首席点评： 制造业 PMI 回升 国家统计局公布数据显示， 5 月份，我国制造业 PMI 为 49.5% ，比上月上升 0.5 个百分点。非制造 业 PMI 为 50.3% ，比上月下降 0.1 个百分点。综合 PMI 为 50.4% ，比上月上升 0.2 个百分点。新 出口订单指数和进口指数分别为 47.5% 和 47.1% ，比上月上升 2.8 和 3.7 个百分点。调查中部分涉 美企业反映外贸订单加速重启，进出口情况有所改善。美国总统特朗普在宾夕法尼亚州举行的一场 集会上表示，将把进口钢铁的关税从 25% 提高至 50% ，该决定从 6 月 4 日（周三）起生效。对 此，欧盟委员会发布声明称，目前正在就扩大反制措施进行最终磋商。美国 5 月 ISM 制造业 PMI 为 48.5 ，为 2024 年 11 月以来新低，预期 49.5 ，前值 48.7 。美国 5 月标普全球制造业 PMI 终值 为 52 ，初值 52.3 。标普全球称，美国 5 月销售费用通胀达到 2022 年末以来的最高水平。 重点品种： 原油、贵金属、股指 原油： 周末乌克兰袭击俄罗斯推动油价上涨。美国一家联邦法院周三阻止了特朗普所谓 ...

Group 1: Market Reactions to Tariff Increases - The announcement by President Trump to raise tariffs on imported steel and aluminum from 25% to 50% has heightened concerns about global economic impacts, leading to significant declines in U.S. stock markets, with the Nasdaq index dropping as much as 1.7% intraday before closing down 0.85% [1] - Asian markets reacted negatively, with South Korean steel stocks falling sharply and Japan's Nikkei 225 index dropping over 1.3% following the tariff news [1] - The German Steel Federation expressed concerns that the U.S. tariff increase would escalate transatlantic trade conflicts and exert significant pressure on the European steel industry [1] Group 2: Commodity Market Movements - The escalation of the Russia-Ukraine conflict has intensified market risk aversion, leading to a significant rise in gold and silver prices, driven by a weaker U.S. dollar [2] - The copper market is experiencing upward pressure due to supply constraints, with COMEX copper futures rising over 5% amid ongoing inventory depletion and potential supply shortages [3] - Despite a rise in oil prices due to geopolitical tensions, analysts suggest that OPEC+ production plans may limit the potential for sustained price increases in the oil market [3] Group 3: Future Market Expectations - Analysts predict that after the Dragon Boat Festival holiday, commodities such as copper and gold may open higher, with copper potentially exceeding 80,000 yuan/ton and gold surpassing 780 yuan/gram, although there are risks of pullbacks [4] - The domestic futures market is expected to remain weak due to sluggish domestic demand and uncertainties in external demand, with a focus on upcoming macroeconomic policies that may stimulate growth [4]

Group 1: Market Reactions - Both crude oil and gold prices surged due to ongoing geopolitical tensions, with Brent crude and WTI crude rising over 4% [1] - As of June 2, spot gold prices increased by over 2%, reaching $3355 per ounce, while international gold prices have risen approximately 27% year-to-date [3] Group 2: Geopolitical Developments - The second round of direct negotiations between Russia and Ukraine took place in Istanbul, Turkey, on June 2 [5] - Ukrainian President Zelensky outlined three core demands during the negotiations, emphasizing the need for a high-level leaders' meeting to address key issues in the conflict [7][10][13] - Russia insists on addressing the root causes of the conflict, including demands for Ukraine's "demilitarization" and a halt to NATO's eastward expansion [11]

