2025年8月11日 周度报告 期债长周期边际下降 金融工程周报 操作评级 股指 ☆☆☆ 国债 ☆☆☆ 王锴 金融工程组 010-58747784 gtaxinstitute@essence.com. cn Z0016943 F03091361 本报告版权属于国投期货有限公司 1 不可作为投资依据，转载请注明出处 p 截止8月8日当周，期指上涨，IH2508上升1.07%， IF2508上升1.31%，IC2508上升2.04%，IM2508上升 2.79%。当前资金面和看多情绪仍然很强，即使短期因驱动 边际转弱出现回调，但回调往往空间较为有限。 p 从高频宏观基本面因子评分来看，期指方面，通胀指标7分， 流动性指标9分，估值指标11分，市场情绪指标9分。期债 方面，通胀指标8分，流动性指标11分，市场情绪指标8分。 期限结构方面，受到行情回调影响，主力合约基差再次走阔。 p 金融衍生品量化CTA策略上周净值上升0.42%。盈利来自 于周一做多IC和周三做空T。长周期方面，通胀方面与预期 差异不大，但是对于期债有所压制，PPI小幅低于预期。短 周期方面，美元带来的汇率压力仍然存在，资金面仍旧保持 相对宽松，两 ...

2025年8月4日 周度报告 期指短周期小幅承压 金融工程周报 操作评级 股指 ☆☆☆ 国债 ☆☆☆ 王锴 金融工程组 010-58747784 gtaxinstitute@essence.com.cn Z0016943 F03091361 本报告版权属于国投期货有限公司 1 不可作为投资依据，转载请注明出处 p 截止8月1日当周，期指上涨，IH2508变化-1.47%，IF2508变 化-1.96%，IC2508变化-1.56%，IM2508变化-0.76%。全市场 日均成交额为 1.81 万亿，较上周减少 391 亿元，市场成 交活跃度有所回落。银行间资金偏宽松，但美元指数强势带 来压力。 p 从高频宏观基本面因子评分来看，期指方面，通胀指标7分， 流动性指标8分，估值指标11分，市场情绪指标9分。期债方 面，通胀指标7分，流动性指标10分，市场情绪指标8分。期 限结构方面，7月合约临近到期部分合约主力提前切换，受 到行情回调影响，主力合约基差再次走阔，IH由升水进入小 幅贴水。 p 金融衍生品量化CTA策略上周净值上升0.12%。盈利来自于周 一做多IC，亏损来自于周三IC持仓。长周期方面，7月中采 和 ...

1. Report Industry Investment Ratings - Stock Index: ☆☆☆ [1] - Treasury Bonds: ☆☆☆ [1] 2. Core Views of the Report - As of the week ending June 27, the stock index rose significantly, with small and medium - cap stocks showing obvious gains, while the Shenzhen Component Index fell 1.16% weekly. The current stock market is mainly supported by loose capital and risk appetite, and the overall trading volume of the stock market has significantly recovered [1]. - From the perspective of high - frequency macro - fundamental factor scores, for stock index futures, the inflation indicator scored 7 points, the liquidity indicator scored 5 points, the valuation indicator scored 10 points, and the market sentiment indicator scored 8 points. For bond futures, the inflation indicator scored 7 points, the liquidity indicator scored 6 points, and the market sentiment indicator scored 9 points [1]. - The rapid convergence of the discount in the term structure may indicate an increase in the bullish power of the market and is also related to the correction of style drift at the end of the quarter. It is expected that as the neutral strategy increases again after obtaining a low hedging cost with the season change, the discount is expected to deepen again [1]. - The net value of the financial derivatives quantitative CTA strategy increased by 0.35% last week, mainly due to holding TF long positions on Thursday and Friday. In the long - term, the decline in industrial enterprise profits exerts some pressure on IC and IF, but the overall impact weight is not large. In the short - term, as the US dollar fluctuates downward, the pressure on interest rate spreads and exchange rates decreases, and the impact weight of the capital side on stock index futures continues to rise [1]. 3. Summary by Relevant Catalogs 3.1 Macro - Fundamental Medium - and High - Frequency Factor Scores - Economic kinetic energy indicators such as blast furnace开工率, PTA开工率, etc. have different weekly changes, historical quantiles, and correlations with stock and bond indexes. The stock index futures score is 7, and the bond futures score is 0 [2]. 3.2 Inflation Indicators - Various inflation - related indicators such as the vegetable basket product wholesale price index, coking coal index, etc. have different weekly changes, historical quantiles, and correlations with stock and bond indexes. Both stock index futures and bond futures scores for inflation are 7 [3]. 3.3 Liquidity - Liquidity indicators such as DR007, DR001, etc. have different weekly changes, historical quantiles, and correlations with stock and bond indexes. The stock index futures score for liquidity is 5 [4]. 3.4 Index Valuation - Index valuation indicators such as PE, PS, etc. have different weekly changes, historical quantiles, and correlations with the stock index. The stock index futures score for index valuation is 9 [5]. 3.5 Market Sentiment: Stock Index - Market sentiment indicators for the stock index such as margin trading balances, trading volumes, etc. have different weekly changes, historical quantiles, and correlations with the stock index. The bond futures score for stock - market sentiment is 8 [6]. 