摘要：本周，南华综合指数上涨0.57点，涨幅为0.02%；其中影响力最大的品种为黄金和白银，黄金品种指数涨跌 幅为2.35%，贡献度为0.17%；白银品种指数涨跌幅为2.31%，贡献度为0.14%。南华工业品指数下跌16.45点，跌 幅为-0.46%；其中影响力最大的品种为原油和天然橡胶，原油品种指数贡献度为-0.19%；天然橡胶品种指数贡献度 为-0.15%。南华金属指数不变，其中影响力最大的品种为铁矿石，铁矿石贡献度为0.21%。南华能化指数下跌20.99 点，跌幅为-1.26%；其中影响力最大的品种为原油，原油贡 南华商品指数周报 2025年9月12日 指数发展部 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 1.01 1.03 1.00 1.02 1.00 1.01 0_99 1.00 0_99 0.99 0.98 0_98 0_98 0.97 05 06 07 08 05 06 07 08 09 10 11 12 NIHMI NHNF NHECI NHCl NHPMI NHI NHA 4_00 5 ...

Group 1: Report Summary - The South China Comprehensive Index rose 18.21 points, a 0.72% increase this week. Gold and silver were the most influential varieties, with gold's index rising 3.82% and contributing 0.28%, and silver's index rising 4.51% and contributing 0.27% [1][2]. - The South China Industrial Products Index fell 2.38 points, a -0.07% decrease. Crude oil and PTA were the most influential, with crude oil contributing -0.12% and PTA -0.1% [1][2]. - The South China Metal Index dropped 12.24 points, a -0.19% decline. Lithium carbonate was the most influential, contributing -0.13% [1][2]. - The South China Energy and Chemical Index decreased 2.4 points, a -0.14% fall. Crude oil was the most influential, contributing -0.17% [2]. - The South China Agricultural Products Index increased 3.42 points, a 0.31% rise. Palm oil was the most influential, contributing 0.3% [2]. Group 2: Weekly Data Overview - Table 1 shows the weekly data of South China commodity indices, including closing prices, changes, and other details for various indices such as the Comprehensive Index, Precious Metals Index, etc. [3]. - Table 2 presents the strength - weak arbitrage data of South China variety indices, including present values, previous values, changes, and rankings for different commodity comparisons [6]. - Table 3 provides the daily price changes, contribution to index price changes, average weekly holdings, and other data for each futures variety [8]. Group 3: Sector Index Analysis South China Industrial Products Index - The top six contributing varieties are crude oil, PTA, fuel oil, rebar, sintered ore, and tin [10]. South China Metal Index - The top three contributing varieties are lithium carbonate, rebar, and tin [10]. South China Energy and Chemical Index - The top three contributing varieties are crude oil, PTA, and fuel oil [10]. South China Agricultural Products Index - The top three contributing varieties are palm oil, corn, and soybean oil [10]. South China Black Index - The top three contributing varieties are iron ore, coke, and manganese - silicon [12]. South China Non - ferrous Index - The top three contributing varieties are lithium carbonate, tin, and alumina [14].

