2026年3月2日 周度报告 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 截至2月27日当周，期指继续上涨，IH2603上升0.63%， IF2603上升1.96%，IC2603上升4.41%，IM2603上升 4.22%。市场降温特征显现，风险偏好有所回落，但整体资 金面仍有支撑。风格维度上，市场轮动节奏加快，大盘风格 边际回升。 p 从高频宏观基本面因子评分来看，期指方面，通胀指标8分， 流动性指标8分，估值指标12分，市场情绪指标9分。期债 方面，通胀指标7分，流动性指标9分，市场情绪指标6分。 期限结构方面，IF、IC、IM和IH当季合约的年化基差率分 别为 2.81%、0.35%、-2.92%、-6.45%，IC和IM继续 位于基差历史偏低位置。 p 金融衍生品量化CTA策略上周净值上升0.95%，收益来源 为周二做多IC并平仓。长周期方面，信贷数据超季节性回升， 对于IC和IM影响幅度更大。 ...

1. Report Industry Investment Ratings - Index futures: ☆☆☆ [1] - Treasury bond futures: ☆☆☆ [1] 2. Core Views of the Report - As of the week ending January 23, index futures showed divergence. IH2601 decreased by 1.48%, IF2601 decreased by 0.18%, IC2601 increased by 5.49%, and IM2601 increased by 4.14%. Market sentiment declined slightly, with large-cap stocks under pressure, while risk appetite for small- and mid-cap stocks remained high. The possibility of a style shift is gradually increasing as the capital structure evolves [1]. - From the high-frequency macro fundamental factor scores, for index futures, the inflation indicator scored 7 points, the liquidity indicator scored 8 points, the valuation indicator scored 12 points, and the market sentiment indicator scored 9 points. For Treasury bond futures, the inflation indicator scored 7 points, the liquidity indicator scored 9 points, and the market sentiment indicator scored 5 points [1]. - The net value of the financial derivatives quantitative CTA strategy increased by 0.29% last week, with the profit coming from shorting and closing TF on Thursday. In the long term, the supply and demand sides showed divergence. Social retail sales and real estate investment were slightly below expectations, but the decline in index futures was not significant. In the short term, high - frequency real estate sales indicators were still weak, the RMB remained strong against the US dollar, and the capital situation remained relatively loose. The short - term divergence narrowed, and the contribution weight decreased. In terms of open interest, risk appetite remained high but declined marginally compared to the previous week, with a slight decrease in IC and IM. The current overall composite signal is still above the neutral range. For Treasury bond futures, the capital situation remained loose at the beginning of the year, and the short - term trend rebounded. The stock - bond seesaw effect was still significant, and the bond market was less sensitive to fundamental feedback. TF and T showed divergence in the open - interest factor, and the composite signal was neutrally oscillating, with TF relatively stronger [1]. 3. Summary by Relevant Catalogs 3.1 Macro Fundamental Medium - and High - Frequency Factor Scores - Economic momentum: Different indicators such as blast furnace operating rate, PTA operating rate, etc., showed various weekly changes, historical quantiles, and correlations with index and Treasury bond futures. The index futures score was 7, and the Treasury bond futures score was 8 [2]. 3.2 Inflation Indicators - Various inflation - related indicators like the vegetable basket product wholesale price index, coking coal index, etc., had different weekly changes, historical quantiles, and correlations with index and Treasury bond futures. Both index futures and Treasury bond futures scored 7 [3]. 3.3 Liquidity - Liquidity - related indicators such as DR007, DR001, etc., showed different weekly changes, historical quantiles, and correlations with index and Treasury bond futures. The index futures score was 8 [4]. 3.4 Index Valuation - Index valuation indicators including PE, PS, etc., had specific weekly changes, historical quantiles, and correlations with index futures. The index futures score was 11 [5]. 3.5 Market Sentiment: Index Futures - Market sentiment indicators for index futures such as margin trading balance, northbound trading net inflow, etc., showed various weekly changes, historical quantiles, and correlations with index futures. The index futures score was 9 [6]. 3.6 Market Sentiment: Bond Futures - Market sentiment indicators for bond futures such as the 10 - year CDB bond yield, VIX, etc., showed different weekly changes, historical quantiles, and correlations with Treasury bond futures. The Treasury bond futures score was 5 [7]. 3.7 Strategy Introduction - The strategy's product pool includes 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 macroeconomic data. Open interest is synthesized based on institutional long - and short - position open interest [16]. 3.8 Forecast Signals as of Last Friday - The composite signal strength is weighted by three independent models (0 - 1). The principle is to go long on the top 2 contracts with a composite signal strength of at least 0.6 and go short on the bottom 2 contracts with a composite signal strength of at most 0.4. Open - interest signals are blocked 7 days before delivery. The stop - loss point is set at a daily decline of more than 1%, and funds are allocated equally. Consecutive two - day same - direction signals are blocked [17][18]. 3.9 Last Week's Situation - From January 19 to January 23, 2026, the signals of IF, IH, IC, IM, T, and TF main contracts showed different values. TF had a - 1 signal on January 22 [19]. 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, which decomposes the interest - rate term structure into three parts. The model uses PCA, factor rotation, and logistic regression. Signals are divided into three types: '1', '0', and '-1'. The trend regression model filters signals, and trading occurs when there is resonance. In practice, a 1:1.8 ratio is used for the 10 - 5Y spread adjustment [20]. 3.11 Market Quotes and Trading Signals - For TF and T main contracts, from January 19 to January 23, 2026, the N - S model signals and trend regression model signals showed different values [23].

