Report Investment Ratings - Index Futures: ★★★ [1] - Treasury Bond Futures: ★★★ [1] Core Views - As of the week ending December 26, index futures showed divergence. IH2601 rose 1.45%, IF2601 rose 2.79%, IC2601 rose 4.86%, and IM2601 rose 4.97%. Sectors such as satellite communications and new energy were strong. The market is currently being repaired by capital sentiment, and major broad-based indexes are approaching previous highs [1]. - From the high-frequency macro fundamental factor scores, for index futures, inflation indicator scored 8 points, liquidity indicator scored 9 points, valuation indicator scored 11 points, and market sentiment indicator scored 9 points. For treasury bond futures, inflation indicator scored 8 points, liquidity indicator scored 9 points, and market sentiment indicator scored 5 points [1]. - The weighted annualized basis rate (dividend - adjusted) of the ending positions of IH, IF, IC, and IM were 1.05%, - 1.36%, - 3.5%, and - 6.52% respectively, and the discount of far - month contracts narrowed compared to last week [1]. - The net value of the financial derivatives quantitative CTA strategy rose 0.92% last week, with the profit coming from opening a long position in IC on Thursday and closing it. In the long - term, industrial enterprise profits at the production end showed an over - seasonal decline, with relatively large declines in IF and IH, and relatively small changes in treasury bond futures. In the short - term, medium - and high - frequency real estate and consumption remained weak, the RMB continued to appreciate against the US dollar, the capital situation remained relatively loose, but the short - term increase was relatively limited [1]. Summary by Directory Macro Fundamental Medium - and High - Frequency Factor Scores - Among economic kinetic energy indicators, the blast furnace开工率 decreased by 3.11%, the开工率 of PTA in China decreased by 3.11%, the refining plant开工率 in Shandong increased by 4.98%, etc. Both index futures and treasury bond futures scored 8 points [2]. Inflation Indicators - The vegetable basket product wholesale price 200 index decreased by 0.64%, the price of 1 electrolytic copper increased by 4.61%, etc. Both index futures and treasury bond futures scored 8 points [3]. Liquidity - DR007 increased by 5.72%, DR001 decreased by 1.18%, etc. Index futures scored 9 points [4]. Index Valuation - The price - earnings ratio (TTM) increased by 1.37%, the price - sales ratio (TTM) increased by 1.38%, etc. Index futures scored 10 points [5]. Market Sentiment: Index - The margin trading balance increased by 1.58%, the securities lending balance increased by 1.04%, etc. Index futures scored 9 points [6] Market Sentiment: Bonds - The 10 - year CDB bond yield increased by 0.74%, the US S&P 500 volatility index decreased by 8.79%, etc. Treasury bond futures scored 5 points [7] Strategy Introduction - The product pool includes index futures and treasury bond futures. The short - term model focuses on market style, external factors, and capital data, while the long - term model focuses on market expectations and macroeconomic data. The position indicator is synthesized based on institutional long and short positions [15]. Forecast Signals as of Last Friday - The comprehensive signals of IF, IH, IC, IM, T, and TF were 0.52, 0.51, 0.53, 0.51, 0.51, and 0.5 respectively [16]. Last Week's Situation - The trading signals of different contracts on different days last week are presented in the table, with some days having no signals and some days having signals for specific contracts [18] Treasury Bond Futures Cross - Variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the signal resonance of the fundamental three - factor model and the trend regression model. The fundamental factor uses the instantaneous forward - rate function proposed by Nelson and Siegel. The actual operation uses a 1:1.8 ratio to adjust the 10 - 5Y spread [19] TF and T Main Contract Trading Signals - From December 22 to December 26, 2025, the N - S model and trend regression model signals for TF and T main contracts were mostly 0, with a - 1 signal from the N - S model on December 25 [22]

