1. Report Industry Investment Rating - No relevant content provided 2. Core Views of the Report - In the Treasury bond futures market, last week, each maturity of bond futures showed differentiation. The 30 - year main contract fell 0.35%, while the 10 - year, 5 - year, and 2 - year main contracts rose 0.03%, 0.02%, and 0.05% respectively. The market risk preference weakened, activating the hedging attribute of bond futures. The downward trend of Treasury bond futures is not easy to reverse when the long - term bull market logic of the stock market remains unchanged and the coupon income of Treasury bonds is not very attractive. Only when the expected return of equity or risk assets declines marginally, the short - term hedging trading attribute of the bond market is more obvious [5]. - In the commodity CTA market, due to the expected non - short - term end of the Iranian regional conflict, the prices of upstream and downstream varieties in the energy and chemical industry chain continued to rise last week. The sudden increase in inflation expectations reduced the market's expectation of the Fed's interest rate cut this year, and precious metals were among the varieties with relatively large declines. Going long on volatility still has a certain winning rate, and in the commodity bull market, going long on volatility can be an optimal strategy after unexpected events. The returns of spot basis - related factors and trading volume and position ranking factors have recovered, and the warehouse receipt factors have a slight increase. However, the long - term returns of fundamental - logic - driven factors are generally mediocre, and continuous observation is needed [11][13]. 3. Summary by Relevant Catalogs 3.1 Treasury Bond Futures Quantitative Strategy 3.1.1 Market Review - Last week, each maturity of bond futures showed differentiation. The 30 - year main contract fell 0.35%, the 10 - year main contract rose 0.03%, the 5 - year main contract rose 0.02%, and the 2 - year main contract rose 0.05%. The basis of each variety also showed differentiation. The CTD bond of the 10 - year bond was 250025, and the basis on the 20th was about - 0.02 yuan, lower than the historical average; the CTD bond of the 30 - year bond was 210014, and the basis on the 20th was 0.19 yuan, also lower than the historical average [5]. 3.1.2 Quantitative Strategy Performance - For the 10 - year Treasury bond, from 2021/01/01 to the present, the annualized return, Sharpe ratio, and maximum drawdown of the portfolio under single - leverage are 2.71%, 1.27, and 2.04% respectively. Since the release of the report (2025/11/01 to the present), the annualized return, Sharpe ratio, and maximum drawdown of the portfolio under single - leverage are 2.62%, 1.61, and 0.67% respectively [5]. - The unilateral strategy is constructed based on factors such as basis, intraday technical indicators, intraday volume - price, high - frequency capital flow, member positions, and risk assets. The signals are generated by equal - weighting within each factor category and then averaging, with the sign of the average as the long - short signal. The strategy uses the VWAP of the first ten minutes of the next - day's opening as the trading price and buys with single - leverage [9]. 3.2 Commodity CTA Factor and Strategy Performance 3.2.1 Commodity Factor Performance - Due to the expected non - short - term end of the Iranian regional conflict, the prices of upstream and downstream varieties in the energy and chemical industry chain continued to rise last week. The sudden increase in inflation expectations reduced the market's expectation of the Fed's interest rate cut this year, and precious metals were among the varieties with relatively large declines. Going long on volatility still has a certain winning rate, and in the commodity bull market, going long on volatility can be an optimal strategy after unexpected events. The returns of spot basis - related factors and trading volume and position ranking factors have recovered, with the former having an average increase of over 1%, and the warehouse receipt factors have a slight increase. However, the long - term returns of fundamental - logic - driven factors are generally mediocre, and continuous observation is needed [11][13]. 