Report Investment Ratings - Index futures: ☆☆☆ - Treasury bond futures: ☆☆☆ [1] Core Views - As of the week of January 16th, index futures showed divergence, with IH2601 down 1.58%, IF2601 down 0.43%, IC2601 up 2.12%, and IM2601 up 1.35%. Investor sentiment gradually became rational, and the medium - term trend degree did not decline significantly under liquidity support. - The high - frequency macro - fundamental factor scores for index futures were 8 for inflation, 8 for liquidity, 12 for valuation, and 9 for market sentiment. For treasury bonds, the scores were 7 for inflation, 9 for liquidity, and 5 for market sentiment. - The annualized basis rates of IF, IC, IM, and IH current - quarter contracts were 0.92%, - 1.05%, - 1.75%, and - 3.84% respectively. IC and IM remained at high historical basis points. - The net value of the financial derivatives quantitative CTA strategy rose 0.15% last week, with the profit coming from going long and closing TF on Tuesday. In the long - term, the social financing and credit data generally exceeded expectations, and the above - seasonal increase in M2 had a greater impact on IC and IM. In the short - term, high - frequency real estate and consumption were still weak, the RMB remained strong against the US dollar, and the short - term divergence narrowed recently. - The risk preference remained high but declined marginally compared to the previous week. The overall comprehensive signal was still above the neutral range. For treasury bonds, the capital market remained loose at the beginning of the year, and the short - term rebounded. The stock - bond seesaw effect was still significant, and the bond market was insensitive to fundamental feedback. The comprehensive signal of treasury bonds was neutrally volatile, with TF relatively stronger. [1] Summary by Directory 1. Macro - Fundamental Medium - High - Frequency Factor Scores - Among the economic kinetic factors, the blast furnace operating rate (163 companies: national) and the PTA operating rate (domestic) both increased by 4.88%, while the refinery operating rate in Shandong (atmospheric and vacuum distillation unit) decreased by 2.38%. The operating rates of automobile tires (all - steel tires) and polyester filament downstream looms (Jiangsu and Zhejiang regions) decreased by 9.44% and 9.11% respectively. - The scores for index futures and treasury bonds were both 7 (on a scale of 0 - 10) [2]. 2. Inflation Indicators - The vegetable basket product wholesale price 200 - index rose 0.77%, while the coking coal in the CITIC industry index fell 3.25%. The market price of 1 electrolytic copper decreased by 0.58%, and the South China styrene index increased by 2.12%. - The scores for index futures and treasury bonds were 8 and 7 respectively (on a scale of 0 - 10) [3]. 3. Liquidity - DR007, DR001, GC001 (weighted average), GC007 (weighted average), SHIBOR (overnight), and SHIBOR (1 - week) all showed different degrees of decline, while the US dollar index rose 0.48%. The inter - bank certificate of deposit yield (AAA: 1 - month) remained unchanged. - The score for index futures was 8 (on a scale of 0 - 10) [4]. 4. Index Valuation - The price - to - earnings ratio (PE, TTM), price - to - sales ratio (PS, TTM), and price - to - cash - flow ratio (PCF, operating cash flow TTM) all declined, while the dividend yield (last 12 months) increased by 2.67%. - The score for index futures was 11 (on a scale of 0 - 10) [5]. 5. Market Sentiment Index Futures - The margin trading balance increased by 4.00%, while the short - selling balance decreased by 3.24%. The net purchase amount of northbound funds remained unchanged at - 67.75, and the Shanghai Stock Exchange A - share trading volume increased by 3.21%. The score for treasury bonds was 9 (on a scale of 0 - 10) [6]. Treasury Bonds - The 10 - year CDB bond yield decreased by 0.65%, the US S&P 500 volatility index increased by 9.45%, and the Shanghai Treasury Bond Index trading volume decreased by 25.90%. The score for treasury bonds was 5 (on a scale of 0 - 10) [7]. 6. Strategy Introduction (Financial Futures Multi - Strategy) - The product pool includes 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 for stable net - value growth. The short - term model focuses on market style, external factors, and capital - market high - frequency data, while the long - term model focuses on market expectations and macro - economic low - frequency data. The position volume is synthesized based on institutional long - and short - position volumes [17]. 7. Forecast Signals and Last Week's Situation Forecast Signals - The comprehensive signals of IF, IH, IC, IM, T, and TF were 0.52, 0.51, 0.51, 0.52, 0.49, and 0.51 respectively. There were no clear long or short positions based on the signal - selection rules [18]. Last Week's Situation - From January 12th to 16th, 2026, there were different signal changes for TF and T, with TF having a signal of 1 on January 13th and T having a signal of 1 on January 16th [20]. 8. Treasury Bond Futures Cross - Variety Arbitrage Strategy Strategy Introduction - The cross - variety arbitrage strategy is based on the signal resonance of the fundamental three - factor model and the trend regression model. The fundamental factors use 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 change or oscillation), and '-1' (large spread may increase). A 1:1.8 ratio of 10 - 5Y spread is adjusted by duration - neutral matching [21]. Market Quotes and Trading Signals - From January 12th to 16th, 2026, the N - S model and trend regression model for TF and T main contracts had different signal combinations, but there was no clear trading signal resonance [24].

