资产配置与金融工程 证券研究报告 A股领涨全球权益，股债负相关性达高位 ——大类资产周报（20250818-20250822） 分析师：朱定豪 SAC执业资格证书编码: S0020521120002 邮箱：zhudinghao@gyzq.com.cn 2025年8月25日 分析师：汤静文 SAC执业资格证书编码: S0020524060001 邮箱：tangjingwen@gyzq.com.cn 联系人：黄雯瑜 邮箱：huangwenyu@gyzq.com.cn 摘要 一、本周大类资产交易主线 本周宏观增长因子继续向上，通胀高频因子反弹态势减弱，价格压力仍然较高。A股领涨全球（上证+3.49%、创业板+5.85%）， 科技成长主导，50ETF隐含波动率（IV）上升至19.78%，美股分化，道指创新高（+1.53%）而纳指回调（-0.58%），鲍威尔降息 预期提振风险偏好，国内债市调整显著（30年期国债期货跌1.43%），股债负相关性达历史高位，"跷跷板效应"凸显，外盘商品 强势（布油+2.14%、COMEX黄金+1.02%）受地缘风险与通胀对冲驱动，内盘商品普跌（南华商品指数-0.44%）；美元趋弱（美 元指 ...

南华商品指数：农产品板块上涨，黑色板块领跌 王怡琳 2025-08-19 16:47:06 摘要：依照相邻交易日的收盘价计算，今日南华综合指数下跌-0.34%。板块指数中，只有南华农产品指数，上涨 0.09%，其余板块均是下跌，跌幅最大的板块是南华黑色指数，跌幅为-0.62%，跌幅最小的板块是南华有色金属指 数，跌幅为-0.39%。 主题指数中，涨幅最大的主题指数是油脂油料指数，上涨0.28%，涨幅最小的主题指数是煤制 化工指数，涨幅为0.04%，跌幅最大的主题指数是建材指数，跌幅为-1.01%，跌幅最小的主题指数是石油化工指 数，跌幅为-0.2%。 商品期货单品种指数中，涨幅最大的单品种指数是尿素，上涨3. 注 : (1) 文中的涨转版){今日收盘价--昨日收盘价)与昨日收盘价的比值; 文中的贡献度为涨跌幅和权直的乘积; (2) 南华商品指数刷除了商品合约换月时的价老。反映了投资商品期货的喜实收登。 (3) 文中所使用的贡献度计算方法为 - 某品种当日涨跌幅/ 江|各品种当日涨跌幅/ 黄色鼓摇条代表品种当日上涨，蓝色数据条代表品种当日下 数据来源：南华期货 免责声明 是一面都能够落实完全"。 来源：网络网站 ...

1. Report Industry Investment Rating No information provided. 2. Core Viewpoints of the Report - This week, the Nanhua Composite Index rose 13.09 points, a 0.52% increase. The most influential varieties were palm oil and soda ash. Palm oil's variety index had a 5.11% change and a 0.23% contribution, while soda ash's variety index had a 4.73% change and a 0.15% contribution [1][2]. - The Nanhua Industrial Products Index rose 13.09 points, a 0.36% increase. The most influential varieties were soda ash and caustic soda, with contribution degrees of 0.2% and 0.13% respectively [1][2]. - The Nanhua Metal Index rose 28.41 points, a 0.44% increase. The most influential variety was lithium carbonate, with a contribution of 0.45% [1][2]. - The Nanhua Energy and Chemical Index rose 9.95 points, a 0.59% increase. The most influential variety was soda ash, with a contribution of 0.29% [2]. - The Nanhua Agricultural Products Index rose 13.75 points, a 1.25% increase. The most influential variety was palm oil, with a contribution of 0.68% [2]. 3. Summary by Relevant Catalogs 3.1 Nanhua Commodity Index Weekly Data | Index Name | This Week's Closing | Last Week's Closing | Change in Points | Change Rate | This Week's Maximum | This Week's Minimum | Amplitude | | --- | --- | --- | --- | --- | --- | --- | --- | | Composite Index NHCI | 2536.21 | 2523.12 | 13.09 | 0.52% | 2556.20 | 2523.12 | 33.08 | | Precious Metals Index NHPMI | 1253.84 | 1269.49 | -15.65 | -1.23% | 1269.49 | 1253.13 | 16.36 | | Industrial Products Index NHII | 3658.04 | 3644.95 | 13.09 | 0.36% | 3713.92 | 3644.95 | 68.97 | | Metal Index NHMI | 6466.21 | 6437.79 | 28.41 | 0.44% | 6553.85 | 6437.79 | 116.06 | | Energy and Chemical Index NHECI | 1687.68 | 1677.73 | 9.95 | 0.59% | 1709.71 | 1677.73 | 31.98 | | Non - ferrous Metals Index NHNFI | 1714.49 | 1697.73 | 16.76 | 0.99% | 1724.76 | 1697.73 | 27.03 | | Black Index NHFI | 2589.38 | 2596.44 | -7.06 | -0.27% | 2663.73 | 2582.71 | 81.02 | | Agricultural Products Index NHAl | 1112.30 | 1098.55 | 13.75 | 1.25% | 1122.89 | 1098.55 | 24.33 | | Nanhua Comprehensive Consumption NHCIMi | 1193.84 | 1186.42 | 7.42 | 0.63% | 1207.13 | 1186.42 | 20.71 | | Energy Index NHEI | 1064.36 | 1066.74 | -2.38 | -0.22% | 1084.31 | 1058.07 | 26.23 | | Petrochemical Ammonia NHPCI | 948.97 | 947.25 | 1.72 | 0.18% | 956.95 | 945.19 | 11.76 | | Coal - based Chemical Engineering Consumption NHCCI | 1033.41 | 1042.65 | -9.24 | -0.89% | 1051.86 | 1033.41 | 18.45 | | Black Raw Materials Index NHFMI | 1072.04 | 1071.66 | 0.37 | 0.03% | 1109.06 | 1067.01 | 42.05 | | Building Materials Index NHBMI | 761.44 | 764.49 | -3.05 | -0.40% | 777.95 | 761.44 | 16.52 | | Oilseeds and Oils Index NHOOl | 1284.28 | 1256.32 | 27.97 | 2.23% | 1302.40 | 1256.32 | 46.08 | | Economic Crops Index NHAECI | 911.96 | 896.92 | 15.04 | 1.68% | 911.96 | 896.92 | 15.04 | [3] 3.2 Nanhua Variety Index Strength - Weakness Arbitrage Data The report provides the current value, previous value, change, and ranking of various variety index ratios, such as the ratio of the precious metals index to the composite index, the ratio of the industrial products index to the composite index, etc. [6] 3.3 Contribution Degree of Each Variety's Daily Change Rate to the Index Change Rate The report shows the average position - holding volume this week, the环比 increase rate, the position - holding volume ratio, and the contribution degree of each futures variety to the index change rate, including soybean meal, rebar, fuel oil, etc. [8] 3.4 Weekly Data of Nanhua's Various Sector Indexes - **Nanhua Industrial Products Index**: Closed at 3658.04 this week, up 0.36%. The most influential varieties were soda ash, caustic soda, natural rubber, etc. [10] - **Nanhua Metal Index**: Closed at 6466.21 this week, up 0.44%. The most influential varieties were lithium carbonate, copper, and iron ore [10]. - **Nanhua Energy and Chemical Index**: Closed at 1687.68 this week, up 0.59%. The most influential varieties were soda ash, caustic soda, and natural rubber [10]. - **Nanhua Agricultural Products Index**: Closed at 1112.30 this week, up 1.25%. The most influential varieties were palm oil, soybean oil, and rapeseed oil [10]. - **Nanhua Black Index**: Closed at 2589.38 this week, down 0.27%. The most influential varieties were rebar, coke, and stainless steel [11]. - **Nanhua Non - ferrous Metals Index**: Closed at 1714.49 this week, up 0.99%. The most influential varieties were lithium carbonate, copper, and aluminum [13].

