证 券 研 究 报 告 金融工程月报 成长红利均衡配置， 关注大盘补涨机会 ——9月风格轮动观点 报告日期：2025年8月27日 n 分析师：吕思江 n SAC编号：S1050522030001 n 联系人：武文静 n SAC编号：S1050123070007 0 1 多 维 量 化 轮 动 模 型 ： 成 长 红 利 均 衡 配 置 1.1 本月观点：成长红利均衡配置 | 业绩统计 | 创业板指 | 中证红利全收益 | 基准:等权配置 | 轮动策略 | 轮动策略/基准 | | --- | --- | --- | --- | --- | --- | | 累计收益 | -1.16% | 98.21% | 48.30% | 348.20% | 199.36% | | 年化收益 | -0.12% | 7.57% | 4.29% | 17.35% | 12.41% | | 最大回撤 | 57.05% | 27.08% | 35.22% | 27.08% | 13.16% | | 年化波动率 | 28.32% | 17.60% | 20.76% | 23.14% | 11.00% | | 年化sharpe | 0.00 ...

市场主流观点汇总 2025/8/26 此报告，意在客观反映行业内期货公司、证券公司对大宗商品各品种的 研究观点，追踪热点品种，分析市场投资情绪，总结投资驱动逻辑等。 本报告不构成个人投资建议，仅供公司内部使用，仅作参考之用。 报告说明 期货从业资格证号：F3036000 投资咨询从业资格证号：Z0016090 黄 恬 期货从业资格证号：F03100883 投资咨询从业资格证号：Z0021089 | 报告中策略观点和投资逻辑是基于所采纳的机构当周公开发布的研究报 | | --- | | 告，对于各期货品种的多空观点、交易逻辑进行整理加工汇总而成，收 | | 盘价数据选择上周五，周度涨跌为上周五较前一周五收盘价变动幅度。 | | 【行情数据】 | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | | 资产类别 | 细分品种 | 收盘价 | | 周度涨跌情况 | | | | | 数据时点 | | 2025/8/22 | | 2025/8/18 | 至 | 2025/8/22 | | | | PTA | 4868.00 | PTA | | ...

美联储突然认怂！万亿杠杆压顶，降息竟是饮鸩止渴？ 当鲍威尔嘴硬半年后突然改口"需要调整政策"时，华尔街交易员们疯狂押注九月降息——却没人注意到，一点零二万亿美元保证金债务正发出熔 断前的红光！ 金融市场昨夜经历史诗级反转！美联储主席鲍威尔刚说完"需要调整政策"，黄金瞬间暴涨30美元，美元指数应声下跌。但狂欢背后藏着致命危 机：美国投资者借钱炒股规模已达1.02万亿美元，正刷新历史最高杠杆纪录！ 鹰鸽大战撕裂美联储 这场政策急转弯背后是罕见的内部分裂： - 鹰派嘴硬：卡什卡利坚称"通胀仍是头号敌人" - 鸽派抢权：鲍曼从鹰王秒变降息急先锋，沃勒紧跟鼓吹速降 - 历史性泄露：七月会议纪要显示两名理事反水要求立即降息 特朗普的威胁只是背景噪音，真正逼美联储低头的是华尔街的流动性饥渴！财政部"大而美"法案后疯狂发债，回购利率数次跳升，美元荒已到临 界点——再不放水，金融体系九月就要断粮。 致命杠杆堆到天上 当前市场狂欢像极泡沫前夜： 1. 杠杆爆表：1.02万亿保证金债务占GDP3.5%，超2008年金融危机两倍 2. 疯炒泡沫：特斯拉单日涨6%但市盈率高达80倍，比2021年meme股更荒唐 3. 散户癫狂：聪明钱 ...