1. Report Industry Investment Ratings - The investment ratings for stock indices and government bonds are ☆☆☆, indicating a relatively clear long/short trend and current appropriate investment opportunities [1] 2. Core Views of the Report - As of the week ending November 28, stock index futures showed differentiation. IH2512 rose 1.27%, IF2512 rose 2.67%, IC2512 rose 4.29%, and IM2512 rose 4.84%. The driving logic of policy and capital did not change significantly, overseas macro was relatively stable, domestic capital remained relatively loose, and overall risk appetite recovered [1] - The high - frequency macro - fundamental factor scores showed that for stock index futures, the inflation indicator scored 8 points, the liquidity indicator scored 9 points, the valuation indicator scored 11 points, and the market sentiment indicator scored 9 points. For government bond futures, the inflation indicator scored 8 points, the liquidity indicator scored 10 points, and the market sentiment indicator scored 7 points [1] - The net value of the financial derivatives quantitative CTA strategy rose slightly by 0.51% last week. In the long - term, most economic data in November showed weakening growth, and IF and IC were under pressure. In the short - term, high - frequency real estate and consumption remained weak, the RMB appreciated against the US dollar, and the capital remained relatively loose with a limited short - term increase. Risk appetite recovered compared to last week, with IF and IH remaining neutral and IC and IM rising significantly. The overall comprehensive signal was above neutral. For government bond futures, the capital remained loose, market risk appetite was conducive to bond market repair, but the stock - bond seesaw effect was not significant, and the comprehensive signal was in a neutral oscillation [1] 3. Summary by Related Catalogs 3.1 Macro - fundamental Medium - and High - frequency Factor Scores - Among economic kinetic factors, the blast furnace开工率 decreased by 1.68%, the开工率 of PTA in China decreased by 1.68%, the refining plant开工率 in Shandong increased by 7.92%, the开工率 of automobile tires decreased by 4.98%, and the开工率 of downstream looms in the polyester filament industry in the Jiangsu and Zhejiang regions increased by 5.67%. The stock index futures score was 8, and the government bond futures score was 0 [2] 3.2 Inflation Indicators - The vegetable basket product wholesale price 200 index rose 0.73%, the coking coal index rose 0.57%, the price of 1 electrolytic copper rose 0.92%, the South China styrene index rose 1.81%, the CIF price of liquefied natural gas in China remained unchanged, the compound fertilizer index rose 1.30%, and the settlement price of natural rubber rose 1.35%. The stock index futures and government bond futures scores were both 8 [3] 3.3 Liquidity - DR007 decreased by 0.24%, DR001 decreased by 1.17%, GC001 weighted average increased by 5.63%, GC007 weighted average decreased by 2.57%, SHIBOR overnight decreased by 0.68%, SHIBOR 1 - week increased by 0.48%, the US dollar index decreased by 0.76%, and the inter - bank certificate of deposit yield (AAA) for 1 - month remained unchanged. The stock index futures score was 9 [4] 3.4 Index Valuation - The price - earnings ratio (TTM) rose 1.66%, the price - sales ratio (TTM) rose 1.66%, the dividend yield (last 12 months) decreased by 2.15%, and the price - cash - flow ratio (operating cash flow TTM) rose 1.67%. The stock index futures score was 10 [5] 3.5 Market Sentiment: Stock Indices - The margin trading balance rose 0.46%, the short - selling balance rose 5.09%, the net purchase amount of northbound funds was unchanged, the selling amount of northbound funds was unchanged, and the Shanghai Stock Exchange A - share trading volume decreased by 26.01%. The government bond futures score was 9 [6] 3.6 Market Sentiment: Bonds - The yield of 10 - year China Development Bank bonds rose 1.65%, the VIX index of the US S&P 500 decreased by 30.22%, the credit spread (median) of all industrial bonds remained unchanged, and the trading volume of the Shanghai Stock Exchange government bond index rose 33.65%. The government bond futures score was 7 [7] 3.7 Strategy Introduction - The product pool includes stock index futures and government bond futures. The short - term model focuses on market style, external factors, and capital, while the long - term model focuses on market expectations and macro - economic data. The position volume is synthesized considering institutional long and short positions [17] 3.8 Forecast Signals - The short - term model signals for IF, IH, IC, IM, T, and TF were 0.51, 0.51, 0.52, 0.53, 0.53, and 0.52 respectively; the position volume indicators were 0, 0, 1, 0, 0, and 0 respectively; the long - term model signals were 0.52, 0.5, 0.52, 0.51, 0.51, and 0.52 respectively; the comprehensive signals were 0.52, 0.51, 0.55, 0.5, 0.51, and 0.53 respectively [18] 3.9 Last Week's Situation - From November 24 to 28, the signals for IF, IH, IC, IM, T, and TF were mostly 