Report Industry Investment Rating - The investment ratings for stock index futures and treasury bond futures are both ☆☆☆ [1] Core Viewpoints - 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 has not changed significantly, overseas macro is relatively stable, but domestic capital has not become more relaxed, and overall risk appetite has recovered [1] - The high - frequency macro - fundamental factor scores for stock index futures are: inflation indicator 8 points, liquidity indicator 9 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 7 points. The weighted annualized basis rates (dividend - adjusted) of the ending open - interest of IH, IF, IC, and IM are - 2.81%, - 6.24%, - 12.5%, and - 15.52% respectively, and the discount of far - month contracts has widened again [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, industrial enterprises were weaker than seasonal, and PMI was lower than expected, putting pressure on IF and IC. In the short - term, medium - and high - frequency real estate and consumption are still weak, the RMB has continued to appreciate against the US dollar, and the capital situation remains relatively loose, with a relatively limited short - term increase. In terms of open - interest, risk appetite has recovered compared to last week. IF and IH remain relatively neutral, while IC and IM have increased significantly. The overall comprehensive signal is above neutral. For treasury bond futures, the capital situation remains loose, and the market risk appetite is relatively conducive to the recovery of the bond market, but the stock - bond seesaw effect is not significant, the bond market is insensitive to fundamental feedback, the open - interest factor has declined slightly, and institutional year - end allocation behavior has not yet been concentrated, with the comprehensive signal in a neutral oscillation [1] Summary by Related Catalogs Macro - fundamental Medium - and High - frequency Factor Scores - Economic kinetic energy indicators such as the blast furnace operating rate, PTA operating rate, etc. have different weekly changes, and the scores for stock index futures and treasury bond futures are 8 and 0 respectively (on a scale of 0 - 10) [2] Inflation Indicators - Various inflation - related indicators such as the vegetable basket product wholesale price index, coking coal index, etc. have different weekly changes, and the scores for both stock index futures and treasury bond futures are 8 (on a scale of 0 - 10) [3] Liquidity - Liquidity - related indicators such as DR007, DR001, etc. have different weekly changes, and the score for stock index futures is 9 (on a scale of 0 - 10) [4] Index Valuation - Index valuation indicators such as PE, PS, etc. have different weekly changes, and the score for stock index futures is 10 (on a scale of 0 - 10) [5] Market Sentiment: Stock Index - Stock - index - related market sentiment indicators such as margin trading balances, northbound trading amounts, etc. have different weekly changes, and the score for treasury bond futures is 9 (on a scale of 0 - 10) [6] Market Sentiment: Bond - Bond - related market sentiment indicators such as the 10 - year CDB bond yield, S&P 500 volatility index, etc. have different weekly changes, and the score for treasury bond futures is 7 (on a scale of 0 - 10) [7] 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 data, while the long - term model focuses on market expectations and macro - economic data. The open - interest is synthesized based on institutional long and short positions [17] Forecast Signals - As of last Friday, the short - term model, open - interest indicator, long - term model, and comprehensive signals for different futures contracts are provided, and the principles for signal synthesis and trading are explained [18] Last Week's Situation - The trading signals for different futures contracts from November 24 - 28, 2025, are presented, and the data source is provided [20] 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 factors use the Nelson - Siegel instantaneous forward - rate function, 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 the TF and T main contracts from November 24 - 28, 2025, are provided, and the data source is provided [24]