Report Summary 1. Report Industry Investment Rating No information provided regarding the industry investment rating. 2. Core Viewpoints - This week, the Nanhua Composite Index dropped 3.82 points, a decline of -0.15%. The most influential varieties were crude oil and palm oil, with the crude oil index down -1.65% and contributing -0.27%, and the palm oil index down -2.88% and contributing -0.13% [1][2]. - The Nanhua Industrial Products Index fell 16.12 points, a -0.44% decline. The most influential varieties were crude oil and coke, with the crude oil index contributing -0.29% and the coke index contributing -0.12% [1][2]. - The Nanhua Metal Index remained unchanged, with iron ore being the most influential variety, contributing 0.38% [1][2]. - The Nanhua Energy and Chemical Index decreased 18.6 points, a -1.11% decline. Crude oil was the most influential variety, contributing -0.41% [2]. - The Nanhua Agricultural Products Index dropped 10.61 points, a -0.96% decline. Palm oil was the most influential variety, contributing -0.38% [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 | Amplitude | | --- | --- | --- | --- | --- | --- | --- | --- | | Composite Index NHCI | 2521.31 | 2525.13 | -3.82 | -0.15% | 2544.65 | 2517.10 | 27.54 | | Precious Metals Index NHPMI | 1273.01 | 1250.91 | 22.10 | 1.77% | 1273.01 | 1250.91 | 22.10 | | Industrial Products Index NHII | 3614.83 | 3630.95 | -16.12 | -0.44% | 3665.33 | 3611.26 | 54.08 | | Metal Index NHMI | 6394.54 | 6365.05 | 29.48 | 0.46% | 6436.44 | 6365.05 | 71.39 | | Energy and Chemical Index NHECI | 1664.76 | 1683.37 | -18.60 | -1.11% | 1696.83 | 1664.76 | 32.07 | | Non-ferrous Metals Index NHNFI | 1700.10 | 1691.68 | 8.42 | 0.50% | 1708.13 | 1691.68 | 16.46 | | Black Index NHFI | 2533.25 | 2535.84 | -2.59 | -0.10% | 2579.12 | 2533.25 | 45.87 | | Agricultural Products Index NHAI | 1096.43 | 1107.04 | -10.61 | -0.96% | 1109.32 | 1095.92 | 13.40 | | Nanhua Comprehensive Consumption NHCIMi | 1181.26 | 1188.65 | -7.39 | -0.62% | 1195.39 | 1178.85 | 16.54 | | Energy Index NHEI | 1056.77 | 1068.99 | -12.22 | -1.14% | 1078.80 | 1053.33 | 25.47 | | Petrochemical Consumption NHPCI | 950.44 | 960.51 | -10.07 | -1.05% | 964.55 | 950.44 | 14.10 | | Coal Chemical Industry Investment AHCCI | 1015.90 | 1031.95 | -16.05 | -1.55% | 1036.83 | 1015.90 | 20.93 | | Black Raw Materials Index NHFMI | 1054.58 | 1050.35 | 4.23 | 0.40% | 1075.72 | 1050.35 | 25.38 | | Building Materials Index NHBMI | 737.62 | 744.61 | -6.99 | -0.94% | 750.58 | 737.62 | 12.96 | | Oilseeds and Oils Index HOOl | 1262.70 | 1281.46 | -18.75 | -1.46% | 1285.62 | 1262.70 | 22.92 | | Economic Crops Index NHAECI | 918.03 | 905.22 | 12.81 | 1.41% | 918.03 | 905.22 | 12.81 | [3] 3.2 Nanhua Variety Index Strength and Weakness Arbitrage Data - The report provides data on the ratio of various Nanhua commodity indices, including the present value, previous value, change, and ranking. For example, the ratio of the precious metals index to the composite index is 0.505, with a change of 0.009517708 and a ranking of 0.833 [6]. 3.3 Contribution of Each Variety's Daily Rise and Fall to the Index Rise and Fall - The report shows the average position volume, month-on-month increase, and position volume ratio of various futures varieties this week. For example, the position volume of soybean meal is 4,280,386 hands, with a month-on-month decrease of -4.72% and a position volume ratio of 11.22% [8]. 3.4 Weekly Data of Nanhua's Various Sector Indices - **Industrial Products Index NHII**: Closed at 3614.83 this week, down -0.44% from last week. The most influential varieties were alumina, soda ash, etc. [10]. - **Metal Index NHMI**: Closed at 6394.54 this week, up 0.46% from last week. The most influential varieties were iron ore, tin, etc. [10]. - **Energy and Chemical Index NHECI**: Closed at 1664.76 this week, down -1.11% from last week. The most influential varieties were crude oil, coke, etc. [10]. - **Agricultural Products Index NHAI**: Closed at 1096.43 this week, down -0.96% from last week. The most influential variety was palm oil [10]. - **Black Index NHFI**: Closed at 2533.25 this week, down -0.10% from last week. The most influential varieties were coke, rebar, etc. [12]. - **Non-ferrous Metals Index NHNFI**: Closed at 1700.10 this week, up 0.50% from last week. The most influential varieties were tin, indium, etc. [14].