Report Information - Report Name: Nanhua Commodity Index Daily Report [2] - Date: August 14, 2025 [2] - Author: Nanhua Index Group, including Cao Yanghui, Zhao Bo, and Wang Yilin [2] Investment Rating - No investment rating information is provided in the report. Core View - According to the closing prices of adjacent trading days, the Nanhua Composite Index declined by -0.81% today. Among the sector indices, only the Nanhua Precious Metals Index rose by 0.02%, while the rest of the sectors declined. The sector with the largest decline was the Nanhua Black Index, down -1.56%, and the sector with the smallest decline was the Nanhua Non-Ferrous Metals Index, down -0.63%. All theme indices declined, with the Black Raw Materials Index having the largest decline of -1.99% and the Economic Crops Index having the smallest decline of -0.04%. Among the single-variety indices of commodity futures, the caustic soda index had the largest increase of 1.26%, and the rapeseed meal index had the largest decline of -3.05% [1][3][4]. Index Performance Summary Composite and Sector Indices - Nanhua Composite Index (NHCI): Closed at 2534.95, down -0.81% from the previous close of 2555.72, with an annualized return of 0.35% and an annualized volatility of 13.73% [3]. - Nanhua Precious Metals Index (NHPMI): Closed at 1261.11, up 0.02% from 1260.91, with an annualized return of 29.51% and an annualized volatility of 16.60% [3]. - Nanhua Industrial Products Index (NHII): Closed at 3650.38, down -0.89% from 3683.10, with an annualized return of -6.10% and an annualized volatility of 16.15% [3]. - Nanhua Metal Index (NHMI): Closed at 6464.57, down -1.02% from 6531.47, with an annualized return of 1.60% and an annualized volatility of 14.94% [3]. - Nanhua Energy and Chemical Index (NHECI): Closed at 1681.16, down -0.70% from 1693.04, with an annualized return of -12.75% and an annualized volatility of 18.40% [3]. - Nanhua Non-Ferrous Metals Index (NHNF): Closed at 1713.87, down -0.63% from 1724.76, with an annualized return of 5.63% and an annualized volatility of 13.41% [3]. - Nanhua Black Index (NHFI): Closed at 2582.71, down -1.56% from 2623.70, with an annualized return of -8.58% and an annualized volatility of 21.92% [3]. - Nanhua Agricultural Products Index (NHAI): Closed at 1113.19, down -0.86% from 1122.89, with an annualized return of 5.55% and an annualized volatility of 9.53% [3]. - Nanhua Mini Composite Index (NHCIMi): Closed at 1191.43, down -0.91% from 1202.38, with an annualized return of 3.23% and an annualized volatility of 14.63% [3]. - Nanhua Energy Index (NHEI): Closed at 1058.07, down -1.05% from 1069.32, with an annualized return of 2.54% and an annualized volatility of 29.87% [3]. - Nanhua Petrochemical Index (NHPCI): Closed at 945.19, down -0.85% from 953.29, with an annualized return of 0.75% and an annualized volatility of 15.28% [3]. - Nanhua Coal Chemical Index (NHCCI): Closed at 1036.33, down -1.00% from 1046.83, with an annualized return of 1.17% and an annualized volatility of 17.17% [3]. - Nanhua Black Raw Materials Index (NHFM): Closed at 1067.01, down -1.99% from 1088.67, with an annualized return of 7.32% and an annualized volatility of 23.31% [3]. - Nanhua Building Materials Index (NHBMI): Closed at 763.35, down -0.72% from 768.87, with an annualized return of 3.25% and an annualized volatility of 23.12% [3]. - Nanhua Oilseeds and Oils Index (NHOOI): Closed at 1287.05, down -1.18% from 1302.40, with an annualized return of 3.74% and an annualized volatility of 10.27% [3]. - Nanhua Economic Crops Index (NHAECI): Closed at 910.15, down -0.04% from 910.49, with an annualized return of 1.89% and an annualized volatility of 5.65% [3]. Theme Indices - All theme indices declined, with the Black Raw Materials Index having the largest decline of -1.99% and the Economic Crops Index having the smallest decline of -0.04% [4] Single-Variety Indices - The caustic soda index had the largest increase of 1.26%, and the rapeseed meal index had the largest decline of -3.05% [1][4] Contribution