Report Investment Ratings - Stock index: ☆☆☆ [1] - Treasury bond: ☆☆☆ [1] Core Views - As of the week ending December 31, the performance of the four major stock index futures was divergent, with IC and IH rising by 0.39% and 0.90% respectively, while IF and IM falling by 0.08% and 0.01% respectively. At the industry level, sectors such as petroleum and petrochemicals, national defense and military industry, and media performed relatively well, while sectors such as public utilities, food and beverages, and power equipment lagged behind. The current market risk appetite continues to recover driven by capital sentiment [1]. - From the perspective of high - frequency macro - fundamental factor scores, for stock index futures, the inflation indicator scored 8 points, the liquidity indicator scored 7 points, the valuation indicator scored 11 points, and the market sentiment indicator scored 9 points. For treasury bond futures, the inflation indicator scored 8 points, the liquidity indicator scored 9 points, and the market sentiment indicator scored 6 points [1]. - The net value of the financial derivatives quantitative CTA strategy did not change last week, and no trading signals were generated. In the long - term, PMI showed expectations and over - seasonality, with relatively large rebounds in IC and IM, and a slight pressure decline in treasury bond T. In the short - term, medium - and high - frequency real estate and consumption remained weak, the RMB continued to appreciate against the US dollar, the current capital situation remained relatively loose, and the short - term divergence recently narrowed. In terms of positions, risk appetite remained high, with a marginal increase compared to the previous week. IF and IC remained relatively strong. The overall comprehensive signal was above the neutral range. For treasury bonds, the capital situation remained loose at the beginning of the year, and the short - term recovered. The stock - bond seesaw effect was not significant, the bond market was insensitive to fundamental feedback, TF and T showed divergence in the position factor, and the comprehensive signal was in a neutral oscillation [1]. Summary by Related Catalogs 1. Macro - fundamental Medium - and High - Frequency Factor Scores - Different economic kinetic energy indicators showed different weekly changes, current values, historical quantiles, and correlations with stock and treasury bond indices. For example, the blast furnace operating rate decreased by 0.96%, with a current value of 56.22 and a historical quantile of 0.12, and its correlations with stock and treasury bond indices were - 0.64 and - 0.90 respectively. Both stock index futures and treasury bond futures scored 8 points in this aspect [2]. 2. Inflation Indicators - Various inflation - related indicators had different weekly changes, current values, historical quantiles, and correlations with stock and treasury bond indices. For example, the price of 1 electrolytic copper increased by 1.54%, with a current value of 99,180.00 and a historical quantile of 0.99, and its correlations with stock and treasury bond indices were 0.62 and 0.65 respectively. Both stock index futures and treasury bond futures scored 8 points in this aspect [3]. 3. Liquidity - Different liquidity indicators showed different weekly changes, current values, historical quantiles, and correlations with stock and treasury bond indices. For example, DR007 decreased by 10.40%, with a current value of 1.43 and a historical quantile of 0.02, and its correlations with stock and treasury bond indices were - 0.46 and - 0.62 respectively. Stock index futures scored 7 points in this aspect [4]. 4. Index Valuation - Different index valuation indicators had different weekly changes, current values, historical quantiles, and correlations with stock indices. For example, the price - to - earnings ratio (PE) (TTM) increased by 0.41%, with a current value of 22.32 and a historical quantile of 0.97, and its correlation with stock indices was 0.98. Stock index futures scored 10 points in this aspect [5]. 5. Market Sentiment Stock Market Sentiment - Different stock market sentiment indicators showed different weekly changes, current values, historical quantiles, and correlations with stock indices. For example, the financing balance decreased by 0.02%, with a current value of 25,241.56 and a historical quantile of 0.99, and its correlation with stock indices was 0.88. Stock index futures scored 9 points in this aspect [6]. Bond Market Sentiment - Different bond market sentiment indicators had different weekly changes, current values, historical quantiles, and correlations with treasury bond indices. For example, the yield to maturity of 10 - year China Development Bank bonds increased by 1.39%, with a current value of 2.01 and a historical quantile of 0.33, and its correlation with treasury bond indices was - 0.96. Treasury bond futures scored 6 points in this aspect [7]. 6. Strategy Introduction - The variety pool includes stock index futures and treasury bond futures. The purpose is to use a multi - strategy model to optimize the allocation of contracts in the financial futures market to achieve stable net value growth. The short - term model focuses on market style, external factors, and capital situation 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 institutional long and short positions [17]. 7. Forecast Signals - As of last Friday, the short - term model, position indicator, long - term model, and comprehensive signals of different futures contracts (IF, IH, IC, IM, T, TF) were different. The comprehensive signal strength is weighted by three independent models (0 - 1). In principle, the top 2 contracts with a comprehensive signal strength greater than or equal to 0.6 are considered for long positions, and the bottom 2 contracts with a comprehensive signal strength less than or equal to 0.4 are considered for short positions. Due to the significant impact of position data on the roll - over before the delivery date, signals within 7 days before the delivery date are shielded [18]. 8. Treasury Bond Futures Cross - Variety Arbitrage Strategy Strategy Introduction - The cross - variety arbitrage strategy is mainly based on the signal resonance of the fundamental three - factor model and the trend regression model. The fundamental factors use the instantaneous forward - rate function proposed by Nelson and Siegel, which decomposes the interest - rate term structure into three parts: level, slope, and curvature. A PCA principal - component analysis, maximum - variance factor rotation method combined with logistic regression is used to construct the three - factor model, and the signals are divided into three types. In actual operation, a duration - neutral ratio of 1:1.8 is used to adjust the 10 - 5Y spread [21]. Market Quotes and Trading Signals - The trading signals of TF and T main contracts from December 25 to December 31, 2025, were different. For example, on December 30, the N - S model signal was 1, while the trend regression model signal was 0 [24].