6月2日，现货黄金日内涨超2%，现报3357美元/盎司。 港股黄金股大涨。潼关黄金涨近17%，赤峰黄金涨超6%，中国黄金国际涨近5%。 全球贸易局势因特朗普政府的"钢铁关税"迅速升级，与此同时地缘政治风险也因俄乌冲突在急剧上升。 因地缘政治紧张局势，布伦特原油、WTI原油双双飙升约4%。 消息面上，俄乌方面，据央视新闻，乌克兰透露，6月1日当天对俄发起特别行动，用无人机摧毁了俄41 架战略轰炸机，俄罗斯主要机场中约34%的战略轰炸机遭到攻击。俄媒表示，乌方说法纯属谣言。 根据乌克兰通报，乌方无人机深入俄境4000多公里，同时对俄罗斯空天军四个战略轰炸机基地进行攻 击。如果该消息属实，那么按照俄罗斯军事博主的说法，此次袭击的规模和影响可以比作"俄罗斯珍珠 港事件"，俄罗斯在乌克兰战争中的急剧升级可能迫在眉睫。 关税方面，5月30日，美国总统特朗普表示将把进口钢铁的关税从25%提高至50%。欧盟表示遗憾，并 准备反击。据美国媒体6月1日报道，美国商务部长卢特尼克称，尽管特朗普政府关税政策正在面临司法 纷争，但是美总统拥有其他可以实施关税的权力；即使关税政策被取消，美政府也会采取其他行动。 当地时间5月28日，美国 ...

Quantitative Models and Construction Methods 1. Model Name: Commodity Term Structure Simulation Portfolio - **Model Construction Idea**: This is a long-short strategy that dynamically holds long positions in commodities with high roll yields and short positions in commodities with low roll yields. The strategy aims to capture the term structure premium in commodity markets while reducing dependency on single market trends[33][35][34]. - **Model Construction Process**: 1. **Roll Yield Factor**: The roll yield is calculated to measure the contango or backwardation state of a commodity. 2. **Dynamic Positioning**: Commodities with high roll yields are dynamically allocated long positions, while those with low roll yields are allocated short positions. 3. **Portfolio Balancing**: The portfolio is rebalanced periodically to maintain the desired exposure to the roll yield factor[35][38]. - **Model Evaluation**: The strategy demonstrates flexibility in adapting to market risks and provides stable returns even in weak market trends[34]. 2. Model Name: Commodity Time-Series Momentum Simulation Portfolio - **Model Construction Idea**: This strategy captures medium- to long-term trends in commodity prices using multiple technical indicators. It dynamically allocates long positions to upward-trending assets and short positions to downward-trending assets[33][35]. - **Model Construction Process**: 1. **Trend Indicators**: Technical indicators such as moving averages and momentum are used to identify price trends. 2. **Dynamic Positioning**: Commodities with upward trends are allocated long positions, while those with downward trends are allocated short positions. 3. **Portfolio Rebalancing**: Positions are adjusted periodically based on updated trend signals[35][45]. - **Model Evaluation**: The strategy effectively tracks price trends but may underperform in volatile or trendless markets[45]. 3. Model Name: Commodity Cross-Sectional Inventory Simulation Portfolio - **Model Construction Idea**: This strategy uses inventory data to capture fundamental changes in commodity markets. Commodities with declining inventories are allocated long positions, while those with increasing inventories are allocated short positions[33][35]. - **Model Construction Process**: 1. **Inventory Factor**: Changes in inventory levels are calculated to assess supply-demand dynamics. 2. **Dynamic Positioning**: Commodities with declining inventories are dynamically allocated long positions, while those with increasing inventories are allocated short positions. 3. **Portfolio Rebalancing**: Positions are adjusted periodically based on updated inventory data[35][49]. - **Model Evaluation**: The strategy is effective in capturing fundamental supply-demand imbalances but may be sensitive to data accuracy and reporting delays[49]. --- Model Backtesting Results 1. Commodity Term Structure Simulation Portfolio - **Annualized Return**: 3.03% (YTD 2025)[33][38] - **Annualized Volatility**: Not explicitly mentioned - **Maximum Drawdown**: Not explicitly mentioned - **Sharpe Ratio**: Not explicitly mentioned - **Calmar Ratio**: Not explicitly mentioned 2. Commodity Time-Series Momentum Simulation Portfolio - **Annualized Return**: -1.33% (YTD 2025)[45] - **Annualized Volatility**: Not explicitly mentioned - **Maximum Drawdown**: Not explicitly mentioned - **Sharpe Ratio**: Not explicitly mentioned - **Calmar Ratio**: Not explicitly mentioned 3. Commodity Cross-Sectional Inventory Simulation Portfolio - **Annualized Return**: 2.88% (YTD 2025)[49] - **Annualized Volatility**: Not explicitly mentioned - **Maximum Drawdown**: Not explicitly mentioned - **Sharpe Ratio**: Not explicitly mentioned - **Calmar Ratio**: Not explicitly mentioned --- Quantitative Factors and Construction Methods 1. Factor Name: Roll Yield Factor - **Factor Construction Idea**: Measures the contango or backwardation state of a commodity to capture the term structure premium[35]. - **Factor Construction Process**: 1. Calculate the roll yield as the difference between the spot price and the futures price. 2. Normalize the roll yield across commodities to ensure comparability. 3. Rank commodities based on their roll yields and allocate positions accordingly[35]. 2. Factor Name: Trend Factor - **Factor Construction Idea**: Captures medium- to long-term price trends using technical indicators[35]. - **Factor Construction Process**: 1. Use moving averages, momentum, and other technical indicators to identify trends. 2. Normalize trend signals across commodities to ensure comparability. 3. Rank commodities based on their trend strength and allocate positions accordingly[35]. 3. Factor Name: Inventory Factor - **Factor Construction Idea**: Measures changes in inventory levels to capture supply-demand imbalances[35]. - **Factor Construction Process**: 1. Calculate the percentage change in inventory levels over a specified period. 2. Normalize inventory changes across commodities to ensure comparability. 3. Rank commodities based on their inventory changes and allocate positions accordingly[35]. --- Factor Backtesting Results 1. Roll Yield Factor - **Annualized Return**: Not explicitly mentioned - **Annualized Volatility**: Not explicitly mentioned - **Maximum Drawdown**: Not explicitly mentioned - **Sharpe Ratio**: Not explicitly mentioned - **Calmar Ratio**: Not explicitly mentioned 2. Trend Factor - **Annualized Return**: Not explicitly mentioned - **Annualized Volatility**: Not explicitly mentioned - **Maximum Drawdown**: Not explicitly mentioned - **Sharpe Ratio**: Not explicitly mentioned - **Calmar Ratio**: Not explicitly mentioned 3. Inventory Factor - **Annualized Return**: Not explicitly mentioned - **Annualized Volatility**: Not explicitly mentioned - **Maximum Drawdown**: Not explicitly mentioned - **Sharpe Ratio**: Not explicitly mentioned - **Calmar Ratio**: Not explicitly mentioned