3.2.2 Tracking Strategy Performance - CWFT strategy: Annualized return is 9.5%, Sharpe ratio is 1.63, Calmar ratio is 1.07, maximum drawdown is - 8.81%, recent one - week return is 0.28%, and year - to - date return is 3.06% [12]. - C_frontnext & Short Trend strategy: Annualized return is 11.4%, Sharpe ratio is 1.74, Calmar ratio is 1.70, maximum drawdown is - 6.72%, recent one - week return is - 1.17%, and year - to - date return is 2.64% [12]. - Long CWFT & Short CWFT strategy: Annualized return is 12.8%, Sharpe ratio is 1.43, Calmar ratio is 0.98, maximum drawdown is - 13.07%, recent one - week return is - 0.89%, and year - to - date return is 6.45% [12]. - CS XGBoost strategy: Annualized return is 4.9%, Sharpe ratio is 0.79, Calmar ratio is 0.23, maximum drawdown is - 21.40%, recent one - week return is - 0.43%, and year - to - date return is - 5.44% [12]. - RuleBased TS Sharp - combine strategy: Annualized return is 11.6%, Sharpe ratio is 1.51, Calmar ratio is 1.40, maximum drawdown is - 8.26%, recent one - week return is 0.56%, and year - to - date return is 0.70% [12]. - RuleBased TS XGB - combine strategy: Annualized return is 11.0%, Sharpe ratio is 1.92, Calmar ratio is 2.23, maximum drawdown is - 4.95%, recent one - week return is 0.88%, and year - to - date return is - 2.24% [12]. - CS strategies, EW combine strategy: Annualized return is 12.8%, Sharpe ratio is 1.82, Calmar ratio is 1.73, maximum drawdown is - 7.38%, recent one - week return is - 0.92%, and year - to - date return is 3.74% [12]. - Among the above six strategies, the CWFT strategy performed best last week with a return of 0.28%, and the Long CWFT & Short CWFT strategy performed best year - to - date with a return of 6.45%. The equal - weighted composite strategy of the above cross - sectional strategies has an annualized return of 12.8%, a Sharpe ratio of 1.82, a Calmar ratio of 1.73, a maximum drawdown of - 7.38%, a recent one - week return of - 0.92%, and a year - to - date return of 3.74% [32].

1. Report Industry Investment Rating - There is no content regarding the report industry investment rating in the given text. 2. Core Viewpoints of the Report - In the government bond futures market, last week, all bond futures contracts closed higher, with the 30 - year and 10 - year contracts showing relatively large increases. The basis of each variety was differentiated. The market risk preference weakened, activating the hedging attribute of bond futures. The downward trend of government bond futures is not easy to reverse when the long - term bullish logic of the stock market remains unchanged and the coupon income of government bonds is not attractive. Only when the expected return of equity or risk assets declines marginally, the short - term hedging trading attribute of the bond market is more obvious [5]. - In the commodity CTA market, due to the outbreak of the US - Iran war, many domestic commodity varieties rose, especially in the energy - chemical sector. The volatility factor rose significantly, while the price - volume trend and value factors with longer - term positions suffered large losses. The term structure factor performed well. In the short term, the market may fluctuate more due to geopolitical games, and investors are advised to diversify risks and avoid over - concentrated positions [12][15]. 3. Summary According to Relevant Catalogs 3.1 Government Bond Futures Quantitative Strategy 3.1.1 Market Review - Last week, all bond futures contracts closed higher. The 30 - year main contract rose 0.63%, the 10 - year main contract rose 0.12%, the 5 - year main contract rose 0.09%, and the 2 - year main contract rose 0.03%. The basis of each variety was differentiated. The CTD bond of the 10 - year bond was 250025, and the basis on the 6th was about 0.06 yuan, slightly lower than the historical average. The CTD bond of the 30 - year bond was 210014, and the basis on the 27th was 0.54 yuan, slightly higher than the historical average [5]. 