arbitrage - **Copper**: The spreads between the next month, three - month, four - month, and five - month contracts and the spot month are - 730, - 720, - 630, and - 620 respectively, while the theoretical spreads are 599, 1095, 1601, and 2107 [4] - **Zinc**: The spreads are - 355, - 315, - 295, and - 285 respectively, and the theoretical spreads are 222, 349, 477, and 604 [4] - **Aluminum**: The spreads are - 105, - 70, - 25, and 20 respectively, and the theoretical spreads are 236, 372, 509, and 645 [4] - **Lead**: The spreads are 50, 85, 100, and 125 respectively, and the theoretical spreads are 208, 312, 416, and 520 [4] - **Nickel**: The spreads are - 360, - 50, 50, and 290 respectively [4] - **Tin**: The 5 - 1 spread is - 3910, and the theoretical spread is 7674 [4] Spot - Futures Arbitrage - **Copper**: The spreads between the current - month and next - month contracts and the spot are 360 and - 370 respectively, and the theoretical spreads are 618 and 1057 [4] - **Zinc**: The spreads are 480 and 125 respectively, and the theoretical spreads are 205 and 340 [4] - **Lead**: The spreads are 75 and 125 respectively, and the theoretical spreads are 183 and 294 [5] Cross - Variety Arbitrage - The ratios of copper/zinc, copper/aluminum, copper/lead, aluminum/zinc, aluminum/lead, and lead/zinc in Shanghai (three - continuous contracts) are 4.22, 3.97, 5.91, 1.06, 1.49, and 0.71 respectively; in London (three - continuous contracts) are 3.96, 3.65, 6.48, 1.09, 1.78, and 0.61 respectively [5]

Report Industry Investment Rating - Not mentioned in the provided content Report Core View - The report presents cross - market, cross - period, spot - futures, and cross - variety arbitrage tracking data for non - ferrous metals including copper, zinc, aluminum, nickel, and lead on March 18, 2026, to help investors find potential investment opportunities [1][6][7] Summary by Related Catalogs Cross - Market Arbitrage Tracking - **Copper**: On March 18, 2026, the domestic spot price was 100175, LME spot price was 12666, with a ratio of 7.85; domestic three - month price was 99480, LME three - month price was 12780, ratio of 7.86. Spot import equilibrium ratio was 7.82, with a loss of 125.38; spot export loss was 1596.27 [1] - **Zinc**: Domestic spot price was 23870, LME spot price was 3206, ratio of 7.44; domestic three - month price was 23785, LME three - month price was 3255, ratio of 5.10. Spot import equilibrium ratio was 8.22, with a loss of 2496.76 [1] - **Aluminum**: Domestic spot price was 24900, LME spot price was 3409, ratio of 7.30; domestic three - month price was 25050, LME three - month price was 3404, ratio of 7.40. Spot import equilibrium ratio was 8.27, with a loss of 3302.13 [3] - **Nickel**: Domestic spot price was 135900, LME spot price was 17108, ratio of 7.94. Spot import equilibrium ratio was 7.96, with a loss of 940.39 [3] - **Lead**: Domestic spot price was 16400, LME spot price was 1876, ratio of 8.75; domestic three - month price was 16620, LME three - month price was 1922, ratio of 12.48. Spot import equilibrium ratio was 8.49, with a profit of 488.67 [5] Cross - Period Arbitrage Tracking - **Copper**: On March 18, 2026, the differences between the next - month, three - month, four - month, and five - month contracts and the spot - month contract were - 180, - 120, - 70, and - 90 respectively, while the theoretical differences were 600, 1098, 1605, and 2112 [6] - **Zinc**: The differences were - 70, - 15, 0, and - 20, and the theoretical differences were 222, 350, 478, and 606 [6] - **Aluminum**: The differences were 50, 110, 140, and 160, and the theoretical differences were 236, 372, 509, and 646 [6] - **Lead**: The differences were 340, 360, 375, and 380, and the theoretical differences were 206, 309, 411, and 513 [6] - **Nickel**: The differences were - 460, - 140, 10, and 180 [6] - **Tin**: The 5 - 1 difference was - 4720, and the theoretical difference was 7790 [6] Spot - Futures Arbitrage Tracking - **Copper**: The differences between the current - month and next - month contracts and the spot were - 610 and - 790, and the theoretical differences were 503 and 1029 [6] - **Zinc**: The differences were - 70 and - 140, and the theoretical differences were 174 and 313 [6] - **Lead**: The differences were - 140 and 200, and the theoretical differences were 155 and 265 [7] Cross - Variety Arbitrage Tracking - On March 18, 2026, for cross - variety arbitrage, the ratios of Shanghai (continuous - three) for copper/zinc, copper/aluminum, copper/lead, aluminum/zinc, aluminum/lead, and lead/zinc were 4.18, 3.97, 5.99, 1.05, 1.51, and 0.70 respectively; for LME (continuous - three), the ratios were 3.96, 3.76, 6.62, 1.05, 1.76, and 0.60 [7]