3.6 Market Sentiment: Bond - Market sentiment indicators for bonds such as the yield of 10 - year government bonds, credit spreads, etc. have different weekly changes, historical quantiles, and correlations with the bond index. The bond futures score for bond - market sentiment is 9 [7]. 3.7 Strategy Introduction - The variety pool includes stock index futures and treasury bond futures. The short - term model focuses on market style, external factors, and capital - related high - frequency financial data, while the long - term model focuses on market expectations and low - frequency macro - economic data. The position volume is synthesized by considering institutional long and short positions [17]. 3.8 Prediction Signals - The short - term model, position volume indicator, long - term model, and comprehensive signals for IF, IH, IC, IM, T, and TF are provided. The comprehensive signal strength is synthesized by weighting the signals of three independent models (0 - 1) [18]. 3.9 Last Week's Situation - The positions of IF, IH, IC, IM, T, and TF last week are presented, and the net value is tracked [20]. 3.10 Treasury Bond Futures Cross - Variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the signal resonance of the fundamental three - factor model and the trend regression model. The fundamental factor uses the instantaneous forward - rate function proposed by Nelson and Siegel, and the model is constructed using PCA, factor rotation, and logistic regression. The signals are divided into three categories: '1', '0', and '- 1'. In actual operation, the 10 - 5Y spread is adjusted with a duration - neutral ratio of 1:1.8 [21]. 3.11 Market Quotes and Trading Signals - The trading signals of TF and T main contracts from June 23 to June 27 are provided, showing the signals from the N - S model and the trend regression model [24].

Report Industry Investment Rating - Index futures: ☆☆☆ [1] - Treasury bond futures: ☆☆☆ [1] Core Viewpoints - As of the week ending June 13, the stock index rose first and then fell, with a moderately increasing trading volume compared to the previous week, and the average daily trading volume was around 1.36 trillion yuan. Geopolitical conflicts and trade negotiations are still the main factors influencing the current market pattern [1]. - In terms of high - frequency macro - fundamental factor scores, for index futures, the inflation indicator scored 7 points, the liquidity indicator 4 points, the valuation indicator 10 points, and the market sentiment indicator 8 points. For treasury bond futures, the inflation indicator scored 7 points, the liquidity indicator 9 points, and the market sentiment indicator 8 points [1]. - In terms of the term structure, the annualized basis after dividend adjustment of most contracts converged compared to the previous week, and the basis of the IH contract decreased overall and turned into a discount [1]. - The net value of the financial derivatives quantitative CTA strategy did not change last week. In the long - term, financial data is mixed, with M1 and social financing showing better - than - expected performance, which contributes significantly to IC and IM. M2 and export data are weak, having less impact on index futures. In the short - term, the exchange rate shows low weekly volatility, the influence weight decreases, there is a lack of incremental funds, and the characteristics of stock game are significant [1]. - In terms of positions, the overall market risk preference declined in the second half of the week. The signal strength of IF and IH decreased significantly, but IC and IM still maintained a relatively high level, with the comprehensive signal showing a neutral oscillation. For treasury bond futures, the position factor shows a sign of marginal weakening after the rebound, but the current capital situation has significantly eased. The position reflects that institutions are still cautious about short - end allocation, and in the context of rising market sentiment, T is relatively strong in the cross - section signal [1]. Summary by Related Catalogs Macro - fundamental Medium - and High - Frequency Factor Scores - Economic kinetic energy: The blast furnace开工率 increased by 2.10%, with a current value of 45.12 and a historical quantile of 0.64. The index futures score was 6, and the treasury bond futures score was 0 [2]. - Inflation indicators: Some prices such as the vegetable basket product wholesale price index decreased, while others like the CITIC