凌云社区为成员量身打造三大基金投资选择 随着全球经济快速变革和市场波动加剧，投资者的需求也越来越多样化。凌云社区深知社区成员在投资过程中面对的挑战与机遇，特 别是在不同风险偏好和财务目标下的多元化需求。为此，凌云社区正式推出三大基金产品——极速基金、增值基金和稳定基金，为社 区成员提供灵活、安全且高效的投资选择，帮助他们在复杂市场中找到适合自己的理财方式。 二．服务社区成员，构建信任与专业支持 一．精准布局三大基金，满足不同需求 1.极速基金：短期高效交易选择 对于风险承受能力较强、喜欢捕捉市场短期机会的社区成员，极速基金是理想选择。该基金主要投资比特币、以太坊、黄金等高波动 性资产，通过日内交易策略和先进交易系统实现高效增值。极速基金为社区成员提供了资金高周转和即时市场机会的投资平台，让热 衷短期投资的朋友能够紧跟市场节奏。 2.增值基金：中长期稳健增值 对于追求资产长期稳健增长的社区成员，增值基金提供了平衡风险与收益的投资方案。基金主要投资于成熟市场和新兴市场的优质交 易所交易基金（ETF），如标普500、纳斯达克100和沪深300等。通过长期持有和科学配置，增值基金致力于帮助社区成员实现资产增 值，同时 ...

贴水持续收敛，市场情绪延续乐观 [Table_ReportTime] 2025 年 8 月 23 日 请阅读最后一页免责声明及信息披露 http://www.cindasc.com 1 [Table_FirstAuthor] 于明明 金融工程与金融产品首席分析师 执业编号：S1500521070001 联系电话：+86 18616021459 邮 箱：yumingming@cindasc.com 证券研究报告 金工研究 崔诗笛 金融工程与金融产品 金融工程分析师 执业编号：S1500523080001 联系电话：+86 18516560686 邮 箱：cuishidi@cindasc.com 孙石 金融工程与金融产品 金融工程分析师 执业编号：S1500523080010 联系电话：+86 18817366228 邮 箱：sunshi@cindasc.com 信达证券股份有限公司 CINDA SECURITIES CO.,LTD 北京市西城区宣武门西大街甲 127 号金隅 大厦 B座 邮编：100031 [贴水持续收敛 Table_Title] ，市场情绪延续乐观 [Table_ReportDate] 202 ...

Report Industry Investment Rating - Not provided in the content Core View of the Report - The report presents the daily arbitrage data of various futures varieties of Baocheng Futures on August 22, 2025, including power coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures [1][5][21][27][39][50] Summary by Category Power Coal - The table shows the basis and spreads (5 - 1 month, 9 - 1 month, 9 - 5 month) of power coal from August 15 to August 21, 2025. The basis on August 21 was - 97.4 yuan/ton, and the spreads were all 0.0 [1][2] Energy and Chemicals Energy Commodities - Data on the basis of energy commodities (fuel oil, INE crude oil, crude oil/asphalt) from August 15 to August 21, 2025 are provided, along with the ratio of crude oil to asphalt and other information [7] Chemical Commodities - The basis data of chemical commodities (rubber, methanol, PTA, LLDPE, V, PP) from August 15 to August 21, 2025 are presented. For example, the basis of rubber on August 21 was - 920 yuan/ton [9] - The table shows the inter - period spreads (5 - 1 month, 9 - 1 month, 9 - 5 month) of chemical commodities (rubber, methanol, PTA, LLDPE, PVC, PP, ethylene glycol) and inter - variety spreads (LLDPE - PVC, LLDPE - PP, PP - PVC, PP - 3*methanol) from August 15 to August 21, 2025 [11] Black Metals - The basis data of black metals (rebar, iron ore, coke, coking coal) from August 15 to August 21, 2025 are given. For instance, the basis of rebar on August 21 was 199.0 yuan/ton [21] - The inter - period spreads (5 - 1 month, 9(10) - 1 month, 9(10) - 5 month) and inter - variety spreads (rebar/iron ore, rebar/coke, coke/coking coal, rebar - hot - rolled coil) of black metals are presented [20] Non - Ferrous Metals Domestic Market - The domestic basis data of non - ferrous metals (copper, aluminum, zinc, lead, nickel, tin) from August 15 to August 21, 2025 are shown. For example, the basis of copper on August 21 was 220 yuan/ton [28] London Market - Data on LME non - ferrous metals (copper, aluminum, zinc, lead, nickel, tin) on August 21, 2025 are provided, including LME premium/discount, Shanghai - London ratio, CIF, domestic spot price, and import profit and loss [34] Agricultural Products - The basis data of agricultural products (soybean No.1, soybean No.2, soybean meal, soybean oil, corn, etc.) from August 15 to August 21, 2025 are presented [39] - The inter - period spreads (5 - 1 month, 9 - 1 month, 9 - 5 month) of agricultural products (soybean No.1, soybean No.2, soybean meal, soybean oil, rapeseed meal, etc.) are shown [39] - The inter - variety spreads (soybean No.1/corn, soybean No.2/corn, soybean oil/soybean meal, soybean meal - rapeseed meal, etc.) of agricultural products from August 15 to August 21, 2025 are provided [39] Stock Index Futures - The basis data of stock index futures (CSI 300, SSE 50, CSI 500, CSI 1000) from August 15 to August 21, 2025 are given. For example, the basis of CSI 300 on August 21 was 5.87 [51] - The inter - period spreads (next month - current month, next quarter - current quarter) of stock index futures are presented [53]