Report Summary 1. Investment Rating The provided content does not mention the industry investment rating. 2. Core View This week, the Nanhua Composite Index dropped 11.09 points, a decline of -0.44%. The most influential varieties were rebar and soda ash. The Nanhua Industrial Products Index fell 27.09 points, a -0.74% decrease, with soda ash and rebar being the most influential. The Nanhua Metal Index decreased by 101.15 points, a -1.56% decline, and rebar had the greatest influence. The Nanhua Energy and Chemical Index dropped 4.31 points, a -0.26% fall, with soda ash being the most influential. The Nanhua Agricultural Products Index declined 5.26 points, a -0.47% decrease, and soybean meal had the greatest influence [1][2]. 3. Summary by Directory 3.1 Weekly Data Overview - **Composite Index (NHCI)**: Closed at 2525.13 this week, down 11.09 points (-0.44%) from last week. The maximum was 2536.21, and the minimum was 2511.88, with a volatility of 24.33 [3]. - **Precious Metals Index (NHPMI)**: Closed at 1250.91, down 2.94 points (-0.23%) from last week. The maximum was 1258.59, and the minimum was 1242.01, with a volatility of 16.58 [3]. - **Industrial Products Index (NHII)**: Closed at 3630.95, down 27.09 points (-0.74%) from last week. The maximum was 3658.04, and the minimum was 3610.11, with a volatility of 47.93 [3]. - **Metal Index (NHMI)**: Closed at 6365.05, down 101.15 points (-1.56%) from last week. The maximum was 6466.21, and the minimum was 6365.05, with a volatility of 101.15 [3]. - **Energy and Chemical Index (NHECI)**: Closed at 1683.37, down 4.31 points (-0.26%) from last week. The maximum was 1687.68, and the minimum was 1667.62, with a volatility of 20.06 [3]. - **Non - ferrous Metals Index (NHNFI)**: Closed at 1691.68, down 22.82 points (-1.33%) from last week. The maximum was 1714.49, and the minimum was 1691.68, with a volatility of 22.82 [3]. - **Black Index (NHFI)**: Closed at 2535.84, down 53.54 points (-2.07%) from last week. The maximum was 2589.38, and the minimum was 2535.45, with a volatility of 53.93 [3]. - **Agricultural Products Index (NHAI)**: Closed at 1107.04, down 5.26 points (-0.47%) from last week. The maximum was 1114.54, and the minimum was 1103.62, with a volatility of 10.92 [3]. 3.2 Nanhua Index Arbitrage Data The report provides data on the ratio of various Nanhua sector indices and the ranking of these ratios in historical periods. For example, the ratio of the Precious Metals Index to the Composite Index changed from 0.495 to 0.494, with a change of -0.001008142 and a ranking of 0.810 [6]. 3.3 Contribution of Each Variety to Index Fluctuations - **Nanhua Industrial Products Index**: The most influential varieties were soda ash (contribution of -0.21%) and rebar (contribution of -0.2%) [2]. - **Nanhua Metal Index**: Rebar had the greatest contribution of -0.4% [2]. - **Nanhua Energy and Chemical Index**: Soda ash contributed -0.31% [2]. - **Nanhua Agricultural Products Index**: Soybean meal contributed -0.18% [2].