Report Investment Ratings - Index Futures: ★★★ [1] - Treasury Bond Futures: ★★★ [1] Core Views - As of the week ending December 26, index futures showed divergence. IH2601 rose 1.45%, IF2601 rose 2.79%, IC2601 rose 4.86%, and IM2601 rose 4.97%. Sectors such as satellite communications and new energy were strong. The market is currently being repaired by capital sentiment, and major broad-based indexes are approaching previous highs [1]. - From the high-frequency macro fundamental factor scores, for index futures, inflation indicator scored 8 points, liquidity indicator scored 9 points, valuation indicator scored 11 points, and market sentiment indicator scored 9 points. For treasury bond futures, inflation indicator scored 8 points, liquidity indicator scored 9 points, and market sentiment indicator scored 5 points [1]. - The weighted annualized basis rate (dividend - adjusted) of the ending positions of IH, IF, IC, and IM were 1.05%, - 1.36%, - 3.5%, and - 6.52% respectively, and the discount of far - month contracts narrowed compared to last week [1]. - The net value of the financial derivatives quantitative CTA strategy rose 0.92% last week, with the profit coming from opening a long position in IC on Thursday and closing it. In the long - term, industrial enterprise profits at the production end showed an over - seasonal decline, with relatively large declines in IF and IH, and relatively small changes in treasury bond futures. In the short - term, medium - and high - frequency real estate and consumption remained weak, the RMB continued to appreciate against the US dollar, the capital situation remained relatively loose, but the short - term increase was relatively limited [1]. Summary by Directory Macro Fundamental Medium - and High - Frequency Factor Scores - Among economic kinetic energy indicators, the blast furnace开工率 decreased by 3.11%, the开工率 of PTA in China decreased by 3.11%, the refining plant开工率 in Shandong increased by 4.98%, etc. Both index futures and treasury bond futures scored 8 points [2]. Inflation Indicators - The vegetable basket product wholesale price 200 index decreased by 0.64%, the price of 1 electrolytic copper increased by 4.61%, etc. Both index futures and treasury bond futures scored 8 points [3]. Liquidity - DR007 increased by 5.72%, DR001 decreased by 1.18%, etc. Index futures scored 9 points [4]. Index Valuation - The price - earnings ratio (TTM) increased by 1.37%, the price - sales ratio (TTM) increased by 1.38%, etc. Index futures scored 10 points [5]. Market Sentiment: Index - The margin trading balance increased by 1.58%, the securities lending balance increased by 1.04%, etc. Index futures scored 9 points [6] Market Sentiment: Bonds - The 10 - year CDB bond yield increased by 0.74%, the US S&P 500 volatility index decreased by 8.79%, etc. Treasury bond futures scored 5 points [7] Strategy Introduction - The product pool includes index futures and treasury bond futures. The short - term model focuses on market style, external factors, and capital data, while the long - term model focuses on market expectations and macroeconomic data. The position indicator is synthesized based on institutional long and short positions [15]. Forecast Signals as of Last Friday - The comprehensive signals of IF, IH, IC, IM, T, and TF were 0.52, 0.51, 0.53, 0.51, 0.51, and 0.5 respectively [16]. Last Week's Situation - The trading signals of different contracts on different days last week are presented in the table, with some days having no signals and some days having signals for specific contracts [18] 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. The actual operation uses a 1:1.8 ratio to adjust the 10 - 5Y spread [19] TF and T Main Contract Trading Signals - From December 22 to December 26, 2025, the N - S model and trend regression model signals for TF and T main contracts were mostly 0, with a - 1 signal from the N - S model on December 25 [22]

Group 1: Report Industry Investment Ratings - Stock Index: ☆☆☆ [1] - Treasury Bond: ☆☆☆ [1] Group 2: Core Viewpoints of the Report - As of the week ending December 12th, the A - share market showed a structured and volatile trend. The average daily trading volume of the whole market was 1.95 trillion yuan, an increase of nearly 260 billion yuan compared with the previous week. The three major indexes showed different trends, with the Shanghai Composite Index falling 0.34%. There was relatively limited information on short - term incremental policies and economic data, and market structural characteristics emerged [1]. - From the high - frequency macro - fundamental factor scores, for stock index futures, the inflation indicator scored 8 points, the liquidity indicator scored 9 points, the valuation indicator scored 11 points, and the market sentiment indicator scored 9 points. For bond futures, the inflation indicator scored 8 points, the liquidity indicator scored 10 points, and the market sentiment indicator scored 6 points [1]. - In terms of term structure, the weighted annualized basis rates (dividend - adjusted) of the ending positions of IH, IF, IC, and IM were 0.33%, - 2.32%, - 4.16%, and - 9.95% respectively, and the discount of far - month contracts widened again [1]. - The net value of the quantitative CTA strategy for financial derivatives did not change last week. In the long - term, although the social financing data slightly exceeded expectations, the credit data such as M1 and M2 showed sub - seasonal declines and were lower than expected. The credit factor put pressure on stock index futures, with a relatively large decline in IC. In the short - term, the high - frequency real estate and consumption sectors were still weak. The RMB continued to appreciate against the US dollar, and the capital situation remained relatively loose, but the short - term increase was relatively limited. In terms of positions, the risk appetite significantly recovered compared with the previous week. IF and IH remained relatively neutral, while IC and IM had relatively large declines. The overall comprehensive signal was in the neutral range. For bond futures, the capital situation remained loose. After a short - term rise, the positions of bond futures significantly declined. The stock - bond seesaw effect shrank, and the bond market was insensitive to fundamental feedback. The position factor of TF slightly declined, and institutional year - end allocation behavior was relatively cautious. The comprehensive signal was in a neutral and volatile state [1]. Group 3: Summary According to Relevant Catalogs 3.1 Macro - fundamental High - frequency Factor Scores - For economic kinetic energy indicators, including blast furnace开工率, PTA开工率, etc., different indicators showed different weekly changes, numerical values, historical quantiles, and correlations with stock and bond indexes. The scores for stock index futures and bond futures were both 8 points [2]. 3.2 Inflation Indicators - Various inflation - related indicators such as the vegetable basket product wholesale price index, coking coal, etc. had different weekly changes, numerical values, historical quantiles, and correlations with stock and bond indexes. The scores for stock index futures and bond futures were both 8 points [3]. 3.3 Liquidity Indicators - Liquidity - related indicators such as DR007, DR001, etc. had different weekly changes, numerical values, historical quantiles, and correlations with stock and bond indexes. The score for stock index futures was 9 points [4]. 3.4 Index Valuation - Index valuation indicators such as price - to - earnings ratio, price - to - sales ratio, etc. had different weekly changes, numerical values, historical quantiles, and correlations with the stock index. The score for stock index futures was 10 points [5]. 3.5 Market Sentiment: Stock Index - Stock - index - related market sentiment indicators such as margin trading balance, northbound capital inflow, etc. had different weekly changes, numerical values, historical quantiles, and correlations with the stock index. The score for bond futures was 9 points [6]. 3.6 Market Sentiment: Bond - Bond - related market sentiment indicators such as the yield of 10 - year government - developed bonds, the VIX index, etc. had different weekly changes, numerical values, historical quantiles, and correlations with the bond index. The score for bond futures was 6 points [7]. 3.7 Strategy Introduction (Quantitative CTA Strategy) - The product pool includes stock index futures and bond futures. The short - term model focuses on market style, external factors, and capital - related high - frequency financial data. The long - term model focuses on market expectations and macro - economic low - frequency indicators. The position data is synthesized considering institutional long and short positions [15]. - The comprehensive signal strength is weighted by the signals of three independent models (0 - 1). Contracts with the top 2 comprehensive signal strengths greater than or equal to 0.6 are considered for long positions, and those with the bottom 2 less than or equal to 0.4 are considered for short positions. Signals are shielded 7 days before the delivery date. The stop - loss point is set at a daily decline of more than 1%, with equal - weighted allocation of capital. Consecutive two - day same - direction signals are shielded [16][17]. 3.8 Last Week's Situation - The data of IF, IH, IC, IM, T, and TF main contracts from December 8th to 12th, 2025 were all 0 [18]. 3.9 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 three - factor model is constructed using PCA, factor rotation, and logistic regression, with signals divided into three types: '1', '0', and '- 1'. The trend regression model is used to filter signals, and trading is carried out when there is resonance. In actual operation, the 10 - 5Y spread is adjusted with a duration - neutral ratio of 1:1.8 [19]. 3.10 TF and T Main Contract Trading Signals - From December 8th to 12th, 2025, the N - S model and trend regression model signals of TF and T main contracts showed different situations [22].