compound fertilizer index increased. The index futures and treasury bond futures scores for inflation indicators were both 7 [3]. - Liquidity: DR007 decreased by 1.98%, and GC001: weighted average increased by 7.98%. The index futures score for liquidity was 4 [4]. - Index valuation: The price - to - earnings ratio (TTM) decreased by 0.01%, and the index futures score for valuation was 9 [5]. - Market sentiment: For index futures, the financing balance increased by 0.45%, and the Shanghai Stock Exchange A - share trading volume increased by 32.92%. The index futures score was 8. For treasury bond futures, the trading volume of the Shanghai Treasury Bond Index increased by 19.07%, and the score was 8 [6][7]. Strategy Introduction - The variety pool includes index futures and treasury bond futures. The short - term model focuses on market style, external factors, and capital flow, while the long - term model focuses on market expectations and macro - economic data. The position is synthesized by considering institutional long and short positions [17]. Prediction Signals - As of last Friday, the short - term model, long - term model, and comprehensive signals for different contracts (IF, IH, IC, IM, T, TF) are provided, with specific values as shown in the table. The comprehensive signal strength is synthesized by weighting the signals of three independent models (0 - 1) [18]. Last Week's Situation - From June 9 to June 13, 2025, the signals of IF, IH, IC, IM, T, and TF main contracts were all 0 [20]. Recent Earnings Performance - The interval returns in the past 1 month, 3 months, 6 months, 1 year, and 3 years were 0.42%, 1.45%, 3.48%, 8.35%, and 25.16% respectively, and the corresponding maximum drawdowns were 0, 0.07%, 0.51%, 0.59%, and 3.27% [22]. Treasury Bond Futures Cross - Variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the signal resonance of the fundamental three - factor model and the trend regression model. The fundamental factor uses the instantaneous forward - rate function proposed by Nelson and Siegel, and the signals are divided into three types: '1', '0', and '- 1'. In actual operation, a 1:1.8 ratio is used for the 10 - 5Y spread adjustment [23]. Market Quotes and Trading Signals - For TF and T main contracts from June 9 to June 13, 2025, the N - S model signals and trend regression model signals are provided in the table [26].

1. Report Industry Investment Ratings - Index futures: ☆☆☆ [1] - Treasury bond futures: ☆☆☆ [1] 2. Core Viewpoints of the Report - As of the week ending May 23, index futures declined slightly, with IH2506 and IF2506 down 0.01%, IC2506 down 0.86%, and IM2506 down 1.29%. The market showed strong risk - aversion sentiment, with a significant contraction in the trading volume of the entire A - share market and relatively large declines in small - cap broad - based indices [1]. - From the perspective of high - frequency macro - fundamental factor scores, for index futures, the inflation indicator scored 6 points, the liquidity indicator 2 points, the valuation indicator 10 points, and the market sentiment indicator 7 points. For bond futures, the inflation indicator scored 7 points, the liquidity indicator 8 points, and the market sentiment indicator 8 points. In terms of the term structure, the basis discounts of each contract continued to be at historical lows [1]. - The net value of the financial derivatives quantitative CTA strategy increased by 0.45% last week, mainly from holding long positions in T on Monday and Tuesday. In the long - term, although industrial and production data slightly exceeded expectations, investment and real estate remained weak, with the decline of IC and IM exceeding that of IF. In the short - term, the impact of the exchange rate decreased slightly, the financing scale declined, and market speculation decreased. The position volume indicated an adjustment in risk preference, with IC and IM dropping below IF and IH, and IM having a larger decline. The comprehensive signal was below the neutral level. For bond futures, last week, the position volume factor showed some marginal improvement due to the stock - bond rotation but then gradually declined as institutions took profits. Although the short - term capital market was relatively loose, the comprehensive signal showed a neutral oscillation [1]. 