Quantitative Models and Construction Methods 1. Model Name: "Clock + Turning Point Improvement Method" Asset Rotation Model - **Model Construction Idea**: This model integrates macroeconomic risk factors with asset rotation strategies, leveraging the "investment clock" concept and improving turning point identification through a combination of momentum and phase judgment methods [8][23][24] - **Model Construction Process**: 1. Macro risk factors (e.g., economic growth, inflation, interest rates, credit, exchange rates, and term spreads) are used to determine the macroeconomic state [8] 2. The "investment clock" framework is applied to link macroeconomic states with asset performance. For example, recovery and overheating phases favor equities and commodities, while stagflation and recession phases favor bonds and gold [9][15] 3. Turning points in macroeconomic factors are identified using a combination of momentum and phase judgment methods: - Momentum is calculated as: $$ Momentum_t = X_t - \frac{1}{3}(X_{t-1} + X_{t-2} + X_{t-3}) $$ where \( X_t \) represents the macro factor value at time \( t \) [16] - Phase judgment uses a 38-month sine wave to identify the current phase of macro factors, categorizing them into upward, downward, top, or bottom regions [21][22] 4. Asset scores are calculated based on the macro factor states, and risk allocation is adjusted accordingly. Initial risk weights are set as large-cap stocks: small-cap stocks: bonds: commodities: gold = 1:1:1:0.5:0.5. Positive scores double the risk allocation, while negative scores halve it [24] 5. Backtesting is conducted over the period from January 2011 to December 2023 [25] - **Model Evaluation**: The model demonstrates strong performance in terms of returns, risk control, and drawdown management, achieving nearly 10% annualized returns while maintaining low volatility and drawdowns [27] --- Model Backtesting Results 1. "Clock + Turning Point Improvement Method" Asset Rotation Model - **Total Return**: 242.45% - **Annualized Return**: 9.93% - **Annualized Volatility**: 6.83% - **Sharpe Ratio**: 1.45 - **Maximum Drawdown**: 6.31% - **Win Rate**: 73.08% [27] 2. Benchmark Equal-Weighted Portfolio - **Total Return**: 83.59% - **Annualized Return**: 4.78% - **Annualized Volatility**: 10.99% - **Sharpe Ratio**: 0.43 - **Maximum Drawdown**: 20.63% - **Win Rate**: 55.77% [27] --- Quantitative Factors and Construction Methods 1. Factor Name: Macro Risk Factors - **Factor Construction Idea**: These factors aim to capture various dimensions of macroeconomic risks, including economic growth, inflation, interest rates, credit, exchange rates, and term spreads, providing a comprehensive view of the macroeconomic environment [8] - **Factor Construction Process**: 1. **Economic Growth**: - Indicators: Industrial production YoY, PMI, retail sales YoY - Processing: HP filtering and volatility-weighted averaging - Interpretation: Positive values indicate economic expansion [8] 2. **Inflation**: - Indicators: PPI YoY, CPI YoY - Processing: HP filtering and volatility-weighted averaging - Interpretation: Positive values indicate rising inflation [8] 3. **Interest Rates**: - Indicators: Bond indices (1-3 years), money market indices - Processing: Equal-weighted portfolio construction and net value calculation - Interpretation: Negative values indicate falling interest rates and loose monetary conditions [8] 4. **Exchange Rates**: - Indicators: Gold prices (Shanghai and London) - Processing: Equal-weighted long-short portfolio construction - Interpretation: Positive values indicate currency depreciation [8] 5. **Credit**: - Indicators: Corporate bond indices (AAA) vs. government bond indices - Processing: Duration-neutral portfolio construction - Interpretation: Positive values indicate widening credit spreads and tighter credit conditions [8] 6. **Term Spreads**: - Indicators: Short-term vs. long-term bond indices - Processing: Duration-neutral portfolio construction - Interpretation: Positive values indicate widening term spreads [8] --- Factor Backtesting Results 1. Macro Risk Factors (July 2025 State) - **Economic Growth**: Upward (Recovery phase) - **Inflation**: Downward - **Interest Rates**: Downward - **Credit**: Downward - **Exchange Rates**: Downward - **Term Spreads**: Downward [36]

