Core Viewpoint - Guangdong Hongda announced its 2025 semi-annual report during the board meeting held on August 21, 2025, highlighting the revenue composition for the first half of 2025 [2]. Revenue Composition - For the first half of 2025, Guangdong Hongda's revenue composition is as follows: - Mining operations accounted for 70.36% - Explosives and other income contributed 15.11% - Energy and chemical business represented 12.85% - Defense equipment made up 0.88% - Other industries accounted for 0.8% [2].

金融期货早评 宏观：关注杰克逊霍尔年会 【市场资讯】1）中国 8 月 LPR 报价维持不变：5 年期以上 LPR 为 3.5%，1 年期 LPR 为 3%。 2）美联储 7 月会议纪要：多数人认为通胀比就业风险高、释放鹰派信号，多人认为关税 影响或需时间全面显现，担心美债市场脆弱，关注稳定币影响。3）特朗普对美联储持续施 压，喊话被指涉抵押贷款欺诈的联储理事 Lisa Cook：立即辞职；Cook 回应：不会被胁迫 辞职。4）美联储主席大热门沃勒：加密货币技术"没啥好怕的"，美联储应与业界共推支付 创新。 【核心逻辑】国内方面，尽管，当下经济增速呈现边际放缓态势，但不必过分担忧。目前 一揽子稳经济政策正逐步落地见效，除育儿相关支持政策外，促消费等政策也在持续出台。 若后续经济数据继续走低，相关政策有望进一步加码发力。从已公布的数据来看，广义财 政收入呈现回暖态势，收入完成压力有所缓解；与此同时，财政支出增速加快，显示政府 稳增长力度明显。后续国内经济数据是否持续走弱仍存在不确定性，需持续跟踪高频数据。 海外方面，9 月是否降息仍存在不确定性，后续需重点关注美国经济数据的变化，以及杰 克逊霍尔年会上鲍威尔的发言 ...

1. Report Industry Investment Ratings - No specific industry investment ratings are provided in the report. 2. Core Views of the Report - Overseas, the market anticipates the possible end of the Russia - Ukraine conflict, leading to a decline in global risk - aversion sentiment. The market awaits the Jackson Hole Economic Policy Symposium for US interest - rate policy clues, with the US dollar remaining volatile and global risk appetite rising. Domestically, China's economic data in July slowed down and fell short of expectations. Policy stimulus expectations are strengthening, and the short - term uncertainty of tariff risks has decreased, leading to an overall increase in domestic risk appetite [2]. - For assets, the stock index is expected to oscillate strongly at a high level in the short term, with a short - term cautious long - position strategy. Treasury bonds are expected to oscillate and correct at a high level, and it is advisable to watch cautiously. In the commodity sector, black commodities are expected to correct in the short term, non - ferrous metals to oscillate, energy and chemicals to oscillate weakly, and precious metals to oscillate at a high level, all with a cautious watching strategy [2]. 3. Summary by Categories Macroeconomic and Financial - **Macroeconomic Situation**: Overseas, the expected end of the Russia - Ukraine conflict reduces global risk - aversion, and the market awaits US interest - rate policy clues. Domestically, economic data in July was weak, but policy stimulus expectations are rising, and the short - term tariff risk uncertainty is reduced [2]. - **Asset Performance and Strategies**: The stock index is expected to oscillate strongly at a high level in the short term (cautious long - position). Treasury bonds are expected to oscillate and correct at a high level (cautious watching). Black commodities are expected to correct (cautious watching), non - ferrous metals to oscillate (cautious watching), energy and chemicals to oscillate weakly (cautious watching), and precious metals to oscillate at a high level (cautious watching) [2]. Stock Index - **Market Performance**: The domestic stock market declined slightly due to the drag of insurance, military, and securities sectors. - **Fundamentals and Policy**: China's economic data in July was weak. Policy stimulus expectations are rising, and the short - term tariff risk uncertainty is reduced. The short - term upward macro - driving force is weakening, and attention should be paid to Sino - US trade negotiations and domestic incremental policies. A short - term cautious long - position strategy is recommended [3]. Precious Metals - **Market Performance**: Precious metals declined slightly on Tuesday. The probability of a September interest - rate cut fell below 90%, and inflation data showed resistance to the decline in inflation. - **Outlook**: The long - term positive logic remains unchanged. Attention should be paid to entry opportunities at key points [4]. Black Metals Steel - **Market Performance**: Steel futures and spot prices continued to decline slightly on Tuesday, with low trading volumes. - **Fundamentals**: Demand is weakening, inventory is rising, and high - temperature and rainy weather restricts building material demand. Supply is showing signs of reduction, and a short - term oscillating and weakening trend is expected [4][5]. Iron Ore - **Market Performance**: Iron ore futures and spot prices continued to decline slightly on Tuesday. - **Fundamentals**: Steel profits are high, but iron - making water production may decline due to approaching events. Supply is increasing, and port inventory is rising. Iron ore prices may weaken in the short term [5]. Ferrosilicon and Silicomanganese - **Market Performance**: Spot and futures prices of ferrosilicon and silicomanganese declined on Tuesday. - **Fundamentals**: Manufacturers' production enthusiasm is high, and production capacity is increasing. A short - term oscillating and weakening trend is expected [6]. Soda Ash - **Market Performance**: The main soda ash contract was weak on Tuesday. - **Fundamentals**: Supply is increasing, demand is weak, and profits are declining. The high - supply, high - inventory, and weak - demand pattern persists, and the upside space is limited [7]. Glass - **Market Performance**: The main glass contract was weak on Tuesday. - **Fundamentals**: Supply is stable, demand is difficult to improve significantly, and profits are decreasing. The price has declined recently [7]. Non - Ferrous Metals and New Energy Copper - **Market Performance**: The US economy is slowing down, and copper demand is expected to weaken. - **Outlook**: Copper prices may not remain strong in the long run as supply is relatively sufficient and demand is weakening [9]. Aluminum - **Market Performance**: Aluminum prices declined on Tuesday, and the overall sentiment in the commodity market was weak. - **Fundamentals**: Domestic social inventory is rising, and the medium - term upside space is limited. The short - term oscillation trend is expected, but the rebound foundation is weakening [9]. Aluminum Alloy - **Market Performance**: The supply of scrap aluminum is tight, and production costs are rising. - **Outlook**: The short - term price is expected to oscillate strongly, but the upside space is limited due to weak demand [9]. Tin - **Market Performance**: The combined operating rate in Yunnan and Jiangxi decreased slightly. Terminal demand is weak, and inventory decreased this week. - **Outlook**: The price is expected to oscillate in the short term, but the upside space is restricted by high - tariff risks, production resumption expectations, and weak demand [10]. Lithium Carbonate - **Market Performance**: The main lithium carbonate contract declined on Tuesday. - **Fundamentals**: There is a short - term positive impact on supply, and the industry profit is improving. It is expected to oscillate at a high level [11]. Industrial Silicon - **Market Performance**: The main industrial silicon contract declined on Tuesday. - **Outlook**: It is expected to oscillate within a range as black commodities weaken and polysilicon oscillates [11]. Polysilicon - **Market Performance**: The main polysilicon contract declined on Tuesday. - **Fundamentals**: The number of warehouse receipts is increasing, and the industry is promoting self - regulation. It is expected to oscillate at a high level [12][13]. Energy and Chemicals Crude Oil - **Market Performance**: Oil prices declined slightly as the market assesses the prospects of a cease - fire in the Russia - Ukraine conflict. - **Outlook**: Oil prices are expected to remain weak in the long term [14]. Asphalt - **Market Performance**: The asphalt price is following the decline of crude oil, and the spot market is weak. - **Outlook**: It is expected to remain in a weak oscillation pattern as inventory reduction is limited [14]. PX - **Market Performance**: Crude oil price decline led to a correction in the energy - chemical sector. PX is in a tight supply situation in the short term. - **Outlook**: It is expected to oscillate and wait for changes in PTA plants [14]. PTA - **Market Performance**: Pakistan's anti - dumping on PTA exports has a limited impact. Downstream demand has rebounded slightly. - **Outlook**: The supply is limited, and demand is rising slightly. The price is supported but the upside space is restricted [15]. Ethylene Glycol - **Market Performance**: Port inventory has decreased slightly, and downstream demand has rebounded. - **Outlook**: Supply and demand are expected to increase slightly, and it will maintain an oscillating pattern [15]. Short - Fiber - **Market Performance**: The short - fiber price declined due to sector resonance. Terminal orders have increased slightly. - **Outlook**: It may continue to be short - sold in the medium term, waiting for further improvement in terminal orders [15]. Methanol - **Market Performance**: There is a regional differentiation, with the inland strong and the port weak. - **Outlook**: It is expected to oscillate weakly in the short term [16][17]. PP - **Market Performance**: Supply pressure is increasing, and downstream demand is rising slightly. - **Outlook**: The 09 contract is expected to oscillate weakly, and the 01 contract should be monitored for peak - season restocking [17]. LLDPE - **Market Performance**: Supply pressure remains high, and demand is showing signs of improvement. - **Outlook**: The 09 contract is expected to oscillate weakly, and the 01 contract should be monitored for demand and restocking [17]. Agricultural Products US Soybeans - **Market Performance**: The CBOT November soybean contract declined. The market is waiting for the results of the ProFarmer crop tour. - **Field Conditions**: The number of soybean pods in some states is higher than average, and moist soil may promote growth [18]. Soybean and Rapeseed Meal - **Market Performance**: The pressure of soybean and soybean meal inventory in domestic oil mills has eased. - **Supply