Group 1 - The U.S. stock index futures fell over 0.3% following President Trump's announcement to double steel and aluminum tariffs to 50% [1] - Spot gold increased by 0.4%, reaching $3,329 per ounce [1] - WTI crude oil futures rose by 1.8%, priced at $61.96 per barrel, while Brent crude oil futures increased by 1.7% after OPEC+ raised oil supply [1]

Core Points - China has announced a unilateral visa exemption policy for four Gulf Arab countries, enhancing its diplomatic relations and economic cooperation with the Gulf Cooperation Council (GCC) nations [1][3] - The visa exemption policy is seen as a significant step in deepening ties with Gulf countries, which are crucial energy suppliers and trade partners for China [3][5] - The expansion of the visa-free policy reflects China's commitment to high-level openness and regional cooperation, as well as its ongoing efforts to strengthen cultural and educational exchanges [5][6] Economic Cooperation - The total trade volume between China and the GCC is projected to reach $288.09 billion in 2024, making it the second-largest trading partner after ASEAN, EU, US, South Korea, and Japan [5] - The ongoing free trade agreement negotiations, which began in 2004, have seen 11 rounds of discussions, indicating a strong potential for future economic collaboration [5] - The visa exemption is expected to significantly reduce the time cost of cross-border movement, facilitating large-scale exchanges and encouraging business and cultural interactions [5][9] Cultural Exchange - The visa exemption policy is anticipated to boost Chinese language education in GCC countries, allowing language enthusiasts to experience immersive learning opportunities in China [6] - Data shows that since the mutual visa exemption with the UAE and Qatar in 2018, there has been a notable increase in tourism and business exchanges between China and these countries [8] - The establishment of direct flight routes has improved connectivity, although there is still a need for more balanced distribution and reduced transfer costs [9] Future Prospects - There is optimism regarding the potential inclusion of more Middle Eastern countries in China's visa exemption policy, contingent on the political and social stability of those nations [9] - The historical friendship between China and Middle Eastern countries, coupled with recent geopolitical developments, may lead to further expansions of the visa-free network [9]