Quantitative Models and Construction Methods Model Name: Macro Risk Factor-Based Asset Rotation Model - **Model Construction Idea**: The model utilizes macroeconomic risk factors to guide asset allocation decisions, aiming to optimize returns while controlling risks[5][8]. - **Model Construction Process**: 1. **Macro Risk Factor System**: Six macro risk factors are constructed using economic growth, inflation, interest rates, exchange rates, credit, and term spread indicators[8]. 2. **Investment Clock**: The model incorporates the "growth-inflation clock" and "interest rate-credit clock" to understand asset performance under different macroeconomic conditions[9][10][11]. 3. **Phase Judgment Method**: The model uses factor momentum and phase judgment methods to identify macroeconomic turning points[16][17][21][22]. 4. **Asset Rotation Model**: Combining the investment clock and phase judgment methods, the model adjusts asset allocation based on current macroeconomic conditions[23][24]. 5. **Backtesting Period**: The model is backtested from January 2011 to December 2023[25]. 6. **Performance Metrics**: The model's performance is evaluated using total return, annualized return, annualized volatility, Sharpe ratio, maximum drawdown, and win rate[27]. - **Model Evaluation**: The model demonstrates excellent performance in terms of returns, risk control, and drawdown management, achieving nearly 10% annualized returns with controlled risk exposure[27]. Model Backtesting Results - **Macro Risk Factor-Based Asset Rotation Model**: - Total Return: 242.45%[27] - Annualized Return: 9.93%[27] - Annualized Volatility: 6.83%[27] - Sharpe Ratio: 1.45[27] - Maximum Drawdown: 6.31%[27] - Win Rate: 73.08%[27] Quantitative Factors and Construction Methods Factor Name: Macro Risk Factors - **Factor Construction Idea**: The factors are designed to capture various aspects of the macroeconomic environment, providing a comprehensive risk perspective[8]. - **Factor Construction Process**: 1. **Economic Growth**: Constructed using industrial added value, PMI, and retail sales growth, processed with HP filtering and weighted by volatility inverse[8]. 2. **Inflation**: Constructed using PPI and CPI growth, processed with HP filtering and weighted by volatility inverse[8]. 3. **Interest Rates**: Constructed using bond indices and money market fund indices, weighted equally[8]. 4. **Exchange Rates**: Constructed using gold prices in Shanghai and London, forming an equal-weighted long-short portfolio[8]. 5. **Credit**: Constructed using corporate bond and government bond indices, forming a duration-neutral portfolio[8]. 6. **Term Spread**: Constructed using short-term and long-term bond indices, forming a duration-neutral portfolio[8]. - **Factor Evaluation**: The factors provide a detailed and comprehensive view of macroeconomic risks, aiding in better asset allocation decisions[8]. Factor Backtesting Results - **Economic Growth Factor**: Upward trend[36] - **Inflation Factor**: Downward trend[36] - **Interest Rate Factor**: Tight interest rate, loose credit[36] - **Credit Factor**: Downward trend[36] - **Exchange Rate Factor**: Downward trend[36] - **Term Spread Factor**: Downward trend[36] Monthly Performance Review (May 2025) - **Model Performance**: - Monthly Return: -0.29%[30] - Benchmark Return: 0.3%[30] - Excess Return: -0.6%[30] - **Asset Allocation**: - Large Cap Stocks: 5.3%[34] - Small Cap Stocks: 3.01%[34] - Bonds: 69.95%[34] - Commodities (excluding gold): 12.84%[34] - Gold: 8.9%[34] Next Month's Allocation Suggestion (June 2025) - **Model Allocation**: - Large Cap Stocks: 1.91%[35] - Small Cap Stocks: 0.96%[35] - Bonds: 88.54%[35] - Commodities (excluding gold): 2.79%[35] - Gold: 5.81%[35] - **Risk Allocation**: - Large Cap Stocks: 0.06[35] - Small Cap Stocks: 0.06[35] - Bonds: 4[35] - Commodities (excluding gold): 0.125[35] - Gold: 1[35]