to Index Movements - For the Nanhua Composite Index, positive contributors included soda ash (4.15%), while negative contributors included zinc (-1.52%), aluminum (-1.80%), and PVC (-1.98%) [8] - For the Nanhua Mini Composite Index, positive contributors included soda ash (7.44%), while negative contributors included zinc (-32.55%), aluminum (-1.80%), and PVC (-1.98%) [8] - For the Nanhua Industrial Products Index, positive contributors included soda ash (4.69%), while negative contributors included iron ore (-1.68%), crude oil (-1.61%), and zinc (-1.67%) [8] - For the Nanhua Metal Index, positive contributors included caustic soda (2.54%), while negative contributors included tin (-6.52%), aluminum (-3.51%), and zinc (-3.51%) [8] - For the Nanhua Energy and Chemical Index, positive contributors included soda ash (7.47%), while negative contributors included crude oil (-16.62%), iron ore (-19.37%), and PVC (-9.11%) [8] - For the Nanhua Agricultural Products Index, positive contributors included cotton (1.45%), while negative contributors included rapeseed meal (-17.58%), palm oil (-22.79%), and soybean meal (-14.26%) [8] Other Information - The calculation of price changes is (today's closing price - yesterday's closing price) / yesterday's closing price, and the contribution is the product of price change and weight [11] - The Nanhua Commodity Index excludes the price difference when changing commodity contracts, reflecting the real return of investing in commodity futures [11] - The contribution calculation method used is: a variety's daily price change / ∑|all varieties' daily price changes|, with yellow data bars indicating a daily increase and blue data bars indicating a daily decrease [11]

Group 1: Market Performance Summary - Today, the Nanhua Composite Index rose 0.82% based on the closing prices of adjacent trading days [1] - Among the sector indices, only the Nanhua Precious Metals Index fell by -0.36%, while the rest rose. The Nanhua Energy and Chemical Index had the largest increase of 1.31%, and the Nanhua Metal Index had the smallest increase of 0.69% [1] - All theme indices rose. The Black Raw Materials Index had the largest increase of 1.79%, and the Coal - Chemical Index had the smallest increase of 0.47% [1] - In the commodity futures single - variety indices, the Soda Ash index had the largest increase of 4.76%, and the Industrial Silicon index had the largest decrease of -1.78% [1] Group 2: Index Data - Index data includes various indices such as the Energy Index NHEI, Petroleum and Chemical Index NHPCl, Coal - Chemical Index NHCCl, etc., with their respective closing prices, previous closing prices, and annualized yields [2] Group 3: Single - Variety Index Yields and Fluctuations - There is data on the yields and fluctuations of major single - variety indices, though specific details are not fully clear from the text [2] Group 4: Industry Chain and Variety Performance - In the energy and chemical sector, specific varieties' single - variety index daily price changes are given, like the yields of some products in the energy and chemical industry chain [2] - In the black sector, there is a schematic diagram of the industrial chain of some varieties and their single - variety index daily price changes [7] - In the agricultural products sector, the single - variety index daily price changes of some varieties such as palm oil, rapeseed oil, etc. are presented. For example, palm oil rose 1.71%, rapeseed oil rose 2.26%, and rapeseed fell -0.70% [8]

南华商品指数：金银领涨，能源领跌 王怡琳 2025-08-08 16:30:26 摘要：本周，南华综合指数下跌9.19点，跌幅为-0.36%；其中影响力最大的品种为原油和玻璃，原油品种指数涨跌 幅为-6.56%，贡献度为-1.08%；玻璃品种指数涨跌幅为-4.06%，贡献度为-0.1%。南华工业品指数下跌35.2点，跌 幅为-0.96%；其中影响力最大的品种为原油和燃料油，原油品种指数贡献度为-1.14%；燃料油品种指数贡献度 为-0.14%。南华金属指数不变，其中影响力最大的品种为碳酸锂，碳酸锂贡献度为0.39%。南华能化指数下跌36.18 点，跌幅为-2.11%；其中影响力最大的品种为原油，原油 南华商品指数周报 2025年8月8日 南华指数小组 曹扬慧 (Z0000505) 赵 搏 (F03103098) 王怡琳 (F03118352) 投资咨询业务资格:证监许可【2011】1290号 摘要 本周，南华综合指数下跌9.19点，跌幅为-0.36%；其中影响力最大的品种为原油和玻璃，原油品种指数涨跌幅 为―6.56%，贡献度为―1.08%；玻璃品种指数涨跌幅为―4.06%，贡献度为―0.1%。南华工业品指数 ...