Situation**: Canadian rapeseed imports are restricted, but the purchase of Australian rapeseed may diversify supply sources [19]. Soybean and Rapeseed Oil - **Market Performance**: Rapeseed oil port inventory is decreasing, and soybean oil has high - inventory pressure in the short term. - **Outlook**: Rapeseed oil supply is expected to shrink, and soybean oil's supply - demand situation will improve in the fourth quarter [19]. Fats and Oils - **Market Performance**: International crude oil and Chicago soybean oil prices declined, which will drag down the Malaysian palm oil market. - **Fundamentals**: Palm oil production has a small increase, and exports have improved significantly. However, the inverted price difference may affect future demand [19]. Corn - **Market Performance**: Northeast corn prices are weak, and the market is inactive. - **Supply Outlook**: New corn will be listed in August, and the supply is expected to be sufficient. Corn futures are weak [20]. Pigs - **Market Performance**: The spot pig price is weak, and the supply is increasing. - **Outlook**: The price decline has slowed down, and attention should be paid to the consumption peak during the start of the school term [20][21].

Group 1 - The core viewpoint indicates that the equity market continues to strengthen, with the A-share market showing a strong upward trend and daily trading volume exceeding 2.1 trillion yuan, driven by high market sentiment and supportive policies [2][10][13] - The report highlights that both domestic fundamentals and policies are favorable, with July macroeconomic data showing steady improvement in production and consumption, alongside policy measures like consumer loan interest subsidies that inject liquidity into the market [2][10][14] - The report suggests that the key focus for the market is whether the Shanghai Composite Index can stabilize around the 3700-point level, which is seen as a critical point for future market trends [3][4][14] Group 2 - The report emphasizes that the current market sentiment is robust, with the dual innovation sector likely to present short-term investment opportunities, while the long-term outlook remains positive due to policy support [4][15] - It is recommended to adopt a "barbell strategy" in asset allocation, maintaining positions in strong sectors like telecommunications and innovative pharmaceuticals while selectively investing in sectors like photovoltaics and cultural tourism [4][15] - The report notes that the bond market is experiencing downward pressure due to a significant shift of funds towards the equity market, making it challenging for the bond market to find support in the short term [6][38] Group 3 - In the commodity market, the report states that gold is unlikely to perform well in the short term, while energy commodities like crude oil show signs of stabilization [7][45] - The recommendation for gold is to reduce positions in the short term while maintaining a watchful stance for potential long-term opportunities [8][46]

Investment Insights - The market sentiment remains strong with margin trading exceeding 2 trillion, indicating a potential overheating risk [1][4] - The cyclical sector is gaining strength driven by expectations from projects like the Xinjiang-Tibet Railway, while the rotation between growth and cyclical stocks continues [1][4] Equity Market Overview - Small-cap growth stocks significantly outperformed last week, while the volatility of both large and small-cap styles increased [6] - The dispersion of excess returns among industry indices is at a near one-year low, indicating a slowdown in industry rotation [6] - The trading concentration has increased, with the top 100 stocks and top 5 industries seeing a rise in transaction value share [6] Commodity Market Analysis - Precious metals and agricultural products showed increased trend strength, while other sectors remained stable or declined [15][16] - The volatility in black and energy chemical sectors remained stable, with a slight decrease in the volatility of non-ferrous metals [15][16] Options Market Insights - Implied volatility for the Shanghai Stock Exchange 50 and CSI 1000 indices continues to decline, reflecting a market that is both strong and cautious [24] Convertible Bond Market Trends - The premium rate for convertible bonds is approaching a one-year high, while the proportion of bonds with low conversion premiums is increasing, indicating structural growth characteristics [26]