3.1.2 Daily - frequency Timing Strategy for Government Bond Futures - For the 10 - year government bond, from 2021/01/01 to the present, the annualized return, Sharpe ratio, and maximum drawdown of the single - leverage portfolio were 2.78%, 1.31, and 2.13% respectively. Since the report was released (2025/11/01 to the present), the corresponding figures were 2.98%, 1.85, and 0.67% respectively [5]. 3.1.3 Unilateral Strategy Performance - The strategy uses factors such as basis, intraday technical, intraday volume - price, high - frequency capital flow, member positions, and risk assets. The signals are generated by equal - weighting and averaging within each factor category, and the sign of the average is used as the long - short signal. The strategy trades at the VWAP of the first ten minutes of the next - day's opening with single - leverage buying [10]. 3.2 Commodity CTA Factor and Strategy Performance 3.2.1 Commodity Factor Performance - Affected by the US - Iran war, many domestic commodity varieties rose, especially in the energy - chemical sector. The volatility factor rose nearly 5%, while the price - volume trend and value factors with longer - term positions suffered large losses. The term structure factor performed well. In the short term, the market may fluctuate more due to geopolitical games, and investors are advised to diversify risks [12][15]. 3.2.2 Tracking Strategy Performance - Different strategies have different performance indicators. For example, the CWFT strategy has an annualized return of 9.3%, a Sharpe ratio of 1.60, a Calmar ratio of 1.05, and a maximum drawdown of - 8.81%. The C_frontnext & Short Trend strategy has an annualized return of 11.5%, a Sharpe ratio of 1.75, a Calmar ratio of 1.70, and a maximum drawdown of - 6.72%. The Long CWFT & Short CWFT strategy has an annualized return of 12.5%, a Sharpe ratio of 1.41, a Calmar ratio of 0.96, and a maximum drawdown of - 13.07% [13]. - Among the six strategies, the Long CWFT & Short CWFT strategy performed best last week with a return of 1.87% and also performed best since the beginning of this year with a return of 4.36%. The equal - weighted composite strategy of cross - sectional strategies has an annualized return of 12.7%, a Sharpe ratio of 1.82, a Calmar ratio of 1.72, a maximum drawdown of - 7.38%, a recent weekly return of 0.47%, and a return of 2.62% since the beginning of this year [37].

1. Report Industry Investment Rating There is no information provided regarding the report's industry investment rating. 2. Core Viewpoints of the Report - In the Treasury bond futures market, last week, all Treasury bond futures contracts ended higher, but the 30 - year, 10 - year, 5 - year, and 2 - year main contracts ended lower by 1.05%, 0.19%, 0.16%, and 0.06% respectively. The basis of each variety was differentiated. The market risk preference weakened, activating the hedging attribute of Treasury bond futures. The downward trend of Treasury bond futures is not likely to reverse when the long - term bull market logic of the stock market remains unchanged and the coupon income of Treasury bonds is not attractive. Only when the expected return of equity or risk assets declines marginally, the short - term hedging trading attribute of the bond market becomes more obvious. The medium - to - long - term trend strategy is still a relatively good choice for CTA strategies recently [5]. - After the Spring Festival, the domestic commodity market showed mixed trends. Popular varieties continued the high - volatility feature before the festival. Lithium carbonate, silver, and tin were the most significantly rising varieties last week, with an increase of over 10%, while polysilicon and caustic soda fell by over 5%. Overall, there were more rising varieties than falling ones. Among commodity factors, except for the basis and basis momentum factors which had negative returns, other types of commodity factors achieved positive returns in the cross - section. The volume - price trend factors had an average increase of over 1.5%, being the most outstanding factors last week [13][16]. 