Core Viewpoint - The article emphasizes the importance of managing investment risks and optimizing potential returns in the current market environment, suggesting strategies for both risk reduction and return enhancement [1][10]. Risk Reduction Strategies - Utilize short-term funds for investment in funds to avoid the "recency effect" and prevent hasty decisions driven by market trends [2]. - Prioritize investing with funds that are not needed for at least one year, and avoid going all-in [3]. - Implement the "lifecycle method" to determine the appropriate allocation to equity assets based on age, suggesting a formula of (80 - age) / 80 * 100% for equity allocation [6][7]. - Diversify investments across low-correlation funds to smooth out volatility, focusing on both the number of funds and the sectors/styles of investment [8][9]. Return Enhancement Strategies - Choose better trading times, emphasizing the principle of "buy low, sell high" and the importance of patience in holding investments [11][13][15]. - Extend the investment horizon to capture higher returns, as many successful investments require time to realize gains [14][16]. - Select superior investment targets, recommending passive indices during certain market phases and suggesting a diversified approach to index investments [17][18]. Conclusion - The article concludes that successful investing is fundamentally about "buying low and selling high," yet many investors struggle with emotional biases that lead to poor decision-making [19][20][21].

Report Summary 1. Report Industry Investment Rating No information provided in the given content. 2. Core Viewpoints of the Report The report objectively reflects the research views of futures and securities companies on various commodity varieties, tracks hot - spot varieties, analyzes market investment sentiment, and summarizes investment driving logics. It presents the market mainstream views on different asset classes, including their price changes and the corresponding multi - and short - term logics[2]. 3. Summary by Related Catalogs 3.1 Market Price Data - **Commodities**: From August 11 to August 15, 2025, palm oil had the highest weekly increase of 5.11% at a closing price of 9460.00; while gold had the largest weekly decline of 1.52% at a closing price of 775.80. Other commodities like polysilicon, bean meal also showed varying degrees of increase or decrease[3]. - **Stocks**: A - shares (CSI 500, SSE 50, etc.), overseas stocks (Nikkei 225, S&P 500, etc.) generally showed an upward trend. For example, CSI 500 increased by 3.88%[3]. - **Bonds**: Chinese 10 - year government bonds increased by 2.36%, while 2 - year government bonds decreased by 0.26%[3]. - **Foreign Exchange**: The euro against the US dollar increased by 0.54%, while the US dollar index decreased by 0.43%[3]. 3.2 Commodity Views 3.2.1 Macro - Financial Sector - **Stock Index Futures**: Among 8 institutions, 4 were bullish, 1 was bearish, and 3 expected a sideways trend. Bullish factors included increased trading volume in the stock market, favorable policies, and improved liquidity. Bearish factors were potential over - heating in some indices and high A - share valuations[5]. - **Treasury Bond Futures**: Among 7 institutions, 1 was bullish, 3 were bearish, and 3 expected a sideways trend. Bullish factors were loose funds, central bank's net injection, and weak economic data. Bearish factors were volatile long - term bonds and strong stock market performance[5]. 3.2.2 Energy Sector - **Crude Oil**: Among 9 institutions, 2 were bullish, 4 were bearish, and 3 expected a sideways trend. Bullish factors included high - load operation of US refineries and expected end of OPEC+ production increase. Bearish factors were the progress of US - Russia summit and the slowdown of Asian oil demand[6]. 3.2.3 Agricultural Products Sector - **Palm Oil**: Among 8 institutions, 4 were bullish and 4 expected a sideways trend. Bullish factors were strong export data and low inventory in some regions. Bearish factors were the call for policy re - evaluation in Indonesia and increased domestic inventory[6]. 3.2.4 Non - Ferrous Metals Sector - **Aluminum**: Among 7 institutions, 1 was bullish, 1 was bearish, and 5 expected a sideways trend. Bullish factors were improved macro - policies and low domestic inventory. Bearish factors were US tariff expansion and unstable trade situation[7]. 3.2.5 Chemical Sector - **Methanol**: Among 8 institutions, 5 were bearish and 3 expected a sideways trend. Bullish factors were policy support and cost increase. Bearish factors were high import volume and low demand in the off - season[7]. 3.2.6 Precious Metals Sector - **Gold**: Among 8 institutions, 1 was bearish and 7 expected a sideways trend. Bullish factors were expected Fed rate cuts and economic data deterioration. Bearish factors were high PPI data and improved risk appetite[8]. 3.2.7 Black Metals Sector - **Iron Ore**: Among 8 institutions, 1 was bullish, 3 were bearish, and 4 expected a sideways trend. Bullish factors were increased iron - water production and decreased global shipments. Bearish factors were increased port inventory and weak demand for steel products[8].