Report Industry Investment Ratings No relevant information provided. Core Views of the Report - Domestically, the economy shows downward pressure as the manufacturing PMI declines. It enters a policy observation period, and incremental policies may be introduced if economic data continues to weaken. Overseas, it's an inflation observation period. Despite a hawkish speech from Powell, the Fed's core targets are employment and inflation. With poor non - farm data and high inflation in the US service sector, there may be fluctuations in the Fed's interest - rate cut expectations [2]. - For the RMB exchange rate, without new shock factors, it is expected to be supported in the 7.15 - 7.23 range, with a likely central anchor at 7.20 [4]. - The A - share market is expected to show a structural and volatile trend. The adjustment of US tariff policies may reduce risk appetite [6]. - For the bond market, there is a mild price repair. Although the stock market is strong, the bond market is at most suppressed, and a band - trading strategy is recommended [7]. - For the shipping industry, the container shipping index is expected to be volatile and may decline in the medium - term [9]. - In the precious metals market, due to the increased expectation of a Fed rate cut in September, gold and silver are expected to be strong in the medium - to - long - term and are mainly controlled by bulls in the short - term [11]. - In the non - ferrous metals market, copper may be volatile and weak; aluminum is expected to be under pressure and volatile; alumina is expected to be weak; cast aluminum alloy is expected to be volatile; zinc is expected to rebound after reaching the bottom; nickel and stainless steel are expected to be volatile in the short - term; tin may rise slightly; and the recommended strategies vary for each metal [13][15][16][17][18][19]. - In the black metals market, steel products' prices have limited upward and downward space; iron ore is expected to be strong; coking coal and coke may have increased price fluctuations, and the medium - to - long - term trend is not pessimistic; silicon iron and silicon manganese are not overly pessimistic despite the decline in sentiment [21][23][26][27]. - In the energy and chemical market, crude oil is under supply pressure and has limited upward space; LPG is in a loose supply situation; PX - TA can be considered for expanding processing fees at low prices; MEG - bottle chips are expected to be range - bound; methanol's fundamentals are weak in the short - term; PP is driven up by coal prices; PE needs to wait for demand recovery; PVC's pricing returns to the industry, and short - selling is recommended; pure benzene and styrene are expected to be volatile; fuel oil is weak; low - sulfur fuel oil is recommended for short - selling; asphalt is expected to be weakly volatile; urea is expected to be weakly volatile; glass, soda ash, and caustic soda show a pattern of near - term weakness and long - term strength; pulp is expected to be volatile after a decline; and propylene's price in the Shandong market has a slight increase [31][33][35][37][39][42][45][47][48][50][51][53][54][56][58][59][60][61][66]. - In the agricultural products market, for live pigs, short - selling at high prices is recommended; for oilseeds, long - buying in the far - month contracts is recommended [67][69]. Summaries by Relevant Catalogs Financial Futures Macro - Market information includes policies on financial support for new - type industrialization in China, the US service - sector PMI causing concerns about stagflation, Trump's statements on tariffs and the Fed, and the high proportion of seriously overdue consumer loans in the US [1]. RMB Exchange Rate - The previous trading day's RMB exchange - rate performance shows a decline in the on - shore RMB against the US dollar. Trump's tariff policies and the decline in the US non - manufacturing index are important factors. Without new shock factors, the short - term exchange rate is expected to be supported in the 7.15 - 7.23 range [3][4]. Stock Index - The stock index continued to rise yesterday, and the small - cap stocks were strong. The A - share market is expected to show a structural and volatile trend due to policy support and the adjustment of US tariff policies [5][6]. Treasury Bonds - Treasury futures fluctuated upward, and the price is in a mild repair state. The bond market is at most suppressed by the strong stock market, and a band - trading strategy is recommended [7]. Shipping - The container shipping index futures opened low and fluctuated. The spot prices of major shipping companies have been continuously reduced, and the futures price is expected to be volatile and may decline in the medium - term [8][9]. Commodities Non - Ferrous Metals - **Gold & Silver**: The price of precious metals rose due to the increased expectation of a Fed rate cut in September. They are expected to be strong in the medium - to - long - term and are mainly controlled by bulls in the short - term [11]. - **Copper**: The copper price rebounded slightly, mainly to correct the previous decline. It may be volatile and weak in the short - term, and investors are advised to hold cash and wait [13][14]. - **Aluminum Industry Chain**: Aluminum is expected to be under pressure and volatile; alumina is expected to be weak; cast aluminum alloy is expected to be volatile, and an arbitrage strategy can be considered when the price difference is large [15][16]. - **Zinc**: Zinc is expected to rebound after reaching the bottom. The supply is gradually changing from tight