3. Summary by Relevant Catalogs 3.1 Treasury Bond Futures Quantitative Strategy 3.1.1 Treasury Bond Futures Market Review - Last week, all Treasury bond futures contracts ended higher, but the 30 - year main contract fell by 1.05%, the 10 - year main contract fell by 0.19%, the 5 - year main contract fell by 0.16%, and the 2 - year main contract fell by 0.06%. The basis of each variety was differentiated. The 10 - year CTD bond was 250025, and the basis on the 27th was about 0.03 yuan, slightly lower than the historical average. The 30 - year CTD bond was 210014, and the basis on the 27th was 0.43 yuan, slightly higher than the historical average [5]. - The market risk preference gradually weakened, activating the hedging attribute of Treasury bond futures. When the long - term bull market logic of the stock market remains unchanged and the coupon income of Treasury bonds is not attractive, the downward trend of Treasury bond futures is not likely to reverse. Only when the expected return of equity or risk assets declines marginally, the short - term hedging trading attribute of the bond market becomes more obvious [5]. 3.1.2 Treasury Bond Futures Daily - Frequency Timing Strategy - For the 10 - year Treasury bond, from 2021/01/01 to the present (out - of - sample), with a single - leverage portfolio, the annualized return, Sharpe ratio, and maximum drawdown were 2.76%, 1.31, and 2.13% respectively. Since the report was released (from 2025/11/01 to the present), with a single - leverage portfolio, the annualized return, Sharpe ratio, and maximum drawdown were 2.76%, 1.69, and 0.67% respectively [5]. 3.1.3 Unilateral Strategy Performance - The full - sample and post - report - release annualized returns were both 2.76%. The annualized volatility was 2.13% for the full sample and 1.63% after the report was released. The annualized Sharpe ratio was 1.30 for the full sample and 1.69 after the report was released. The maximum drawdown was 2.13% for the full sample and 0.67% after the report was released. The Calmar ratio was 1.30 for the full sample and 4.09 after the report was released [8]. 3.1.4 Strategy Details - The categories of large - scale factors include basis, intraday technical, intraday volume - price, high - frequency capital flow, member positions, and risk assets. The signals are generated by equal - weighting and averaging within large - scale factors, and the positive or negative sign of the average is used as the long - short signal. The strategy uses the VWAP of the first ten minutes of the next - day's opening as the trading price and buys with single leverage [11]. 3.2 Commodity CTA Factor and Strategy Performance 3.2.1 Commodity Factor Performance - After the Spring Festival, the domestic commodity market showed mixed trends. Popular varieties continued the high - volatility feature before the festival. Lithium carbonate, silver, and tin were the most significantly rising varieties last week, with an increase of over 10%, while polysilicon and caustic soda fell by over 5%. Overall, there were more rising varieties than falling ones. Among commodity factors, except for the basis and basis momentum factors which had negative returns, other types of commodity factors achieved positive returns in the cross - section. The volume - price trend factors had an average increase of over 1.5%, being the most outstanding factors last week, indicating that the post - festival market continued the previous price trend of bulk commodities, and the medium - to - long - term trend strategy is still a relatively good choice for CTA strategies recently [13][16]. 