3. Summary by Relevant Catalogs 3.1 Macro - fundamental Medium - and High - frequency Factor Scores - **Economic Momentum**: Among various indicators, the blast furnace开工率 (163 - company national average) and the开工率 of PTA in China both decreased by 2.75%. The开工率 of the Shandong local refinery's atmospheric and vacuum distillation unit increased by 0.36%. The开工率 of automobile all - steel tires decreased by 0.52%, and the开工率 of downstream looms for polyester filament in the Jiangsu and Zhejiang regions increased by 13.41%. The index futures scored 6 points, and the bond futures scored 0 points [2]. - **Inflation Indicators**: Most inflation - related indicators showed price declines, such as the vegetable basket product wholesale price 200 index down 0.05%, the coking coal index down 0.09%, etc. Only the CIF price of liquefied natural gas in China increased by 1.58%. The index futures scored 6 points, and the bond futures scored 7 points [3]. - **Liquidity**: DR007 and DR001 decreased by 3.14% and 4.05% respectively, while GC001 and GC007 increased by 6.98% and 4.27% respectively. The index futures scored 2 points [4]. - **Index Valuation**: The price - to - earnings ratio (TTM), price - to - sales ratio (TTM), and other valuation indicators all decreased slightly. The index futures scored 9 points [5]. - **Market Sentiment - Index Futures**: The margin trading balance decreased by 0.31%, and the short - selling balance increased by 3.50%. The index futures scored 7 points [6]. - **Market Sentiment - Bond Futures**: The 10 - year yield of China Development Bank bonds decreased by 0.39%, and the VIX index increased by 29.29%. The bond futures scored 8 points [7]. 3.2 Strategy Introduction - The product pool includes stock index futures and treasury bond futures. The short - term model focuses on market style, external factors, and capital market high - frequency financial data, while the long - term model focuses on market expectations and low - frequency macro - economic data. The position volume is synthesized based on institutional long and short positions [17]. - The comprehensive signal strength is weighted by the signals of three independent models (0 - 1). Contracts with the top two comprehensive signal strengths greater than or equal to 0.6 are considered for long positions, and those with the bottom two less than or equal to 0.4 are considered for short positions. Position volume signals are shielded 7 days before contract expiration. An intraday decline of more than 1% is set as the stop - loss point, and funds are equally weighted. Signals in the same direction for two consecutive trading days are shielded [18][19]. 3.3 Last Week's Situation - From May 19 to May 23, the positions of IF, IH, IC, and IM were all 0, while the position of T was 1 on May 19 and 20 and 0 for the rest of the days, and the position of TF was 0 throughout the week [20]. 3.4 Recent Income Performance - The previous day's return was 0%, the return for the past week was 0.45%, the return for the past month was 0.78%, the return for the past three months was 1.45%, the return for the past six months was 5.26%, the return for the past year was 8.51%, and the return for the past three years was 23.99%. The maximum drawdown for the past week was 0%, for the past month was 0.05%, for the past three months was 0.07%, for the past six months was 0.52%, for the past year was 0.59%, and for the past three years was 3.27% [22]. 3.5 Treasury Bond Futures Cross - Variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the signal resonance of the fundamental three - factor model and the trend regression model. The fundamental factor uses the instantaneous forward - rate function proposed by Nelson and Siegel, which decomposes the interest - rate term structure into level, slope, and curvature. The signals are divided into three types: '1' (large spread may decrease), '0' (uncertain spread trend or oscillation), and '-1' (large spread may increase). The trend regression model is used to filter signals, and trading occurs when there is resonance. In actual operation, the 10 - 5Y spread is adjusted with a duration - neutral ratio of 1:1.8 [23]. - For the TF and T main contracts from May 19 to May 23, the N - S model and trend regression model signals mostly showed '0', except that the N - S model signal was '1' on May 21 and 22 [26].