to surplus, and the demand is weak in the traditional off - season [16][17]. - **Nickel & Stainless Steel**: They are expected to be volatile in the short - term. The fundamentals of nickel have no obvious changes, and the supply of nickel - iron is supported by the expected increase in steel - mill production in August. The stability of the stainless - steel price needs to be tested [18]. - **Tin**: Tin rose slightly, showing strong resilience. The supply problem has not been resolved, and the demand weakness has not fully affected the price. Inventory hedging can be considered at an appropriate time [19]. Black Metals - **Steel Products**: Steel products' prices have limited upward and downward space. Although the export orders have weakened, the market pressure is temporarily relieved, and the coal - mine inspection and military - parade limit - production expectations provide support [20][21]. - **Iron Ore**: Iron ore is expected to be strong. The short - term fundamentals are good, and the supply is neutral while the demand is expected to remain high. The price is expected to break through the 800 - yuan pressure level [22][23]. - **Coking Coal & Coke**: The prices of coking coal and coke rose strongly. The "anti - involution" policy may lead to increased price fluctuations, and the medium - to - long - term trend is not pessimistic. It is not recommended for non - spot - handling investors to participate in the 09 - contract delivery game [25][26]. - **Silicon Iron & Silicon Manganese**: Although the sentiment has declined, there is no need to be overly pessimistic. The supply is increasing, and the demand is supported by high steel - mill profits in the short - term, but the long - term demand is uncertain [27][28]. Energy and Chemicals - **Crude Oil**: The crude oil price fell overnight, and the market is under supply pressure. The seasonal demand is weakening, and the upward space is limited [30][31]. - **LPG**: LPG is in a loose supply situation. The domestic supply is abundant, and the demand has little change. The price is expected to be under pressure [32][33]. - **PX - PTA**: The PX - TA price has fallen. The current TA processing fee is at a historical low, and there are many expected TA maintenance plans. It is recommended to expand the processing fee at low prices [34][35]. - **MEG - Bottle Chips**: The "anti - involution" premium has been squeezed out, and the fundamentals have insufficient driving force. They are expected to be range - bound [36][37]. - **Methanol**: The "anti - involution" sentiment has subsided, and the methanol market has returned to fundamentals, which are weak in the short - term. Attention should be paid to downstream resistance and port - to - inland price differences [38][39]. - **PP**: PP's price rose driven by coal prices. The supply pressure is increasing, and the demand is weak, so the market is in a weak pattern [40][42]. - **PE**: PE's price was driven up by the coal - market. The current demand is weak, and the inventory is high, but the demand is expected to recover in August [43][45]. - **PVC**: PVC's pricing has returned to the industry. The supply is increasing, the demand is weak, and the inventory is rising. Short - selling is recommended [46][47]. - **Pure Benzene & Styrene**: Pure benzene and styrene are expected to be volatile. The supply and demand of pure benzene are both increasing, and the supply of styrene is expected to increase in August and September [48][50]. - **Fuel Oil & Low - Sulfur Fuel Oil**: Fuel oil is weak, and low - sulfur fuel oil is recommended for short - selling due to weak supply, demand, and high inventory [51][53]. - **Asphalt**: Asphalt is expected to be weakly volatile, following the cost - end. The supply has increased, but the demand is affected by weather and funds. The medium - to - long - term demand is expected to improve [53][54]. - **Urea**: Urea is under pressure. Although the export demand provides some support, the agricultural demand is weakening [55][56]. - **Glass, Soda Ash & Caustic Soda**: They show a pattern of near - term weakness and long - term strength. Soda ash has a strong supply and weak demand; glass is in a weak - balance state; and caustic soda may start the delivery logic in August [57][58][59][60]. - **Paper Pulp**: Paper pulp is expected to be volatile after a decline. The supply and inventory are high, and the demand has no obvious long - term increase, but there is seasonal support in August [61][62]. - **Propylene**: The price of propylene in the Shandong market has a slight increase. The supply is loose, and the demand has little change. The cost is affected by multiple factors [64][66]. Agricultural Products - **Live Pigs**: The spot price of live pigs is stable, and the supply exceeds demand. It is recommended to short - sell at high prices [67]. - **Oilseeds**: The outer - market US soybeans are weak, and the inner - market soybeans are pricing the far - month supply gap. It is recommended to long - buy in the far - month contracts [68][69].