1. Report Industry Investment Ratings - The investment ratings for stock indices and government bonds are ☆☆☆, indicating a relatively clear long/short trend and current appropriate investment opportunities [1] 2. Core Views of the Report - As of the week ending November 28, stock index futures showed differentiation. IH2512 rose 1.27%, IF2512 rose 2.67%, IC2512 rose 4.29%, and IM2512 rose 4.84%. The driving logic of policy and capital did not change significantly, overseas macro was relatively stable, domestic capital remained relatively loose, and overall risk appetite recovered [1] - The high - frequency macro - fundamental factor scores showed that for stock index futures, the inflation indicator scored 8 points, the liquidity indicator scored 9 points, the valuation indicator scored 11 points, and the market sentiment indicator scored 9 points. For government bond futures, the inflation indicator scored 8 points, the liquidity indicator scored 10 points, and the market sentiment indicator scored 7 points [1] - The net value of the financial derivatives quantitative CTA strategy rose slightly by 0.51% last week. In the long - term, most economic data in November showed weakening growth, and IF and IC were under pressure. In the short - term, high - frequency real estate and consumption remained weak, the RMB appreciated against the US dollar, and the capital remained relatively loose with a limited short - term increase. Risk appetite recovered compared to last week, with IF and IH remaining neutral and IC and IM rising significantly. The overall comprehensive signal was above neutral. For government bond futures, the capital remained loose, market risk appetite was conducive to bond market repair, but the stock - bond seesaw effect was not significant, and the comprehensive signal was in a neutral oscillation [1] 3. Summary by Related Catalogs 3.1 Macro - fundamental Medium - and High - frequency Factor Scores - Among economic kinetic factors, the blast furnace开工率 decreased by 1.68%, the开工率 of PTA in China decreased by 1.68%, the refining plant开工率 in Shandong increased by 7.92%, the开工率 of automobile tires decreased by 4.98%, and the开工率 of downstream looms in the polyester filament industry in the Jiangsu and Zhejiang regions increased by 5.67%. The stock index futures score was 8, and the government bond futures score was 0 [2] 3.2 Inflation Indicators - The vegetable basket product wholesale price 200 index rose 0.73%, the coking coal index rose 0.57%, the price of 1 electrolytic copper rose 0.92%, the South China styrene index rose 1.81%, the CIF price of liquefied natural gas in China remained unchanged, the compound fertilizer index rose 1.30%, and the settlement price of natural rubber rose 1.35%. The stock index futures and government bond futures scores were both 8 [3] 3.3 Liquidity - DR007 decreased by 0.24%, DR001 decreased by 1.17%, GC001 weighted average increased by 5.63%, GC007 weighted average decreased by 2.57%, SHIBOR overnight decreased by 0.68%, SHIBOR 1 - week increased by 0.48%, the US dollar index decreased by 0.76%, and the inter - bank certificate of deposit yield (AAA) for 1 - month remained unchanged. The stock index futures score was 9 [4] 3.4 Index Valuation - The price - earnings ratio (TTM) rose 1.66%, the price - sales ratio (TTM) rose 1.66%, the dividend yield (last 12 months) decreased by 2.15%, and the price - cash - flow ratio (operating cash flow TTM) rose 1.67%. The stock index futures score was 10 [5] 3.5 Market Sentiment: Stock Indices - The margin trading balance rose 0.46%, the short - selling balance rose 5.09%, the net purchase amount of northbound funds was unchanged, the selling amount of northbound funds was unchanged, and the Shanghai Stock Exchange A - share trading volume decreased by 26.01%. The government bond futures score was 9 [6] 3.6 Market Sentiment: Bonds - The yield of 10 - year China Development Bank bonds rose 1.65%, the VIX index of the US S&P 500 decreased by 30.22%, the credit spread (median) of all industrial bonds remained unchanged, and the trading volume of the Shanghai Stock Exchange government bond index rose 33.65%. The government bond futures score was 7 [7] 3.7 Strategy Introduction - The product pool includes stock index futures and government bond futures. The short - term model focuses on market style, external factors, and capital, while the long - term model focuses on market expectations and macro - economic data. The position volume is synthesized considering institutional long and short positions [17] 3.8 Forecast Signals - The short - term model signals for IF, IH, IC, IM, T, and TF were 0.51, 0.51, 0.52, 0.53, 0.53, and 0.52 respectively; the position volume indicators were 0, 0, 1, 0, 0, and 0 respectively; the long - term model signals were 0.52, 0.5, 0.52, 0.51, 0.51, and 0.52 respectively; the comprehensive signals were 0.52, 0.51, 0.55, 0.5, 0.51, and 0.53 respectively [18] 3.9 Last Week's Situation - From November 24 to 28, the signals for IF, IH, IC, IM, T, and TF were mostly 0 [20] 3.10 Government Bond Futures Cross - variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the resonance of signals from the fundamental three - factor model and the trend regression model. The fundamental three - factor model uses the Nelson - Siegel instantaneous forward - rate function, and the signals are classified into three types: '1', '0', and '-1'. The trend regression model filters signals, and trading occurs when there is resonance. In practice, the 10 - 5Y spread is adjusted with a 1:1.8 ratio [21] 3.11 TF and T Main Contract Trading Signals - From November 24 to 28, the N - S model and trend regression model signals for TF and T main contracts were mostly 0, with the N - S model showing a signal of 1 on November 27 [24]