Core Points - The article discusses the impact of tariff uncertainties on the market, highlighting a slight increase in the US dollar and mixed performance in European stock indices [1][5] - A legal challenge to Trump's tariff agenda has been reported, with a US appellate court reinstating the tariff policy, providing the Trump administration with some relief [1][2] - Concerns about "stagflation and tariffs" are causing a decline in market risk appetite [1][2] Market Performance - European stock indices opened mixed, with the Euro Stoxx 50 down 0.02%, while the German DAX rose 0.1% and the UK FTSE 100 increased by 0.24% [3][5] - The 10-year US Treasury yield remained stable at 4.41% [4][5] - The S&P 500 futures showed little change, while the Nasdaq 100 futures fell by 0.1% [5] Currency and Commodity Movements - The US dollar index increased by 0.21% to 99.54 points, while the euro fell by 0.2% against the dollar to 1.1349 [5][8] - Gold prices decreased by 0.5% to $3,295.62 per ounce, and West Texas Intermediate crude oil fell by 0.2% to $60.79 per barrel [5]

投资咨询业务资格：证监许可【2012】669号 商品走势分化，化工板块集体拉升 ——中信期货晨报20250530 中信期货研究所 刘道钰 从业资格号F3061482 投资咨询号Z0016422 仲鼎 从业资格号F03107932 投资咨询号Z0021450 重要提示：本报告非期货交易咨询业务项下服务，其中的观点和信息仅作参考之用，不构成对任何人的投资建议。 我司不会因为关注、收到或阅读本报告内容而视相关人员为客户；市场有风险，投资需谨慎。 | 板块 | 品种 | 现价 | | | 日度涨跌幅周度涨跌幅月度涨跌幅季度涨跌幅今年涨跌幅 | | | | --- | --- | --- | --- | --- | --- | --- | --- | | 殷指 | 沪深300期货 | 3832 8 | 0.73% | -0.35W | 3.14% | -0.67% | -2.25% | | | 上证50期货 | 2673.6 | 0.314 | -0.724 | 2.47% | 0.29% | -0.16% | | | 中证500期货 | 5668.6 | 1 814 | 1924 | 3 2% | -2 59% | ...

1. Report Industry Investment Rating - No relevant content provided 2. Core View of the Report - The report presents the daily arbitrage data of various futures products on May 29, 2025, including power coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures, covering aspects such as basis, inter - period spreads, and inter - variety spreads [1][5][15][24][38][46] 3. Summary by Directory 3.1 Power Coal - Basis data from May 22 to May 28, 2025, shows a constant value of - 190.4 yuan/ton, and the 5 - 1, 9 - 1, and 9 - 5 spreads are all 0 [2] 3.2 Energy Chemicals 3.2.1 Energy Commodities - For INE crude oil, the basis on May 28, 2025, was - 5.39 yuan/ton. The fuel oil basis and the crude oil/asphalt ratio also have corresponding data from May 22 to May 28 [6] 3.2.2 Chemical Commodities - Basis, inter - period spreads, and inter - variety spreads of various chemical products such as natural rubber, methanol, PTA, etc., are provided from May 22 to May 28, 2025 [11] 3.3 Black Metals - Basis, inter - period spreads, and inter - variety spreads of black metal products including rebar, iron ore, coke, and coking coal are presented from May 22 to May 28, 2025 [16] 3.4 Non - Ferrous Metals 3.4.1 Domestic Market - Domestic basis data of copper, aluminum, zinc, lead, nickel, and tin from May 22 to May 28, 2025, are given [25] 3.4.2 London Market - LME spreads, Shanghai - London ratios, CIF prices, domestic spot prices, and import profit and loss data of copper, aluminum, zinc, lead, nickel, and tin on May 28, 2025, are provided [31] 3.5 Agricultural Products - Basis, inter - period spreads, and inter - variety spreads of agricultural products such as soybeans, soybean meal, soybean oil, etc., from May 22 to May 28, 2025, are shown [39] 3.6 Stock Index Futures - Basis and inter - period spreads of CSI 300, SSE 50, CSI 500, and CSI 1000 stock index futures are provided [47]