Group 1 - The report emphasizes that the current market is experiencing a liquidity-driven bull market, with the potential for a transition to a fundamental bull market by the end of the year, contingent on external factors such as global tariff resolutions and fiscal expansions in major economies [3][4][87] - The report identifies a significant performance gap between growth stocks, particularly in the ChiNext index, and value stocks, suggesting that the ChiNext index is currently undervalued and poised for further gains [2][31][50] - The report highlights the increasing inflow of southbound funds into Hong Kong stocks, particularly in the technology sector, indicating a shift in investor sentiment towards growth-oriented assets [12][32][44] Group 2 - The report outlines a "three-headed bull" market scenario, which includes a short-term liquidity bull market, a mid-term fundamental bull market, and a long-term transition from old to new economic drivers, suggesting a comprehensive market recovery [3][4][5] - The report notes that the current market environment is conducive to a structural shift towards "middle assets," which are expected to outperform as the economy stabilizes and earnings begin to recover [46][47][56] - The report indicates that the current valuation of the ChiNext index is at a historical low, with a price-to-earnings ratio of 33.89, suggesting a relative valuation advantage compared to other major indices [50][51][52]

Quantitative Models and Construction Methods 1. Model Name: Continuous Hedging Strategy - **Model Construction Idea**: This strategy is based on the analysis of basis convergence factors and optimization strategies, as detailed in the "Cinda Financial Engineering Derivatives Research Report Series III"[44] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to August 15, 2025[45] - **Spot Side**: Hold the total return index of the corresponding underlying index[45] - **Futures Side**: Use 70% of the funds for the spot side and allocate the same nominal principal amount to short futures contracts of CSI 500, CSI 300, SSE 50, and CSI 1000 indices, occupying the remaining 30% of the funds[45] - **Rebalancing Rules**: Continuously hold quarterly/monthly contracts until the remaining time to maturity is less than 2 days, then close the position at the closing price and simultaneously short the next quarterly/monthly contract at the closing price[45] - **Assumptions**: Equal allocation of principal between spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[45] 2. Model Name: Minimum Basis Strategy - **Model Construction Idea**: This strategy selects contracts with the smallest annualized basis discount to optimize hedging performance[46] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to August 15, 2025[46] - **Spot Side**: Hold the total return index of the corresponding underlying index[46] - **Futures Side**: Use 70% of the funds for the spot side and allocate the same nominal principal amount to short futures contracts of CSI 500, CSI 300, SSE 50, and CSI 1000 indices, occupying the remaining 30% of the funds[46] - **Rebalancing Rules**: Calculate the annualized basis for all tradable futures contracts on the day of rebalancing and select the contract with the smallest basis discount for opening positions. Hold the same contract for 8 trading days or until the remaining time to maturity is less than 8 days before selecting a new contract[46] - **Assumptions**: Equal allocation of