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - This week, the Nanhua Comprehensive Index dropped 63.9 points, a decline of -2.46%. The most influential varieties were glass and soda ash, with the glass variety index falling -19.09% and contributing -0.45%, and the soda ash variety index falling -12.78% and contributing -0.41% [1][2]. - The Nanhua Industrial Products Index decreased by 143.52 points, a -3.75% decline. The most influential varieties were glass and coke, with the glass variety index contributing -0.58% and the coke variety index contributing -0.57% [1][2]. - The Nanhua Metal Index declined by 231.92 points, a -3.52% drop. The most influential variety was rebar, contributing -0.83% [1][2]. - The Nanhua Energy and Chemical Index fell 74.12 points, a -4.15% decline. The most influential variety was glass, contributing -0.86% [2]. - The Nanhua Agricultural Products Index decreased by 11.57 points, a -1.05% decline. The most influential variety was live pigs, contributing -0.35% [2]. 3. Summary by Relevant Catalogs 3.1. Weekly Data Overview | Index Name | This Week's Closing | Last Week's Closing | Change in Points | Change Rate | This Week's Maximum | This Week's Minimum | Volatility | | --- | --- | --- | --- | --- | --- | --- | --- | | Comprehensive Index NHCI | 2532.30 | 2596.21 | -63.90 | -2.46% | 2596.21 | 2532.30 | 63.90 | | Precious Metals Index NHPMI | 1233.23 | 1265.35 | -32.12 | -2.54% | 1265.35 | 1233.23 | 32.12 | | Industrial Products Index NHII | 3680.14 | 3823.66 | -143.52 | -3.75% | 3823.66 | 3680.14 | 143.52 | | Metal Index NHMI | 6362.56 | 6594.47 | -231.92 | -3.52% | 6594.47 | 6358.30 | 236.18 | | Energy and Chemical Index NHECI | 1713.91 | 1788.03 | -74.12 | -4.15% | 1788.03 | 1713.91 | 74.12 | | Non - ferrous Metals Index NHNFI | 1676.07 | 1734.53 | -58.46 | -3.37% | 1734.53 | 1676.07 | 58.46 | | Black Index NHFI | 2551.46 | 2683.73 | -132.27 | -4.93% | 2683.73 | 2551.46 | 132.27 | | Agricultural Products Index NHAI | 1090.74 | 1102.32 | -11.57 | -1.05% | 1102.32 | 1090.74 | 11.57 | | Nanhua Comprehensive Index NHCIMi | 1201.10 | 1214.44 | -13.33 | -1.10% | 1214.44 | 1191.96 | 22.48 | | Energy Index NHEI | 1112.54 | 1115.74 | -3.20 | -0.29% | 1128.64 | 1085.19 | 43.45 | | Petrochemical Index NHPCI | 958.73 | 986.16 | -27.44 | -2.78% | 986.16 | 958.73 | 27.44 | | Forestry and Industry Index NHCCI | 1046.71 | 1093.43 | -46.72 | -4.27% | 1093.43 | 1046.71 | 46.72 | | Black Raw Materials Index NHFMI | 1043.56 | 1105.10 | -61.54 | -5.57% | 1105.10 | 1043.56 | 61.54 | | Building Materials Index NHBMI | 769.05 | 832.71 | -63.66 | -7.64% | 832.71 | 769.05 | 63.66 | | Oilseeds Index HOOl | 1238.59 | 1236.73 | 1.87 | 0.15% | 1244.38 | 1229.85 | 14.54 | | Economic Crops Index NHAECI | 886.36 | 913.12 | -26.76 | -2.93% | 913.12 | 886.36 | 26.76 | [3] 3.2. Nanhua Variety Index Arbitrage Data - The report provides data on the ratio of various Nanhua variety indices, including the current value, previous value, change, and ranking. For example, the ratio of the precious metals index to the comprehensive index is 0.487, with a change of -0.000384339 and a ranking of 0.790 [6]. 3.3. Contribution of Each Variety's Daily Fluctuation to the Index Fluctuation - The report presents the average weekly open interest, month - on - month increase, and open interest ratio of various futures varieties. For instance, the average weekly open interest of soybean meal is 4,759,408 lots, with a month - on - month decrease of -1.56% and an open interest ratio of 12.45% [8]. 