Report Investment Ratings - Index Futures: ☆☆☆ [1] - Treasury Bond Futures: ☆☆☆ [1] Core Views - As of the week ending November 21, index futures declined. IH2511 dropped 2.49%, IF2511 fell 3.38%, IC2511 decreased 5.17%, and IM2511 declined 5.02%. Geopolitical tensions and overseas tech - stock corrections, along with the weakening of the Fed's rate - cut expectations, pressured investors' risk appetite [1]. - The high - frequency macro - fundamental factor scores for index futures are: inflation indicator 8 points, liquidity indicator 8 points, valuation indicator 11 points, and market sentiment indicator 9 points. For treasury bond futures, the inflation indicator is 8 points, the liquidity indicator is 10 points, and the market sentiment indicator is 8 points [1]. - The weighted annualized basis rates (dividend - adjusted) of IH, IF, IC, and IM at the end of the period were - 3.35%, - 5.92%, - 9.19%, and - 9.89% respectively. The basis rates of IC and IM contracts were above the 50th percentile in the past year, showing significant divergence in the basis trends of index futures [1]. - The net value of the financial derivatives quantitative CTA strategy rose slightly by 0.21% last week. In the long - term, most economic data indicate weakening growth, pressuring index futures. In the short - term, high - frequency real estate and consumption remain weak, the exchange rate is at a low level, and the capital market remains relatively loose, resulting in a relatively limited short - term decline [1]. - For index futures, the risk appetite is at a six - month low, IF and IH are relatively neutral, and the overall comprehensive signal is below neutral. For treasury bond futures, the capital market remains loose, the market risk appetite is conducive to the bond market's recovery, but the stock - bond seesaw effect is not significant, and the bond market is insensitive to fundamental feedback. The position factor has declined, and institutional year - end allocation behavior has not yet emerged intensively, with the comprehensive signal in a neutral oscillation [1]. Summary by Related Catalogs Macro - fundamental High - frequency Factor Scores - Economic kinetic energy: The scores for index futures and treasury bond futures are 8 and 0 respectively (on a scale of 0 - 10). Different indicators such as blast furnace开工率, PTA开工率, etc., show various week - on - week changes, historical percentiles, and correlations with stock and bond indices [2]. - Inflation indicators: The scores for both index futures and treasury bond futures are 8 (on a scale of 0 - 10). Various inflation - related indicators like the vegetable basket product wholesale price index, coking coal index, etc., have different week - on - week changes, historical percentiles, and correlations with stock and bond indices [3]. - Liquidity: The score for index futures is 9 (on a scale of 0 - 10). Indicators such as DR007, DR001, etc., show different week - on - week changes, historical percentiles, and correlations with stock and bond indices [4]. - Index valuation: The score for index futures is 10 (on a scale of 0 - 10). Valuation indicators such as PE, PS, etc., have different week - on - week changes, historical percentiles, and correlations with stock indices [5]. - Market sentiment: For stock indices, the score is 9 (on a scale of 0 - 10), and for bonds, the score is 8 (on a scale of 0 - 10). Different sentiment - related indicators such as margin trading balances, bond yields, etc., show various week - on - week changes, historical percentiles, and correlations with stock and bond indices [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 market high - frequency financial data, while the long - term model focuses on market expectations and macro - economic low - frequency indicators. The position is synthesized based on institutional long and short positions [16]. - 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 shielded 7 days before delivery [17]. Treasury Bond Futures Cross - variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the resonance of signals from the fundamental three - factor model and the trend regression model. The fundamental three - factor model uses the Nelson - Siegel instantaneous forward - rate function, and signals are classified into three types: '1' (large spread may decrease), '0' (uncertain spread trend or oscillation), '- 1' (large spread may increase). The trend regression model filters signals, and trading occurs when there is resonance. In practice, a 1:1.8 ratio is used for the 10 - 5Y spread adjustment [20]. - For TF and T main contracts, different dates show different signals from the N - S model and the trend regression model [23].

Report Investment Ratings - Index futures: ☆☆☆ [1] - Treasury bond futures: ☆☆☆ [1] Core Views - As of the week ending November 7, index futures showed divergence, with IH2511 down 0.89%, IC2511 up 1.47%, and IM2511 up 1.31%. The average daily trading volume in the entire market was 2.01 trillion yuan, a decrease of 313 billion yuan from the previous week, indicating a decline in market trading activity [1]. - From the perspective of high - frequency macro - fundamental factor scores, for index futures, the inflation indicator scored 8 points, the liquidity indicator 9 points, the valuation indicator 11 points, and the market sentiment indicator 9 points. For Treasury bond futures, the inflation indicator scored 7 points, the liquidity indicator 10 points, and the market sentiment indicator 8 points [1]. - In terms of the term structure, the basis of each index futures contract declined collectively. The weighted annualized basis rates (after dividend adjustment) of the ending positions of IH, IF, IC, and IM were 0.28%, - 3.16%, - 11.12%, and - 14.41% respectively [1]. - The net value of the financial derivatives quantitative CTA strategy remained unchanged last week. In the long - term, inflation data outperformed expectations, which had a certain boosting effect on IC and IM, while Treasury bond futures were under pressure. In the short - term, the fundamentals of real estate and consumption were still weak, the exchange rate was in a low range, and the capital market remained relatively loose, showing a short - term low - level recovery. In terms of positions, IM showed a marginal recovery, IF and IH remained relatively neutral, and IC was relatively at a cross - sectional low. The overall comprehensive signal was in a neutral oscillation. For Treasury bond futures, the capital market remained loose, the market risk preference was conducive to the recovery of the bond market, the stock - bond seesaw effect was significant. Due to the unexpected inflation recovery, the position factor declined, and institutions were still cautious about allocation, with the comprehensive signal in a neutral oscillation [1]. Summary by Related Catalogs