Group 1: Overall Market Conditions - The proportion of short positions in commodities increased this week, mainly due to the decline in the factor strength of the energy and chemical sector. Currently, the relatively strong sectors in the cross - section are precious metals and agricultural products, while the relatively weak sector is the energy sector [3]. - In the precious metals sector, the sequential momentum of gold has marginally recovered, and the differentiation within the sector has narrowed. In the non - ferrous sector, the position factor has continued to decline slightly, and the cross - sectional differentiation has expanded, with copper and zinc being on the weaker end [3]. - In the black sector, the short - term momentum factor has marginally decreased, but the long - term factor has gradually stabilized, and the term structure differentiation has narrowed. In the energy and chemical sector, the cross - sectional momentum has declined overall, and PTA, soda ash, and glass are on the weaker end of the sector's cross - section [3]. - In the agricultural products sector, the positions of oilseeds and meals have both decreased slightly, and the differentiation has narrowed [3]. Group 2: Factor Returns - Last week's returns and monthly returns for different factors: supply factor had a last - week return of 1.64% and a monthly return of 0.00%; demand factor had a last - week return of 1.51% and a monthly return of 0.00%; inventory factor had a last - week return of 1.20% and a monthly return of - 2.28%; spread factor had a last - week return of 3.90% and a monthly return of 2.50%; profit factor had a last - week return of 0.00% and a monthly return of 0.00%; the cumulative return of major categories last week was 1.64% and this month was - 0.04% [7]. Group 3: Methanol Analysis - In terms of strategy net value, last week, the supply factor strengthened by 0.21%, the demand factor increased by 0.13%, the inventory factor weakened by 0.19%, the spread factor increased by 0.09%, and the composite factor increased by 0.16%. This week, the comprehensive signal for short positions continues. On the fundamental factor side, the capacity utilization rate of domestic methanol plants has increased, and the import arrival volume has increased slightly, indicating a short position on the supply side; the operating rates of formaldehyde and chloride plants have increased, but the capacity utilization rates of acetic acid and MTBE plants have decreased, making the demand side neutral; the inventory of domestic methanol manufacturers has decreased, indicating a long position on the inventory side; the closing price of the main methanol futures contract and the 9 - 1 spread on the futures market have both released short - position signals, and the spread side has turned to a short position [4]. Group 4: Glass Analysis - In terms of strategy net value, last week, the inventory factor decreased by 2.28%, the spread factor increased by 2.50%, and the composite factor weakened by 0.04%. This week, the comprehensive signal is a short position. On the fundamental factor side, the capacity utilization rate of float glass has remained flat month - on - month, keeping the supply side neutral; the number of commercial housing transactions in 30 large - and medium - sized Chinese cities has increased slightly, making the demand side neutral; float glass enterprises have continued to reduce inventory, indicating a long position on the inventory side; the spot prices of the float glass markets in Central China, North China, and South China have all released short - position signals, indicating a short position on the spread side; the pre - tax gross profit of float glass made from steam coal has declined, indicating a short position on the profit side [7]. Group 5: Iron Ore Analysis - In terms of strategy net value, last week, each factor remained unchanged, and this week, the comprehensive signal remains neutral. The arrival volume at Qingdao Port has increased significantly, and the shipping volumes of BHP and Rio Tinto have increased, turning the supply side into a short - position feedback, but the overall signal remains neutral. The consumption of iron ore powder for sintering in steel mills and the proportion of sintered ore in the furnace have decreased, and the strength of the long - position feedback on the demand side has decreased slightly, but the signal is still neutral. The iron ore concentrate at ports and the domestic sintering iron ore powder in steel mills have both reduced inventory slightly, weakening the short - position feedback on the inventory side. The price center of PB powder has shifted down, further weakening the strength of the long - position feedback on the spread side [7]. Group 6: Lead Analysis - In terms of strategy net value, last week, the supply factor strengthened by 0.52%, the demand factor decreased by 0.51%, the spread factor increased by 0.46%, and the composite factor strengthened by 0.15%. This week, the comprehensive signal has changed from a short position to neutral. The price of domestic lead concentrates from SMM has decreased, and the profit of tax - free recycled lead has decreased, turning the supply - side signal to neutral. The LME lead inventory and registered warrants have increased, turning the inventory side into a short - position feedback, but the overall signal remains neutral. The spread between the near and far months of LME lead has widened, strengthening the short - position feedback on the spread side [7].