3.4. Weekly Data of Nanhua's Sector Indices - **Nanhua Industrial Products Index**: Closed at 3680.14 this week, down 3.75% from last week. The top six contributing varieties were glass, coke, soda ash, rebar, natural rubber, and alumina [10]. - **Nanhua Metal Index**: Closed at 6362.56 this week, down 3.52% from last week. The top three contributing varieties were rebar, lithium carbonate, and alumina [10]. - **Nanhua Energy and Chemical Index**: Closed at 1713.91 this week, down 4.15% from last week. The top three contributing varieties were glass, coke, and soda ash [10]. - **Nanhua Agricultural Products Index**: Closed at 1090.74 this week, down 1.05% from last week. The top three contributing varieties were live pigs, cotton, and apples [10]. - **Nanhua Black Index**: Closed at 2551.46 this week, down 4.93% from last week. The top three contributing varieties were coke, rebar, and iron ore [11]. - **Nanhua Non - ferrous Metals Index**: Closed at 1676.07 this week, down 3.37% from last week. The top two contributing varieties were lithium carbonate and alumina [13].

Group 1: Market Performance Summary - The Nanhua Composite Index declined by -0.19% based on the closing prices of adjacent trading days [1]. - Among the sector indices, only the Nanhua Metal Index rose by 0.07%, while the rest declined. The Nanhua Energy and Chemical Index had the largest decline of -0.68%, and the Nanhua Agricultural Products Index had the smallest decline of -0.02% [1][2]. - In the theme indices, the Oilseeds and Oils Index had the largest increase of 0.27%, and the Mini Composite Index had the smallest increase of 0.03%. The Energy Index had the largest decline of -0.73%, and the Black Raw Materials Index had the smallest decline of -0.04% [1][2]. - Among the single - variety commodity futures indices, the jujube index rose by 2.1%, and the coking coal index had the largest decline of -5.38% [2]. Group 2: Index Data Details - Various index data including today's closing price, previous closing price, annualized return, annualized volatility are presented, such as the Nanhua Agricultural Products Index (NHAl), Mini Composite Index (NHClM), etc. [2] Group 3: Industry Chain and Single - Variety Index Changes - The single - variety index daily changes and industry chain diagrams of the energy and chemical, black, and agricultural product sectors are provided. For example, in the energy and chemical sector, glass declined by -1.34%, and in the agricultural product sector, palm oil rose by 0.11% [2][8]

- Model Name: Domestic Asset BL Model 1; Model Construction Idea: The BL model is an improvement of the traditional mean-variance model, combining subjective views with quantitative models using Bayesian theory; Model Construction Process: The model optimizes asset allocation weights based on investor market analysis and asset return forecasts, effectively addressing the sensitivity of the mean-variance model to expected returns; Model Evaluation: The BL model provides a higher fault tolerance compared to purely subjective investments, offering efficient asset allocation solutions[14][15] - Model Name: Domestic Asset BL Model 2; Model Construction Idea: Similar to Domestic Asset BL Model 1; Model Construction Process: The model is built on the same principles as Domestic Asset BL Model 1 but with different asset selections; Model Evaluation: Similar to Domestic Asset BL Model 1[14][15] - Model Name: Global Asset BL