Macro - fundamental Medium - and High - Frequency Factor Scores - Some economic kinetic indicators showed different changes in the week, such as the blast furnace operating rate increasing by 1.41%, the PTA operating rate increasing by 1.41%, etc. The index futures scored 8 points, and the Treasury bond futures scored 0 points [2]. Inflation Indicators - Various inflation - related indicators had different weekly changes, such as the vegetable basket product wholesale price index rising 0.29%, the coking coal index rising 1.54%, etc. The index futures scored 8 points, and the Treasury bond futures scored 7 points [3]. Liquidity - Liquidity - related indicators like DR007 decreased by 0.40%, DR001 increased by 1.48%, etc. The index futures scored 9 points [4]. Index Valuation - Valuation indicators such as PE (TTM) increased by 0.33%, PS (TTM) increased by 0.33%, etc. The index futures scored 10 points [5]. Market Sentiment: Index - In terms of index market sentiment, the margin trading balance increased by 0.27%, the short - selling balance increased by 3.91%, etc. The Treasury bond futures scored 9 points [6]. Market Sentiment: Bond - Bond market sentiment indicators such as the 10 - year CDB bond yield increased by 0.77%, the S&P 500 volatility index increased by 9.40%, etc. The Treasury bond futures scored 8 points [7]. Strategy Introduction - The product pool includes 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 macro - economic low - frequency indicators. Positions are synthesized considering institutional long and short positions [16]. Forecast Signals - The short - term, long - term, and comprehensive signals of different futures contracts (IF, IH, IC, IM, T, TF) are provided, and the rules for determining long and short positions are given [17]. 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 three - factor model decomposes the interest rate term structure into three parts: level, slope, and curvature. The actual operation uses a 1:1.8 ratio for the 10 - 5Y spread adjustment [20]. Market Quotes and Trading Signals - The trading signals of TF and T main contracts from November 3 to November 7 are provided, including the signals from the N - S model and the trend regression model [23].

Investment Ratings - Index Futures: ☆☆☆ [1] - Treasury Bond Futures: ☆☆☆ [1] Core Viewpoints - As of the week ending October 17, index futures showed differentiation. IH2510 rose by 0.30%, IF2510 fell by 1.64%, IC2510 dropped by 4.41%, and IM2510 declined by 3.85%. Trade issues made market sentiment cautious, and the trade war's uncertainty suppressed market risk appetite. There was also a demand for a post - overbought correction in the short - term technical aspect [1]. - From the high - frequency macro - fundamental factor scores, for index futures, the inflation indicator scored 8 points, the liquidity indicator 9 points, the valuation indicator 11 points, and the market sentiment indicator 9 points. For Treasury bond futures, the inflation indicator scored 7 points, the liquidity indicator 11 points, and the market sentiment indicator 7 points [1]. - The net value of the financial derivatives quantitative CTA strategy remained unchanged last week. In the long - term, September's financial and inflation data had a certain boosting effect on IF and IM, indicating that China still faced credit contraction and deflation pressure and was far from full recovery, which required further policy support. In the short - term, the exchange rate was still in a low range, and the capital market remained relatively loose. The overall market risk appetite recovered compared to the beginning of the week, and the overall comprehensive signal was above neutral. For Treasury bond futures, although the capital market was loose, the market risk appetite limited the upward space, and the stock - bond seesaw effect was significant [1]. Summary by Directory Macroeconomic Fundamental High - Frequency Factor Scores - Economic kinetic energy indicators such as blast furnace operating rate, PTA operating rate, etc., showed different week - on - week changes. The index futures scored 8 points, and the Treasury bond futures scored 0 points [2]. - Inflation indicators including vegetable basket product wholesale price index, coking coal index, etc., also had various week - on - week changes. The index futures scored 8 points, and the Treasury bond futures scored 7 points [3]. - Liquidity indicators like DR007, DR001, etc., had their own week - on - week changes, and the index futures scored 9 points [4]. - Index valuation indicators such as PE, PS, etc., showed different trends, and the index futures scored 10 points [5]. - Market sentiment indicators for stocks (financing balance, margin trading balance, etc.) and bonds (government bond yield, etc.) had corresponding week - on - week changes. The index futures' market sentiment scored 9 points, and the Treasury bond futures' market sentiment scored 7 points [6][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 market high - frequency data, while the long - term model focuses on market expectations and macro - economic data. The position volume is synthesized considering institutional long and short positions [16]. Prediction Signals - As of last Friday, the short - term model, position volume indicator, long - term model, and comprehensive signals for different futures contracts (IF, IH, IC, IM, T, TF) were provided. The comprehensive signal strength is a weighted synthesis of three independent models [17]. Last Week's Situation - From October 13 to October 17, the trading signals of different futures contracts showed different states. For example, the IC main contract had a signal of 1 on October 17 [19]. Treasury Bond Futures Cross - Variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the resonance of signals from the fundamental three - factor model and the trend regression model. The fundamental three - factor model decomposes the interest rate term structure into three parts: level, slope, and curvature. The signals are divided into three types: 1, 0, - 1. The actual operation uses a 1:1.8 ratio to adjust the 10 - 5Y spread [20]. Market Quotes and Trading Signals - For TF and T main contracts from October 13 to October 17, the N - S model signals and trend regression model signals were provided [23].