3.2.2 Tracking Strategy Performance | Strategy Name | Annualized Return | Sharpe Ratio | Calmar Ratio | Maximum Drawdown | Recent One - Week Return | Year - to - Date Return | | --- | --- | --- | --- | --- | --- | --- | | CWFT | 9.3% | 1.60 | 1.06 | - 8.81% | 0.96% | 1.59% | | C_frontnext & Short Trend | 11.2% | 1.72 | 1.67 | - 6.72% | 0.41% | 0.92% | | Long CWFT & Short CWFT | 12.2% | 1.38 | 0.94 | - 13.07% | 1.26% | 2.44% | | CS XGBoost | 5.0% | 0.82 | 0.24 | - 21.19% | - 1.15% | - 4.82% | | RuleBased TS Sharp - combine | 11.3% | 1.48 | 1.37 | - 8.26% | 0.42% | - 1.52% | | RuleBased TS XGB - combine | 11.3% | 1.98 | 2.53 | - 4.49% | 0.18% | - 1.34% | | CS strategies, EW combine | 12.6% | 1.81 | 1.71 | - 7.38% | 1.15% | 2.14% | [14] 3.2.3 Strategy Composition - CWFT portfolio: A simple composite portfolio of Carry, Warrant, Futurespot, and Trend factors. Factors within the same large category are equally weighted, and different large categories are compounded with weights of 5:2:2:1. - C_frontnext & Short Trend portfolio: While not changing the position direction of long - term spread factors, it tries to hedge the negative returns of short - term price fluctuations. C_frontnext is the main factor, and Short Trend (16 trend factors with a window parameter of 20 days) is the secondary factor. - Long CWFT & Short CWFT portfolio: The four types of factors C, W, Fs, and T are equally weighted and compounded within each category and then compounded with weights of 5:2:2:1. The long - cycle CWFT factor is the main factor, and the short - cycle CWFT factor is the secondary factor. - Cross - section CS XGB portfolio: A time - series factor XGB portfolio based on all market varieties, trained with samples from 20091231 - 20191231. - RuleBased TS Sharp - weighted portfolio: A time - series factor strategy based on rule - based long - short signals, obtained by stacking factor libraries with rules and coarsening window parameters, and then obtaining a Sharpe - weighted portfolio after in - sample screening. - RuleBased TS XGB portfolio: A time - series factor strategy based on rule - based long - short signals, obtained by stacking factor libraries with rules and coarsening window parameters, and then obtaining an XGBoost portfolio after in - sample screening [20]. 3.2.4 Strategy Position and Performance Details - CWFT strategy: Last week, it held 26 varieties, with a net position of 18.2%, a total position return of 1.0%, and a win - rate of 61.5%. This week, it holds 26 varieties, with a net position of 18.4%, 0 varieties need to be rolled over, and the total turnover capital ratio is 23.0% [22]. - C_frontnext & Short Trend strategy: Last week, it held 26 varieties, with a net position of 33.6%, a total position return of 0.4%, and a win - rate of 46.2%. This week, it holds 26 varieties, with a net position of 37.6%, 1 variety needs to be rolled over, and the total turnover capital ratio is 63.8% [24]. - Long CWFT & Short CWFT strategy: Last week, it held 26 varieties, with a net position of 58.2%, a total position return of 1.3%, and a win - rate of 69.2%. This week, it holds 26 varieties, with a net position of 56.3%, 0 varieties need to be rolled over, and the total turnover capital ratio is 25.0% [26]. - CS XGBoost strategy: Last week, it held 24 varieties, with a net position of 0.0%, a total position return of - 1.1%, and a win - rate of 50.0%. This week, it holds 24 varieties, with a net position of 0.0%, 1 variety needs to be rolled over, and the total turnover capital ratio is 60.9% [28]. - RuleBased TS Sharp - combine strategy: Last week, it held 44 varieties, with a net position of - 36.5%, a total position return of 0.8%, and a win - rate of 68.2%. This week, it holds 45 varieties, with a net position of - 26.6%, 2 varieties need to be rolled over, and the total turnover capital ratio is 39.7% [30]. - RuleBased TS XGB - combine strategy: Last week, it held 44 varieties, with a net position of - 49.9%, a total position return of 0.5%, and a win - rate of 61.4%. This week, it holds 45 varieties, with a net position of - 32.9%, 2 varieties need to be rolled over, and the total turnover capital ratio is 55.0% [32]. 3.2.5 Strategy Performance Comparison - Among the six strategies, Long CWFT & Short CWFT performed the best last week with a return of 1.26%, and also performed the best year - to - date with a return of 2.44%. - The equal - weighted composite strategy of the above cross - section strategies (equal - weighted weekly returns) has an annualized return of 12.6%, a Sharpe ratio of 1.81, a Calmar ratio of 1.71, a maximum drawdown of - 7.38%, a recent one - week return of 1.15%, and a year - to - date return of 2.14% [36].