Model 1; Model Construction Idea: Similar to Domestic Asset BL Model 1; Model Construction Process: The model is built on the same principles as Domestic Asset BL Model 1 but targets global assets; Model Evaluation: Similar to Domestic Asset BL Model 1[14][15] - Model Name: Global Asset BL Model 2; Model Construction Idea: Similar to Global Asset BL Model 1; Model Construction Process: The model is built on the same principles as Global Asset BL Model 1 but with different asset selections; Model Evaluation: Similar to Global Asset BL Model 1[14][15] - Model Name: Domestic Asset Risk Parity Model; Model Construction Idea: The risk parity model aims to equalize the risk contribution of each asset in the portfolio; Model Construction Process: The model calculates the risk contribution of each asset and optimizes the deviation between actual and expected risk contributions to determine final asset weights; Model Evaluation: The model provides stable returns across different economic cycles[20][21] - Model Name: Global Asset Risk Parity Model; Model Construction Idea: Similar to Domestic Asset Risk Parity Model; Model Construction Process: The model is built on the same principles as Domestic Asset Risk Parity Model but targets global assets; Model Evaluation: Similar to Domestic Asset Risk Parity Model[20][21] - Model Name: Macro Factor-Based Asset Allocation Model; Model Construction Idea: The model constructs a macro factor system covering growth, inflation, interest rates, credit, exchange rates, and liquidity; Model Construction Process: The model uses the Factor Mimicking Portfolio method to construct high-frequency macro factors and optimizes asset weights based on subjective macro views; Model Evaluation: The model bridges macro research and asset allocation, reflecting subjective macro judgments in asset allocation[23][24][27] - Domestic Asset BL Model 1, Weekly Return: 0.02%, July Return: 0.61%, 2025 YTD Return: 2.46%, Annualized Volatility: 2.16%, Maximum Drawdown: 1.31%[17][19] - Domestic Asset BL Model 2, Weekly Return: -0.06%, July Return: 0.48%, 2025 YTD Return: 2.41%, Annualized Volatility: 1.93%, Maximum Drawdown: 1.06%[17][19] - Global Asset BL Model 1, Weekly Return: -0.09%, July Return: 0.56%, 2025 YTD Return: 0.95%, Annualized Volatility: 1.95%, Maximum Drawdown: 1.64%[17][19] - Global Asset BL Model 2, Weekly Return: -0.07%, July Return: 0.51%, 2025 YTD Return: 1.59%, Annualized Volatility: 1.7%, Maximum Drawdown: 1.28%[17][19] - Domestic Asset Risk Parity Model, Weekly Return: -0.02%, July Return: 0.36%, 2025 YTD Return: 2.7%, Annualized Volatility: 1.46%, Maximum Drawdown: 0.76%[22][23] - Global Asset Risk Parity Model, Weekly Return: -0.03%, July Return: 0.3%, 2025 YTD Return: 2.16%, Annualized Volatility: 1.66%, Maximum Drawdown: 1.2%[22][23] - Macro Factor-Based Asset Allocation Model, Weekly Return: -0.03%, July Return: 0.38%, 2025 YTD Return: 2.76%, Annualized Volatility: 1.36%, Maximum Drawdown: 0.64%[28][29]

南华商品指数：黑色领涨，油脂油料领跌 王怡琳 摘要：本周，南华综合指数上涨69.1点，涨幅为2.73%；其中影响力最大的品种为玻璃和纯碱，玻璃品种指数涨跌 幅为25.99%，贡献度为0.62%；纯碱品种指数涨跌幅为18.42%，贡献度为0.59%。南华工业品指数上涨183.62点， 涨幅为5.04%；其中影响力最大的品种为焦炭和玻璃，焦炭品种指数贡献度为0.91%；玻璃品种指数贡献度为 0.79%。南华金属指数上涨262.42点，涨幅为4.14%；其中影响力最大的品种为螺纹钢，螺纹钢贡献度为1.22%。南 华能化指数上涨96.69点，涨幅为5.72%；其中影响力最 2025-07-25 16:29:11 南华商品指数周报 2025年7月25日 南华指数小组 曹扬慧 (Z0000505) 赵 搏(F03103098) 王怡琳 (F03118352) 投资咨询业务资格:证监许可【2011】1290号 摘要 本周,南华综合指数上涨69.1点,涨幅为2.73%;其中影响力最大的品种为玻璃和纯碱,玻璃品种指数涨跌幅为 25.99%，贡献度为0.62%; 纯碱品种指数涨跌幅为18.42%, 贡献度为0.59%。南华工业品 ...