Report Industry Investment Rating - Not provided Report's Core View - The report presents cross - market, cross - period, spot - futures, and cross - variety arbitrage tracking data for various有色金属 (non - ferrous metals) including copper, zinc, aluminum, nickel, lead, and tin on March 16, 2026 [1] Summary by Relevant Categories Cross - market Arbitrage Tracking - Copper: Spot domestic price is 100460, LME price is 12775, and the ratio is 7.88; March domestic price is 100450, LME price is 12878, and the ratio is 7.81. Spot import equilibrium ratio is 7.84 with a profit of - 483.60, and spot export profit is - 787.11 [1] - Zinc: Spot domestic price is 24080, LME price is 3248, and the ratio is 7.41; March domestic price is 24185, LME price is 3291, and the ratio is 5.03. Spot import equilibrium ratio is 8.24 with a profit of - 2684.89 [1] - Aluminum: Spot domestic price is 25120, LME price is 3504, and the ratio is 7.17; March domestic price is 25070, LME price is 3473, and the ratio is 7.28. Spot import equilibrium ratio is 8.26 with a profit of - 3840.24 [1] - Nickel: Spot domestic price is 136200, LME price is 17216, and the ratio is 7.91. Spot import equilibrium ratio is 7.98 with a profit of - 1234.50 [1] - Lead: Spot domestic price is 16400, LME price is 1885, and the ratio is 8.71; March domestic price is 16605, LME price is 1933, and the ratio is 12.52. Spot import equilibrium ratio is 8.51 with a profit of 371.48 [1][3] Cross - period Arbitrage Tracking - Copper: The spreads of next - month, March, April, and May relative to the spot month are - 430, - 290, - 160, - 160 respectively, and the theoretical spreads are 606, 1109, 1622, 2135 respectively [4] - Zinc: The spreads of next - month, March, April, and May relative to the spot month are - 90, - 45, 5, - 10 respectively, and the theoretical spreads are 224, 354, 484, 615 respectively [4] - Aluminum: The spreads of next - month, March, April, and May relative to the spot month are - 235, - 125, - 55, - 40 respectively, and the theoretical spreads are 237, 375, 513, 651 respectively [4] - Lead: The spreads of next - month, March, April, and May relative to the spot month are 25, 75, 130, 170 respectively, and the theoretical spreads are 208, 311, 415, 519 respectively [4] - Nickel: The spreads of next - month, March, April, and May relative to the spot month are - 620, - 180, 150, 250 respectively [4] - Tin: The 5 - 1 spread is - 5550, and the theoretical spread is 7790 [4] Spot - futures Arbitrage Tracking - Copper: The spreads of the current - month and next - month contracts relative to the spot are 240 and - 190 respectively, and the theoretical spreads are 149 and 640 respectively [4] - Zinc: The spreads of the current - month and next - month contracts relative to the spot are 150 and 60 respectively, and the theoretical spreads are 84 and 223 respectively [4][5] - Lead: The spreads of the current - month and next - month contracts relative to the spot are 130 and 155 respectively, and the theoretical spreads are 99 and 209 respectively [5] Cross - variety Arbitrage Tracking - The ratios of copper/zinc, copper/aluminum, copper/lead, aluminum/zinc, aluminum/lead, and lead/zinc for Shanghai (three - consecutive contracts) are 4.15, 4.01, 6.05, 1.04, 1.51, 0.69 respectively, and for London (three - consecutive contracts) are 3.88, 3.72, 6.70, 1.04, 1.80, 0.58 respectively [5]

