1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The stock index futures market is in an upward trend, with electronics and non - bank finance contributing to the rise of major indices. The basis of each variety has strengthened significantly, and trading volume has increased month - on - month. For bond futures, the IRR of bond futures has declined this week, and the inter - period spread has been oscillating strongly. The commodity market has seen the profitability of term structure and trend momentum factors weaken, while volatility, term basis, and warehouse receipt factors have performed well [3][55][77]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures Quantitative Strategy Tracking - **Market Review**: The market is on an upward trend. Electronics and non - bank finance contribute to the rise of CSI 300, SSE 50, and CSI 500 indices, while electronics and power equipment contribute to the rise of CSI 1000 index. The basis of each variety has strengthened significantly, and trading volume has increased month - on - month. IC and IM remain in a contango state [3]. - **Basis Strategy Recommendation**: Due to market sentiment, the basis of each variety has strengthened significantly. In the case of increased market volatility, the impact of market sentiment on the basis increases. For inter - period positive spreads, beware of the risk of large - scale fluctuations in the basis of far - month contracts caused by market speculation. The inter - period momentum signal recommends IC inter - period positive spreads, and the IM inter - period signal turns to reverse spreads. The roll - over strategy recommends holding near - month contracts to avoid short - term basis fluctuations caused by market conditions [3]. - **Arbitrage Strategy Tracking**: In the inter - period arbitrage strategy, the net value of the strategy last week showed mixed results. The annualized basis rate factor made a profit of 0.8%, while the positive spread and momentum factors lost 1.6% and 1.4% respectively (6 - times leverage). The annualized basis rate factor mostly gave reverse spread signals. The net value of the inter - variety arbitrage time - series synthetic strategy lost 0.5% last week, with losses mainly contributed by IF/IH and IC/IM pairings, and the IC/IF pairing made a profit. The latest inter - variety signal recommends a 100% position to go long on IC and short on IF, and a 50% position to go long on IM and short on IC [4]. - **Timing Strategy Tracking**: All models of the daily timing strategy lost last week. The single - factor equal - weight, OLS, and XGB models made a profit of 0.1%, lost 1.6%, and lost 0.8% respectively. The latest signal of the timing model shows that the bullish signal has strengthened. The XGB model is bullish on CSI 300 and CSI 500, and bearish on SSE 50 and CSI 1000. The OLS model is bullish on SSE 50, CSI 300, and CSI 500, and bearish on CSI 1000 [5]. 3.2 Treasury Bond Futures Quantitative Strategy - **This Week's Strategy Focus**: In terms of basis and inter - period spreads, the IRR of bond futures has declined this week, and the inter - period spread has been oscillating strongly. The subsequent positive spread space is limited, and the inter - period spread is expected to oscillate. The interest rate timing signal predicts an upward interest rate, and it is recommended to choose high - duration varieties for hedging. The multi - factor timing strategy signal is neutral. The inter - variety arbitrage strategy signals for TS - T and T - TL are both bullish. The credit bond neutral strategy currently holds the 1 - 3 - year index with reduced duration and hedges with treasury bond futures [55]. 3.3 Commodity CTA Factor and Tracking Strategy Performance - **Commodity Factor Performance**: Last week, the domestic commodity market generally continued the previous week's trend. The number of rising and falling futures products was basically half and half, and the overall risk preference slightly increased. The profitability of term structure and trend momentum factors continued to weaken and declined slightly last week. The best - performing factors were volatility, term basis, and warehouse receipt factors. In the short term, pay attention to the callback of CTA strategy returns caused by trend reversals [77]. - **Tracking Strategy Performance**: Different strategies have different performance indicators. For example, the CWFT strategy has an annualized return of 9.3%, a Sharpe ratio of 1.58, a Calmar ratio of 1.06, a maximum drawdown of - 8.81%, a return of 0.39% in the recent week, and a return of 1.44% since this year [78].