Report Industry Investment Rating - Index: ☆☆☆ [1] - Treasury Bonds: ☆☆☆ [1] Core View of the Report - As of the week ending April 18, index futures rebounded, with IH2505 rising 0.04%, IF2505 rising 0.88%, IC2505 rising 1.45%, and IM2505 rising 2.06%. The impact of tariff policies on the fundamentals remains to be further observed, and there is a lack of boosting catalytic factors recently [1]. - From the high - frequency macro - fundamental factor scores, for index futures, the inflation indicator scored 6 points, the liquidity indicator 2 points, the valuation indicator 9 points, and the market sentiment indicator 6 points. For Treasury bond futures, the inflation indicator scored 6 points, the liquidity indicator 7 points, and the market sentiment indicator 8 points. Last week, the main index futures contracts remained at a discount, with the basis value of the main IF2506 contract at 47.49 and a historical quantile of 3.24% [1]. - The net value of the financial derivatives quantitative CTA strategy remained unchanged last week. In the long - term, the cumulative and year - on - year growth rates of industrial enterprise profits in March were positive and still in an upward repair trend. In the short - term, the impact weight of the exchange rate gradually decreased from the weekly high, and the repair of market risk appetite stalled and tended towards a wait - and - see attitude. In terms of positions, although the weekly average signal strength of IF and IH was high, the positions of IC and IM had risen to levels higher than those of IF and IH, and the comprehensive signal was in a neutral oscillation. For Treasury bond futures, the position factor showed some marginal repair last week, the end - of - month capital supply tightened, and under the situation of rising risk appetite and better - than - expected economic data, the short - term interest rate faced greater pressure, and the comprehensive signal was also in a neutral oscillation [1]. Summary by Relevant Catalogs Index Valuation - The PE (TTM) had a weekly increase of 0.58%, with a current value of 18.31 and a historical quantile of 0.85, and an index moving correlation of 0.89. The PS (TTM) had a weekly decrease of 0.14%, with a current value of 1.36 and a historical quantile of 0.85, and an index moving correlation of 0.94. The dividend yield (in the past 12 months) had a weekly increase of 1.35%, with a current value of 2.55 and a historical quantile of 0.95, and an index moving correlation of - 0.59. The PCF (operating cash flow TTM) had a weekly decrease of 2.14%, with a current value of 8.45 and a historical quantile of 0.80, and an index moving correlation of 0.36. The index futures score was 8 [2]. Market Sentiment: Index - The margin trading balance decreased by 0.07%, with a current value of 17914.52 and a historical quantile of 0.85, and an index moving correlation of 0.46. The short - selling balance increased by 0.29%, with a current value of 111.61 and a historical quantile of 0.16, and an index moving correlation of 0.30. The net purchase amount of northbound funds was - 67.75 with no weekly change and a historical quantile of 0.06, and an index moving correlation of 0.02. The selling amount of northbound funds was 494.16 with no weekly change and a historical quantile of 0.26, and an index moving correlation of - 0.28. The trading volume of A - shares on the Shanghai Stock Exchange increased by 14.52%, with a current value of 3648.03 and a historical quantile of 0.66, and an index moving correlation of 0.46. The Treasury bond futures score was 6 [3]. Market Sentiment: Bonds - The yield to maturity of 10 - year China Development Bank bonds increased by 0.83%, with a current value of 1.69 and a historical quantile of 0.06, and a Treasury bond moving correlation of - 0.97. The VIX index decreased by 16.22%, with a current value of 24.84 and a historical quantile of 0.87, and a Treasury bond moving correlation of - 0.21. The credit spread (median) of all industries remained unchanged, with a current value of 53.38 and a historical quantile of 0.16, and a Treasury bond moving correlation of - 0.03. The trading volume of the Shanghai Treasury bond index decreased by 2.61%, with a current value of 10.50 and a historical quantile of 0.48, and a Treasury bond moving correlation of 0. The Treasury bond futures score was 8 [4]. Strategy Introduction - The product pool consists of stock index futures and Treasury bond futures. The goal is to use a multi - strategy model to select and allocate contracts in the financial futures market to achieve stable net value growth. The short - term model focuses on market style, external factors, and capital supply in high - frequency financial data. The long - term model focuses on market expectations and low - frequency macro - economic data. The position is mainly synthesized by considering the long and short positions of institutional investors [5]. Forecast Signals - The short - term model signals for IF, IH, IC, IM, T, and TF were 0.52, 0.51, 0.52, 0.51, 0.51, and 0.52 respectively. The position indicators were all 0. The long - term model signals were 0.52, 0.52, 0.54, 0.53, 0.5, and 0.51 respectively. The comprehensive signals were 0.53, 0.52, 0.51, 0.52, 0.52, and 0.51 respectively. There were no multi - short positions. The comprehensive signal strength is weighted by three independent models (0 - 1). Contracts with the top 2 comprehensive signal strengths and values greater than or equal to 0.6 are considered for long positions, and those with the bottom 2 and values less than or equal to 0.4 are considered for short positions. Position data signals are blocked 7 days before the delivery date [6]. Last Week's Situation - From April 21 to April 25, 2025, the signals for IF, IH, IC, and T were all 0. The signal for TF was 0 from April 21, 23, 24, 25, and 1 on April 22 [8]. Recent Earnings Performance - The daily return was 0, the weekly return was 0, the monthly return was 0.38%, the 3 - month return was 1.42%, the 6 - month return was 3.35%, the annual return was 8.42%, and the 3 - year return was 25.23%. The maximum drawdowns were 0 for the week and month, 0.07% for 3 months, 0.51% for 6 months, 0.59% for a year, and 3.27% for 3 years [10]