以下文章来源于紫金天风期货研究所 ，作者紫金天风 紫金天风期货研究所 . 紫金天风期货研究所官方订阅号 来源 | 紫金天风期货研究所 编辑 | 杨兰 审核 | 浦电路交易员 2025年中国经济面临的关键考题之一，是如何在复杂国际环境下通过出口撬动增长引擎。作为国民经 济"压舱石"的大宗商品，其6月出口同环比数据不仅折射出全球产业链重构的微妙信号，更暗藏中国的 产业韧性。 最新数据显示，6月大宗商品及其下游出口呈现结构分化与趋势调整，比如汽车船舶等制成品出口同 比保持相对强势，但光伏产业链出口出现承压状态。 本次课题我们聚焦大宗商品出口持续性展开研究，系统梳理了各主要大宗商品及其核心下游出口的6 月环比，6月同比，1-6月累计同比等关键指标。 从我们统计的数据来看，平板玻璃、电解铝、锌锭、铅锭、镍、碳酸锂等品种及特定品种下游如复合 肥、焊锡等出口持续性较好。 | 板块 | 品种名/ | 6月环比 | 6月同比 | 1-6月 | | --- | --- | --- | --- | --- | | | 核心下游 | | | 累计同比 | | | PTA | -3.8% | -39.9% | -16.9% | | | ...

Quantitative Models and Construction Methods 1. Model Name: Commodity Term Structure Strategy - **Model Construction Idea**: This strategy utilizes the roll yield factor to capture the contango or backwardation state of commodities, dynamically going long on commodities with high roll yields and shorting those with low roll yields[51] - **Model Construction Process**: - The roll yield factor is calculated based on the term structure of commodity futures prices - The strategy dynamically adjusts positions to go long on commodities with high roll yields and short on those with low roll yields[51] - **Model Evaluation**: The strategy is designed to exploit the carry factor in commodity markets, providing a systematic approach to capturing term structure-related returns[51] 2. Model Name: Commodity Time-Series Momentum Strategy - **Model Construction Idea**: This strategy uses multiple technical indicators to capture medium- to long-term trends in domestic commodities, dynamically going long on assets with upward trends and shorting those with downward trends[51] - **Model Construction Process**: - Technical indicators such as moving averages and momentum signals are used to identify trends - Positions are dynamically adjusted based on the identified trends, with long positions in upward-trending assets and short positions in downward-trending assets[51] - **Model Evaluation**: The strategy systematically captures momentum effects in commodity markets, leveraging trend-following behavior[51] 3. Model Name: Commodity Cross-Sectional Inventory Strategy - **Model Construction Idea**: This strategy uses inventory factors to capture changes in the fundamentals of domestic commodities, dynamically going long on assets with declining inventories and shorting those with increasing inventories[51] - **Model Construction Process**: - Inventory data is used to construct factors reflecting supply-demand dynamics - Positions are dynamically adjusted to go long on commodities with declining inventories and short on those with increasing inventories[51] - **Model Evaluation**: The strategy effectively captures fundamental changes in commodity markets, providing a systematic approach to exploiting inventory-related signals[51] 4. Model Name: Commodity Fusion Strategy - **Model Construction Idea**: This strategy combines the above three sub-strategies (term structure, time-series momentum, and cross-sectional inventory) using equal weighting to create a diversified commodity investment approach[49] - **Model Construction Process**: - The three sub-strategies are equally weighted to form a composite strategy - The combined strategy dynamically adjusts positions based on the signals from the sub-strategies[49] - **Model Evaluation**: The fusion strategy aims to diversify risk and enhance returns by integrating multiple sources of alpha in commodity markets[49] --- Model Backtesting Results 1. Commodity Term Structure Strategy - **Two-Week Return**: -1.39%[54] - **Year-to-Date Return**: 1.38%[56] 2. Commodity Time-Series Momentum Strategy - **Two-Week Return**: 1.99%[54] - **Year-to-Date Return**: -1.97%[61] 3. Commodity Cross-Sectional Inventory Strategy - **Two-Week Return**: -0.26%[54] - **Year-to-Date Return**: 4.00%[68] 4. Commodity Fusion Strategy - **Two-Week Return**: 0.12%[49] - **Year-to-Date Return**: 1.14%[49] --- Quantitative Factors and Construction Methods 1. Factor Name: Roll Yield Factor - **Factor Construction Idea**: Measures