1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints of the Report - The stock index futures market showed a continuous downward trend, with pharmaceutical and biological and power equipment contributing to the main decline of the CSI 300 Index, and pharmaceutical and biological and non - ferrous metals contributing to the main decline of the SSE 50 Index, CSI 500 Index, and CSI 1000 Index. The trading volume of each variety increased month - on - month, and the basis strengthened [4]. - For the bond futures market, the basis of bond futures fluctuated narrowly this week, some contracts experienced CTD switching affected by new bonds, the IRR generally fluctuated at a high level, and the inter - period spread mainly declined. The net value of the multi - factor timing strategy for bond futures increased this week, and the strategy signals were mostly bullish. The net value of the cross - variety arbitrage strategy for bond futures increased, and the current credit bond duration rotation plus hedging strategy holds the 1 - 3 - year index with reduced duration and conducts bond futures hedging [55]. - In the commodity market, last week, the domestic commodity market was affected by the conflict situation in the Middle East. Crude oil and related energy and chemical varieties mostly rose, and most commodity factors continued to rise, with the term structure factors performing the best, followed by the price - volume trend factors [75]. 3. Summary by Related Catalogs 3.1 Stock Index Futures 3.1.1 Market Review - The market showed a continuous downward trend, and the trading volume of each variety increased month - on - month, with the basis strengthening. Pharmaceutical and biological and power equipment contributed to the main decline of the CSI 300 Index, and pharmaceutical and biological and non - ferrous metals contributed to the main decline of the SSE 50 Index, CSI 500 Index, and CSI 1000 Index [4]. 3.1.2 Basis Strategy - The basis of stock index futures strengthened significantly. After the dividend adjustment of IC and IM, the discounts converged to 8.6% and 12.1% respectively. It is recommended to wait and see for the inter - period arbitrage strategy, and short - selling hedging is recommended to hold near - month contracts to avoid the risk of further basis convergence [4]. 3.1.3 Arbitrage Strategy Tracking - In the inter - period arbitrage strategy, the strategy net value declined significantly last week, with the annualized basis rate, positive arbitrage, and momentum factors losing 0.5%, 0.7%, and 0.5% respectively (6 - times leverage). The annualized basis rate factor gave reverse arbitrage signals for IH, IF, and IM, and a positive arbitrage signal for IC [5]. - The net value of the cross - variety arbitrage timing strategy lost 0.1% last week. The cross - variety momentum signals performed poorly, and all portfolios were currently empty [6]. 3.1.4 Timing Strategy Tracking - The daily timing strategy models were profitable last week, with the single - factor equal - weight, OLS, and XGB models earning 0.2%, 0%, and 1.2% respectively. The bearish signals of the timing models strengthened, with the XGB model bearish on all indices, and the OLS model bullish on the SSE 50 and CSI 300 and bearish on the CSI 500 and CSI 1000 [7]. 3.2 Bond Futures 3.2.1 This Week's Strategy Focus - In terms of basis and inter - period spreads, the basis of bond futures fluctuated narrowly this week, some contracts experienced CTD switching affected by new bonds, the IRR generally fluctuated at a high level, and the inter - period spread mainly declined. The uncertainty of the inter - period spread increased after a short - term rebound [55]. - For the futures timing strategy, the net value of the multi - factor timing strategy increased this week, and the strategy signals were mostly bullish, with the main bullish factors being the basis factor and high - frequency factor [55]. - In the futures cross - variety arbitrage strategy, the latest signal of the TS - T cross - variety arbitrage strategy was volatile, and the latest signal of the T - TL strategy was bearish [55]. - For the credit bond neutral strategy, the bond futures hedging pressure index based on far - month contracts continued to rebound, and the current credit bond duration rotation plus hedging strategy holds the 1 - 3 - year index with reduced duration and conducts bond futures hedging [55]. 3.3 Commodity CTA 3.3.1 Commodity Factor Performance - Last week, the domestic commodity market was affected by the conflict situation in the Middle East. Crude oil and related energy and chemical varieties mostly rose, and most commodity factors continued to rise. The term structure factors performed the best, with an average increase of over 1%, followed by the price - volume trend factors, with an average increase of over 0.5%. Only the warehouse receipt factors declined [75]. 3.3.2 Tracking Strategy Performance - Different tracking strategies had different performance indicators such as annualized return, Sharpe ratio, Calmar ratio, maximum drawdown, recent weekly return, and year - to - date return. For example, the CWFT strategy had an annualized return of 10.1%, a Sharpe ratio of 1.70, and a maximum drawdown of - 8.81%, with a recent weekly return of 0.11% and a year - to - date return of 3.76% [76].