0 [20] 3.10 Government Bond Futures Cross - variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the resonance of signals from the fundamental three - factor model and the trend regression model. The fundamental three - factor model uses the Nelson - Siegel instantaneous forward - rate function, and the signals are classified into three types: '1', '0', and '-1'. The trend regression model filters signals, and trading occurs when there is resonance. In practice, the 10 - 5Y spread is adjusted with a 1:1.8 ratio [21] 3.11 TF and T Main Contract Trading Signals - From November 24 to 28, the N - S model and trend regression model signals for TF and T main contracts were mostly 0, with the N - S model showing a signal of 1 on November 27 [24]

Report Investment Ratings - Index Futures: ☆☆☆ [1] - Treasury Bond Futures: ☆☆☆ [1] Core Views - As of the week ending November 21, index futures declined. IH2511 dropped 2.49%, IF2511 fell 3.38%, IC2511 decreased 5.17%, and IM2511 declined 5.02%. Geopolitical tensions and overseas tech - stock corrections, along with the weakening of the Fed's rate - cut expectations, pressured investors' risk appetite [1]. - The high - frequency macro - fundamental factor scores for index futures are: inflation indicator 8 points, liquidity indicator 8 points, valuation indicator 11 points, and market sentiment indicator 9 points. For treasury bond futures, the inflation indicator is 8 points, the liquidity indicator is 10 points, and the market sentiment indicator is 8 points [1]. - The weighted annualized basis rates (dividend - adjusted) of IH, IF, IC, and IM at the end of the period were - 3.35%, - 5.92%, - 9.19%, and - 9.89% respectively. The basis rates of IC and IM contracts were above the 50th percentile in the past year, showing significant divergence in the basis trends of index futures [1]. - The net value of the financial derivatives quantitative CTA strategy rose slightly by 0.21% last week. In the long - term, most economic data indicate weakening growth, pressuring index futures. In the short - term, high - frequency real estate and consumption remain weak, the exchange rate is at a low level, and the capital market remains relatively loose, resulting in a relatively limited short - term decline [1]. - For index futures, the risk appetite is at a six - month low, IF and IH are relatively neutral, and the overall comprehensive signal is below neutral. For treasury bond futures, the capital market remains loose, the market risk appetite is conducive to the bond market's recovery, but the stock - bond seesaw effect is not significant, and the bond market is insensitive to fundamental feedback. The position factor has declined, and institutional year - end allocation behavior has not yet emerged intensively, with the comprehensive signal in a neutral oscillation [1]. Summary by Related Catalogs Macro - fundamental High - frequency Factor Scores - Economic kinetic energy: The scores for index futures and treasury bond futures are 8 and 0 respectively (on a scale of 0 - 10). Different indicators such as blast furnace开工率, PTA开工率, etc., show various week - on - week changes, historical percentiles, and correlations with stock and bond indices [2]. - Inflation indicators: The scores for both index futures and treasury bond futures are 8 (on a scale of 0 - 10). Various inflation - related indicators like the vegetable basket product wholesale price index, coking coal index, etc., have different week - on - week changes, historical percentiles, and correlations with stock and bond indices [3]. - Liquidity: The score for index futures is 9 (on a scale of 0 - 10). Indicators such as DR007, DR001, etc., show different week - on - week changes, historical percentiles, and correlations with stock and bond indices [4]. - Index valuation: The score for index futures is 10 (on a scale of 0 - 10). Valuation indicators such as PE, PS, etc., have different week - on - week changes, historical percentiles, and correlations with stock indices [5]. - Market sentiment: For stock indices, the score is 9 (on a scale of 0 - 10), and for bonds, the score is 8 (on a scale of 0 - 10). Different sentiment - related indicators such as margin trading balances, bond yields, etc., show various week - on - week changes, historical percentiles, and correlations with stock and bond indices [6][7]. Strategy Introduction - The variety pool includes index futures and treasury bond futures. The short - term model focuses on market style, external factors, and capital market high - frequency financial data, while the long - term model