the contango or backwardation state of commodity futures markets[51] - **Factor Construction Process**: - Calculated based on the difference between near-month and far-month futures prices - Positive roll yield indicates backwardation, while negative roll yield indicates contango[51] 2. Factor Name: Momentum Factor - **Factor Construction Idea**: Captures the trend-following behavior in commodity prices[51] - **Factor Construction Process**: - Derived from technical indicators such as moving averages and momentum signals - Positive momentum indicates an upward trend, while negative momentum indicates a downward trend[51] 3. Factor Name: Inventory Factor - **Factor Construction Idea**: Reflects supply-demand dynamics in commodity markets[51] - **Factor Construction Process**: - Based on changes in inventory levels - Declining inventories indicate tightening supply, while increasing inventories indicate loosening supply[51] --- Factor Backtesting Results 1. Roll Yield Factor - **Performance**: Contributed positively to the term structure strategy, with key contributors being iron ore, ethylene glycol, and methanol[58] 2. Momentum Factor - **Performance**: Contributed positively to the time-series momentum strategy, with key contributors being hot-rolled coil, rebar, and zinc[67] 3. Inventory Factor - **Performance**: Contributed positively to the cross-sectional inventory strategy, with key contributors being PVC, zinc, and rubber[73]

Core Viewpoint - The commodity market in the first half of 2025 exhibited a narrow fluctuation trend, with the China Securities Commodity Index showing a slight annual increase of 0.20% and a volatility of 10.27% [1] Market Overview - The commodity market experienced increased volatility due to frequent macro events, with weak overall demand impacting industrial products more significantly than agricultural products [2] - Three major macro "black swan" events occurred in the first half of 2025, including U.S. sanctions on Russian oil, a global tariff storm, and conflicts in the Middle East, all contributing to market fluctuations [2] Performance Characteristics - There was a clear divergence between agricultural and industrial products, with agricultural prices being more stable and influenced by supply-side changes, while industrial prices were more sensitive to demand fluctuations [3] - Different types of events caused further differentiation within the commodity market, with industrial products reacting strongly to demand-side shocks while agricultural products remained relatively stable [3] Index Returns Attribution 1. **Term Structure Contribution** - The term structure yield for the first half of 2025 was 1.07%, showing a slight increase from 2024, indicating a potential improvement in global economic growth [6] 2. **Sector Contribution** - Agricultural products experienced slight price increases with lower volatility, while industrial products faced larger price declines and fluctuations, reflecting insufficient global demand [7] 3. **Product Contribution** - Precious metals and agricultural products contributed positively to returns, while black metals and energy chemicals generally contributed negatively [8] Macro Indicators 1. **Macro Level** - The China Securities Commodity Index serves as an important reference for macroeconomic conditions, showing a strong correlation with PPI, which may lead by about two months [9] 2. **Micro Level** - Sub-sector indices show a high correlation with the profit totals of corresponding industries, providing timely insights for business decision-making [12] Comparative Analysis - The China Securities Commodity Index demonstrates a clear advantage in terms of risk and return compared to major overseas commodity indices, making it an attractive option for domestic and international investors [18] - The correlation between the China Securities Commodity Index and major overseas indices is relatively low, indicating a unique positioning in the market [21]