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The market showed an upward trend last week, with different sectors contributing to the gains of various stock indices. The trading volume of each futures variety decreased month - on - month, and the basis weakened. IC and IM maintained a deep discount state. The report continues to recommend a positive arbitrage direction for cross - period arbitrage and roll - over operations [3][4]. - The performance of commodity factors was mixed last week. The price - volume trend factors declined slightly, the term structure factors rose slightly, and the basis and warehouse receipt factors fell slightly. The report is still optimistic about the performance of commodity CTA this year [80]. - For Treasury bond futures, the basis fluctuated narrowly, and the cross - period spread rebounded slightly. The capital interest rate continued to decline. The report suggests paying attention to the positive arbitrage and cross - period positive arbitrage strategies of Treasury bond futures [60]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures 3.1.1 Market Review - The market rose, with electronics and non - bank finance contributing to the rise of the CSI 300 Index, banks and electronics to the SSE 50 Index, electronics and non - ferrous metals to the CSI 500 Index, and electronics and communications to the CSI 1000 Index [3]. - The trading volume of each variety decreased month - on - month, and the basis weakened. IC and IM remained deeply discounted [4]. 3.1.2 Basis Strategy Recommendation - The basis fluctuated, and IC and IM maintained a deep discount. The current basis environment is driven by neutral short - hedging demand. The report recommends a right - side approach for cross - period arbitrage and roll - over, maintaining a long - near and short - far positive arbitrage direction [4]. 3.1.3 Arbitrage Strategy Tracking - In cross - period arbitrage, the net value of each strategy was flat last week. The annualized basis rate, positive arbitrage, and momentum strategies had profits of 0.3%, 0.5%, and 0.5% respectively [5]. - The signal of the cross - variety arbitrage timing strategy turned to long small - cap and short large - cap. The synthetic strategy had a profit of 0.2% last week. The latest signals suggest a 50% position for long IC and short IF in the IC/IF strategy and a 100% position for long IM and short IC in the IM/IC strategy. The cross - variety arbitrage cross - section strategy had a loss of 0.14% last week [6]. 3.1.4 Timing Strategy Tracking - The performance of the daily timing strategy models was differentiated last week. The single - factor equal - weight, OLS, and XGB models had losses of 0.5%, a profit of 0.1%, and a loss of 1.3% respectively. The latest signals from the OLS model are bearish on all indices, while the XGB model is bearish on the SSE 50, CSI 300, and CSI 500 and bullish on the CSI 1000 [7]. 3.2 Treasury Bond Futures 3.2.1 Strategy Focus This Week - In terms of basis and cross - period spread, the basis of Treasury bond futures fluctuated narrowly, and the cross - period spread rebounded slightly. The capital interest rate continued to decline. The report suggests continuing to pay attention to the positive arbitrage and cross - period positive arbitrage strategies [60]. - For the futures timing strategy, the net value of the multi - factor timing strategy fluctuated this week. The strategy signals are mostly bullish, with main bullish factors including basis and high - frequency factors [60]. - For the futures cross - variety arbitrage strategy, the latest signals of the TS - T and T - TL strategies are bearish [60]. - For the credit bond neutral strategy, the current credit bond duration rotation and hedging strategy holds the 3 - 5 - year index with a longer duration in the cash bond and conducts Treasury bond futures hedging [60]. 3.3 Commodity CTA 3.3.1 Commodity Factor Performance - The domestic commodity market was differentiated last week. The decline of the US dollar index and the increasing expectation of the Fed's interest rate cut promoted the rise of precious metals, crude oil, and metal futures. The black - series commodities rose due to the rebound of coking coal prices and expected policy support. The performance of commodity factors was mixed, with price - volume trend factors slightly declining, term structure factors slightly rising, and basis and warehouse receipt factors slightly falling [80]. 3.3.2 Tracking Strategy Performance - The CWFT strategy had an annualized return of 10.0%, a Sharpe ratio of 1.69, a Calmar ratio of 1.13, and a maximum drawdown of - 8.81%. The return last week was 0.00%, and the return since this year was 2.93% [81]. - The C_frontnext & Short Trend strategy had an annualized return of 12.4%, a Sharpe ratio of 1.88, a Calmar ratio of 1.84, and a maximum drawdown of - 6.72%. The return last week was 0.69%, and the return since this year was 2.55% [81]. - Other strategies also had their respective performance indicators as detailed in the report [81].