principal between spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[46] --- Model Backtesting Results 1. Continuous Hedging Strategy - **CSI 500**: - Annualized Return: -3.00% (monthly), -2.17% (quarterly)[48] - Volatility: 3.82% (monthly), 4.71% (quarterly)[48] - Maximum Drawdown: -9.01% (monthly), -8.34% (quarterly)[48] - Net Value: 0.9112 (monthly), 0.9351 (quarterly)[48] - Annual Turnover: 12 (monthly), 4 (quarterly)[48] - 2025 YTD Return: -4.34% (monthly), -1.89% (quarterly)[48] - **CSI 300**: - Annualized Return: 0.42% (monthly), 0.57% (quarterly)[51] - Volatility: 2.97% (monthly), 3.32% (quarterly)[51] - Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly)[51] - Net Value: 1.0128 (monthly), 1.0174 (quarterly)[51] - Annual Turnover: 12 (monthly), 4 (quarterly)[51] - 2025 YTD Return: -1.06% (monthly), -0.24% (quarterly)[51] - **SSE 50**: - Annualized Return: 0.98% (monthly), 1.87% (quarterly)[56] - Volatility: 3.08% (monthly), 3.50% (quarterly)[56] - Maximum Drawdown: -4.22% (monthly), -3.76% (quarterly)[56] - Net Value: 1.0301 (monthly), 1.0583 (quarterly)[56] - Annual Turnover: 12 (monthly), 4 (quarterly)[56] - 2025 YTD Return: -0.08% (monthly), 0.89% (quarterly)[56] - **CSI 1000**: - Annualized Return: -6.19% (monthly), -4.65% (quarterly)[60] - Volatility: 4.71% (monthly), 5.76% (quarterly)[60] - Maximum Drawdown: -14.01% (monthly), -12.63% (quarterly)[60] - Net Value: 0.8362 (monthly), 0.8654 (quarterly)[60] - Annual Turnover: 12 (monthly), 4 (quarterly)[60] - 2025 YTD Return: -10.21% (monthly), -5.84% (quarterly)[60] 2. Minimum Basis Strategy - **CSI 500**: - Annualized Return: -1.32%[48] - Volatility: 4.60%[48] - Maximum Drawdown: -7.97%[48] - Net Value: 0.9603[48] - Annual Turnover: 17.36[48] - 2025 YTD Return: -1.85%[48] - **CSI 300**: - Annualized Return: 1.22%[51] - Volatility: 3.10%[51] - Maximum Drawdown: -4.06%[51] - Net Value: 1.0378[51] - Annual Turnover: 15.39[51] - 2025 YTD Return: 0.41%[51] - **SSE 50**: - Annualized Return: 1.64%[56] - Volatility: 3.10%[56] - Maximum Drawdown: -3.91%[56] - Net Value: 1.0509[56] - Annual Turnover: 16.05[56] - 2025 YTD Return: 0.97%[56] - **CSI 1000**: - Annualized Return: -4.02%[60] - Volatility: 5.56%[60] - Maximum Drawdown: -11.11%[60] - Net Value: 0.8720[60] - Annual Turnover: 15.97[60] - 2025 YTD Return: -5.09%[60] --- Quantitative Factors and Construction Methods 1. Factor Name: Cinda-VIX - **Factor Construction Idea**: Reflects investors' expectations of future volatility in the options market, with a term structure to capture expectations over different time horizons[62] - **Factor Construction Process**: Adjusted based on overseas methodologies and tailored to China's options market[62] - **Factor Evaluation**: Provides insights into market volatility expectations and serves as a valuable tool for risk management[62] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, capturing market expectations of tail risks[69] - **Factor Construction Process**: Analyzes the slope of implied volatility to assess market sentiment towards extreme events[69] - **Factor Evaluation**: Useful for identifying market concerns about potential large-scale risks, often referred to as the "Black Swan Index"[70] --- Factor Backtesting Results 1. Cinda-VIX - **30-Day VIX Values**: - SSE 50: 24.25[62] - CSI 300: 24.25[62] - CSI 500: 28.09[62] - CSI 1000: 27.87[62] 2. Cinda-SKEW - **SKEW Values**: - SSE 50: 100.82[70] - CSI 300: 105.10[70] - CSI 500: 99.01[70] - CSI 1000: 109.56[70]