1. Report Industry Investment Rating No information provided. 2. Core Views - Last week, all Treasury bond futures contracts closed down, with the 30 - year and 10 - year contracts experiencing relatively large declines, while the 5 - year and 2 - year contracts had smaller drops. The basis of various Treasury bond futures varieties showed differentiation. The market risk preference weakened, activating the hedging attribute of Treasury bond futures. The downward trend of Treasury bond futures is not likely to reverse when the long - term bullish logic of the stock market remains unchanged and the coupon income of Treasury bonds is not attractive. The short - term hedging trading attribute of the bond market is more obvious when the expected return of equity or risk assets declines marginally [5]. - Due to the blockade of the Strait of Hormuz and the unclear end of the US - Iran war, crude oil and energy - chemical industry chain varieties rose significantly last week, driving most industrial products up. In the commodity factor aspect, in the highly volatile market environment caused by event conflicts, the volatility factor rose nearly 5%, while the value factor measuring spot prices declined significantly. The term structure factor basically closed flat, but has relatively good long - term return capabilities. In the short term, the market may continue to be volatile due to geopolitical games, and the performance of CTA commodity factors may also be volatile. Investors are advised to diversify risks and avoid over - concentrating their positions [12][14]. 3. Summary by Directory 3.1 Treasury Bond Futures Quantitative Strategy 3.1.1 Treasury Bond Futures Market Review - Last week, all Treasury bond futures contracts closed down. The 30 - year main contract fell 1.47%, the 10 - year main contract fell 0.28%, the 5 - year main contract fell 0.15%, and the 2 - year main contract fell 0.03%. The basis of various varieties was differentiated. The CTD bond of the 10 - year bond was 250025, and its basis on the 13th was about 0.09 yuan, slightly lower than the historical average. The CTD bond of the 30 - year bond was 210014, and its basis on the 13th was 0.58 yuan, slightly higher than the historical average [5]. 3.1.2 Treasury Bond Futures Daily - Frequency Timing Strategy - For the 10 - year Treasury bond, from 2021/01/01 to the present, the annualized return, Sharpe ratio, and maximum drawdown of the single - leverage portfolio were 2.71%, 1.27, and 2.04% respectively. From 2025/11/01 to the present, the corresponding figures were 2.62%, 1.61, and 0.67% respectively [5]. 3.1.3 Unilateral Strategy Performance - The annualized return, annualized volatility, annualized Sharpe ratio, maximum drawdown, and Calmar ratio of the strategy from the full - sample period were 2.71%, 2.13%, 1.27, 2.04%, and 1.32 respectively. After the report was released, the corresponding figures were 2.62%, 1.63%, 1.61, 0.67%, and 3.88 respectively [8]. 3.2 Commodity CTA Factor and Strategy Performance 3.2.1 Commodity Factor Performance - Due to the blockade of the Strait of Hormuz and the unclear end of the US - Iran war, crude oil and energy - chemical industry chain varieties rose significantly last week, driving most industrial products up. The volatility factor rose nearly 5%, the value factor declined significantly, and the term structure factor basically closed flat. In the short term, the market may be volatile due to geopolitical games, and the performance of CTA commodity factors may also be volatile [12][14]. 3.2.2 Tracking Strategy Performance - CWFT strategy: Annualized return 9.4%, Sharpe ratio 1.62, Calmar 1.07, maximum drawdown - 8.81%, recent one - week return 1.14%, and year - to - date return 2.77%. - C_frontnext & Short Trend strategy: Annualized return 11.7%, Sharpe ratio 1.78, Calmar 1.74, maximum drawdown - 6.72%, recent one - week return 1.39%, and year - to - date return 3.85%. - Long CWFT & Short CWFT strategy: Annualized return 13.0%, Sharpe ratio 1.45, Calmar 0.99, maximum drawdown - 13.07%, recent one - week return 2.92%, and year - to - date return 7.41%. - CS XGBoost strategy: Annualized return 5.0%, Sharpe ratio 0.81, Calmar 0.23, maximum drawdown - 21.40%, recent one - week return 0.57%, and year - to - date return - 5.03%. - RuleBased TS Sharp - combine strategy: Annualized return 11.5%, Sharpe ratio 1.51, Calmar 1.39, maximum drawdown - 8.26%, recent one - week return 3.33%, and year - to - date return 0.15%. - RuleBased TS XGB - combine strategy: Annualized return 10.9%, Sharpe ratio 1.90, Calmar 2.21, maximum drawdown - 4.95%, recent one - week return 0.63%, and year - to - date return - 3.09%. - CS strategies, EW combine strategy: Annualized return 13.0%, Sharpe ratio 1.86, Calmar 1.76, maximum drawdown - 7.38%, recent one - week return 2.03%, and year - to - date return 4.70% [13].