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The stock index futures market shows an upward trend, with different industries contributing to the gains of various indices. The subsequent basis trend is affected by complex factors, and both the roll - over strategy and the inter - period strategy recommend going long on the near - term contracts and short on the far - term contracts for IH, IF, IC, and IM. Different arbitrage and timing strategies of stock index futures have different performances last week [3][4]. - For treasury bond futures, the inter - period strategy maintains the previous view, suggesting that short - hedging positions of treasury bond futures start to arrange the roll - over in advance. The multi - factor timing strategy signal is bullish, the inter - variety arbitrage strategy signal of TS - T is neutral and T - TL is bearish, and the current credit bond duration rotation plus hedging strategy holds the 3 - 5 - year index and conducts treasury bond futures hedging [56]. - In the commodity market, various style factors of commodities perform differently. The term structure and basis factors rebound slightly, the warehouse receipt factor falls, and the volume - price and value factors rise more. The CTA strategy may fluctuate in the short - term, but the long - term prospects of the CTA's volume - price trend and spot - futures structure factors are promising [76]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures Quantitative Strategy Tracking 3.1.1 Stock Index Futures Market Review - The market shows an upward trend. Banks and food and beverage contribute to the gains of the SSE 50 Index, banks and power equipment contribute to the gains of the CSI 300 Index, national defense and military industry and computer contribute to the gains of the CSI 500 Index, and power equipment and national defense and military industry contribute to the gains of the CSI 1000 Index [3]. - The trading volume of each variety increases month - on - month. The basis of IF and IH strengthens, while that of IC and IM weakens, with IC and IM maintaining a deep discount [4]. 3.1.2 Stock Index Futures Basis Strategy Recommendation - IH and IF are prone to provide trading opportunities of going long on the near - term contracts and short on the far - term contracts during the ex - dividend season. IC and IM maintain a discount due to the dominant roll - over of neutral strategies. Both the roll - over strategy and the inter - period strategy recommend going long on the near - term contracts and short on the far - term contracts [4]. 3.1.3 Stock Index Futures Arbitrage Strategy Tracking - In the inter - period arbitrage strategy, the annualized basis rate, cash - and - carry, and momentum strategies gain 1.1%, 1.0%, and 0.8% respectively last week [5]. - The inter - variety arbitrage timing strategy's signal turns to going long on small - cap and short on large - cap, and the synthetic strategy has a drawdown of 0.1% last week. The latest signal recommends a 100% position to go long on IC and short on IF, and a 100% position to go long on IM and short on IF [6]. - The inter - variety arbitrage cross - section strategy gains 0.04% last week [7]. 3.1.4 Stock Index Futures Timing Strategy Tracking - The daily timing strategy's different models have different performances last week. The single - factor equal - weighted, OLS, and XGB models lose 1.5%, 1.3%, and gain 1.7% respectively. The latest signal of the OLS model is bearish on each index, and the XGB model is bullish on the CSI 500/CSI 1000 and bearish on the SSE 50/CSI 300 [8]. 3.2 Treasury Bond Futures Quantitative Strategy 3.2.1 This Week's Strategy Focus - In terms of basis and inter - period, the inter - period strategy maintains the previous view, suggesting that short - hedging positions of treasury bond futures start to arrange the roll - over in advance. - In the futures timing strategy, the net value of the multi - factor timing strategy fluctuates this week, and the signal is bullish. - In the futures inter - variety arbitrage strategy, the latest signal of the TS - T strategy is neutral, and the T - TL strategy is bearish. - In the credit bond neutral strategy, the hedging pressure index of treasury bond futures based on far - term contracts rebounds, and the current credit bond duration rotation plus hedging strategy holds the 3 - 5 - year index and conducts treasury bond futures hedging [56]. 3.2.2 Key Points of Treasury Bond Futures Basis and Inter - Period Spread - The inter - period spreads of different treasury bond futures varieties show obvious differentiation this week. TS rebounds significantly, TL weakens significantly, and T and TF fluctuate at a low level. The inter - period strategy maintains the previous view, suggesting that short - hedging positions of treasury bond futures start to arrange the roll - over in advance [57]. 3.3 Commodity CTA Factor and Tracking Strategy Performance 3.3.1 Commodity Factor Performance - Affected by the combination of macro policies and external events, the domestic commodity market shows mixed performance. Different style factors of commodities perform differently. The term structure and basis factors rebound slightly, the warehouse receipt factor falls, and the volume - price and value factors rise more. The CTA strategy may fluctuate in the short - term, but the long - term prospects of the CTA's volume - price trend and spot - futures structure factors are promising [76][79]. 3.3.2 Tracking Strategy Performance - Different tracking strategies have different performances. For example, the CWFT strategy has an annualized return of 9.8%, a Sharpe ratio of 1.64, and a Calmar ratio of 1.11, with a return of 0.34% last week and 1.08% this year [77].