1. Report Industry Investment Rating No information provided in the report. 2. Core Viewpoints of the Report - Last week, the performance of Treasury bond futures was differentiated, with the 30 - year main contract down - 0.33%, the 10 - year main contract up 0.11%, the 5 - year main contract up 0.01%, and the 2 - year main contract down - 0.02%. The basis of each variety was also differentiated. The CTD bond of the 10 - year Treasury bond was 250018, and the basis on the 30th was about 0.05 yuan, which was the same as the historical average. The CTD bond of the 30 - year Treasury bond was 210005, and the basis on the 30th was 0.27 yuan, higher than the historical average. It is expected that the subsequent trend of Treasury bond futures will change from shock to strength [6]. - The domestic commodity market rose last week, with silver rising the most (24%) and fuel oil rising more than 10%, while lithium carbonate and polysilicon declined more. Commodity factors continued to perform strongly, and factors other than basis and warrant factors performed well, with the average returns of term - structure and value factors exceeding 1%. The volatility of commodity factor returns is increasing, and investors are advised to focus on commodity factors with long - term expected return capabilities [19]. 3. Summary by Relevant Catalogs (1) Treasury Bond Futures Quantitative Strategy - **Market Review**: Last week, the performance of each Treasury bond futures variety was differentiated, and the basis was also differentiated. The influence of commodities such as gold, silver, and copper on Treasury bond futures was small, and the performance was shock - weak last week. With the release of economic data in January, it is expected that inflation data will not be weak, and the market is worried about the stock market rising during the Spring Festival and the Two Sessions. The probability of the subsequent trend changing from shock to strength is relatively high. The sentiment index of A - share options and interval - shock technical indicators in timing factors have performed well recently [6]. - **Sharpe Ratio Ranking of Factors**: - **10 - year Treasury bond**: The factors ranked by Sharpe ratio are basis factor, risk asset, and member position, with Sharpe ratios of 1.68, 1.93, and 0.59 in 2025 respectively [12]. - **5 - year Treasury bond**: The factors ranked by Sharpe ratio are high - frequency capital flow, intraday volume - price, risk asset, member position, and basis factor, with Sharpe ratios of 2.51, 2.27, 1.71, 1.33, and 0.78 in 2025 respectively [13]. - **2 - year Treasury bond**: The factors ranked by Sharpe ratio are high - frequency capital flow, basis factor, intraday volume - price, and member position, with Sharpe ratios of 2.45, 1.82, 1.59, and 0.82 in 2025 respectively [14]. (2) Commodity CTA Factor and Strategy Performance - **Commodity Factor Performance**: The domestic commodity market rose last week. Silver rose the most (24%), and fuel oil rose more than 10%, while lithium carbonate and polysilicon declined more. Commodity factors continued to perform strongly, and factors other than basis and warrant factors performed well, with the average returns of term - structure and value factors exceeding 1%. The volatility of commodity factor returns is increasing, and investors are advised to focus on commodity factors with long - term expected return capabilities [19]. - **Tracking Strategy Performance**: - **CWFT Strategy**: Annualized return of 9.4%, Sharpe ratio of 1.61, Calmar of 1.06, maximum drawdown of - 8.81%, last - week return of 0.65%, and year - to - date return of 1.49% [20]. - **C_frontnext & Short Trend Strategy**: Annualized return of 11.2%, Sharpe ratio of 1.71, Calmar of 1.67, maximum drawdown of - 6.72%, last - week return of 0.37%, and year - to - date return of 0.31% [20]. - **Long CWFT & Short CWFT Strategy**: Annualized return of 12.3%, Sharpe ratio of 1.39, Calmar of 0.94, maximum drawdown of - 13.07%, last - week return of 1.63%, and year - to - date return of 2.34% [20]. - **CS XGBoost Strategy**: Annualized return of 5.0%, Sharpe ratio of 0.82, Calmar of 0.24, maximum drawdown of - 21.19%, last - week return of - 2.23%, and year - to - date return of - 5.32% [20]. - **RuleBased TS Sharp - combine Strategy**: Annualized return of 11.6%, Sharpe ratio of 1.52, Calmar of 1.40, maximum drawdown of - 8.26%, last - week return of 0.03%, and year - to - date return of - 0.57% [20]. - **RuleBased TS XGB - combine Strategy**: Annualized return of 11.1%, Sharpe ratio of 1.94, Calmar of 2.48, maximum drawdown of - 4.49%, last - week return of - 1.19%, and year - to - date return of - 3.09% [20]. - **CS strategies, EW combine Strategy**: Annualized return of 12.7%, Sharpe ratio of 1.81, Calmar of 1.72, maximum drawdown of - 7.38%, last - week return of 0.63%, and year - to - date return of 1.54% [20]. - **Performance Comparison**: Among the above six strategies, the Long CWFT & Short CWFT strategy performed the best last week with a return of 1.63%, and also performed the best year - to - date with a return of 2.34%. The equal - weighted composite strategy of the above cross - sectional strategies (equal - weighted weekly returns) has an annualized return of 12.7%, a Sharpe ratio of 1.81, a Calmar of 1.72, a maximum drawdown of - 7.38%, a last - week return of 0.63%, and a year - to - date return of 1.54% [39].