focuses on market expectations and macro - economic low - frequency indicators. The position is synthesized based on institutional long and short positions [16]. - The comprehensive signal strength is weighted by three independent models (0 - 1). Contracts with the top 2 comprehensive signal strengths and values greater than or equal to 0.6 are considered for long positions, and those with the bottom 2 and values less than or equal to 0.4 are considered for short positions. Position data signals are shielded 7 days before delivery [17]. Treasury Bond Futures Cross - variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the resonance of signals from the fundamental three - factor model and the trend regression model. The fundamental three - factor model uses the Nelson - Siegel instantaneous forward - rate function, and signals are classified into three types: '1' (large spread may decrease), '0' (uncertain spread trend or oscillation), '- 1' (large spread may increase). The trend regression model filters signals, and trading occurs when there is resonance. In practice, a 1:1.8 ratio is used for the 10 - 5Y spread adjustment [20]. - For TF and T main contracts, different dates show different signals from the N - S model and the trend regression model [23].

Report Industry Investment Rating - Stock index: ☆☆☆ [1] - Treasury bond: ☆☆☆ [1] Core Viewpoints - As of the week ending August 8, stock index futures rose, with IH2508 up 1.07%, IF2508 up 1.31%, IC2508 up 2.04%, and IM2508 up 2.79%. The current capital situation and bullish sentiment remain strong. Even if there is a short - term correction due to a marginal weakening of the driving force, the correction space is often limited [1]. - The net value of the financial derivatives quantitative CTA strategy rose 0.42% last week, with profits coming from going long on IC on Monday and shorting T on Wednesday. In the long - term, inflation has little difference from expectations but suppresses treasury bond futures, with PPI slightly lower than expected. In the short - term, the exchange - rate pressure from the US dollar still exists, the capital situation remains relatively loose, the margin balance has increased, and the overall market risk appetite remains high [1]. - In terms of positions, IF and IH have a marginal decline, while IC and IM remain neutral. The overall comprehensive signal is neutral and oscillating. For treasury bond futures, there was a slight rebound in the capital situation at the beginning of the month, but with the recovery of market risk appetite, the stock - bond seesaw rotation is obvious, the position factor weakens marginally, and institutions are still cautious about allocation behavior, with the comprehensive signal being neutral and oscillating [1]. Summary by Related Catalogs Macro - fundamental Medium - and High - Frequency Factor Scores - **Economic Kinetic Energy**: The blast furnace operating rate, PTA operating rate, and Shandong refinery operating rate increased by 1.35%, 1.35%, and 7.06% respectively, while the operating rate of automobile tires and polyester filament downstream looms decreased by 6.95% and 5.93%. The stock index score is 8, and the treasury bond score is 0 [2]. - **Inflation Indicators**: Some inflation indicators such as the vegetable basket product wholesale price index and coking coal index rose, while others like the 1 electrolytic copper price and styrene index fell. The stock index score is 7, and the treasury bond score is 8 [3]. - **Liquidity**: DR007 increased by 0.06%, while DR001, GC001, GC007, SHIBOR overnight, and SHIBOR 1 - week decreased. The stock index score is 9 [4]. - **Index Valuation**: The price - earnings ratio, price - sales ratio, and price - cash - flow ratio increased, while the dividend yield decreased. The stock index score is 10 [5]. - **Market Sentiment - Stock Index**: The margin balance increased by 1.48%, and the short - selling balance increased by 4.19%. The stock index score is 9 [6]. - **Market Sentiment - Bond**: The yield of 10 - year CDB bonds increased by 0.91%, and the S&P 500 volatility index decreased by 25.66%. The treasury bond score is 8 [7]. Strategy Introduction - The variety pool includes stock index futures and treasury bond futures. The short - term model focuses on market style, external factors, and capital situation, while the long - term model focuses on market expectations and macro - economic data. The position is synthesized by considering institutional long and short positions [17]. - The comprehensive signal strength is weighted by the signals of three independent models (0 - 1). Contracts with the top 2 comprehensive signal strengths greater than or equal to 0.6 are considered for long positions, and those with the bottom 2 less than or equal to 0.4 are considered for short positions. Position data within 7 days before delivery is shielded [18]. Last Week's Situation - For the IF, IH, IC, IM, T, and TF main contracts, the trading signals on different days from August 4 to August 8 are shown in the table, with some days having long, short, or no trading signals [20]. Treasury Bond Futures Cross - Variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the signal resonance of the fundamental three - factor model and the trend regression model. The fundamental factors use the instantaneous forward - rate function proposed by Nelson and Siegel, which decomposes the interest - rate term structure into level, slope, and curvature. Signals are divided into three types: '1' (large spread may decrease), '0' (uncertain spread change trend or oscillation), and '-1' (large spread may increase). The trend regression model is used to filter signals, and trading occurs when there is resonance. In actual operation, a duration - neutral ratio of 1:1.8 is used to adjust the 10 - 5Y spread [21]. - For the TF and T main contracts from August 4 to August 8, the N - S model signals and trend regression model signals are shown in the table, with some days having different signals [24].

1. Report Industry Investment Ratings - Stock index: ☆☆☆ [1] - Treasury bonds: ☆☆☆ [1] 2. Core Views of the Report - As of the week ending July 4, the stock index continued to rise, with the steel sector leading the gains and the computer sector leading the losses. The margin trading balance increased by 18.928 billion yuan. The stock market is currently supported by loose liquidity and risk appetite, and the overall trading volume continues to recover. Attention should be paid to the change in the US dollar trend, as the stock index may face correction pressure [1]. - From the high - frequency macro - fundamental factor scores, for stock index futures, the inflation indicator scored 7 points, the liquidity indicator scored 5 points, the valuation indicator scored 11 points, and the market sentiment indicator scored 8 points. For bond futures, the inflation indicator scored 8 points, the liquidity indicator scored 10 points, and the market sentiment indicator scored 8 points. In terms of the term structure, the basis in July gradually converged but remained at a relatively high level and was still affected by the dividend season, with the convergence of the discount being slow [1]. - The net value of the financial derivatives quantitative CTA strategy increased by 0.85% last week, mainly due to going long on T on Wednesday and intraday long on IC on Friday. In the long - term, both the Caixin and official PMIs improved marginally, which significantly boosted IC and IM, while T declined to some extent. In the short - term, as the US dollar oscillated downward, the pressure on spreads and exchange rates decreased, and the liquidity supported both stocks and bonds, with its influence weight continuously increasing [1]. - In terms of open interest, the overall market risk appetite first rose and then fell. The signal strength of IC and IM remained high, while that of IF and IH decreased slightly compared to last week. The comprehensive signal was neutral and oscillating. For bond futures, the liquidity at the beginning of the month was still relatively loose, and the open interest factor showed a sign of marginal weakening after recovery, indicating that institutions were still waiting for the right time to allocate after adjustment. The comprehensive signal was also neutral and oscillating [1]. 3. Summary by Relevant Catalogs 3.1 Macro - fundamental High - frequency Factor Scores 3.1.1 Economic Momentum - The blast furnace operating rate increased by 1.80% to 44.97, with a historical quantile of 0.34, an index moving correlation of - 0.06, and a treasury bond moving correlation of - 0.88. The PTA operating rate in China increased by 1.80% to 79.13, with a historical quantile of 0.34, an index moving correlation of 0.01, and a treasury bond moving correlation of - 0.53. The refinery operating rate in Shandong decreased by 2.32% to 44.97, with a historical quantile of 0.01, an index moving correlation of - 0.56, and a treasury bond moving correlation of - 0.34. The operating rate of all - steel tires increased by 1.05% to 63.75, with a historical quantile of 0.43, an index moving correlation of 0.15, and a treasury bond moving correlation of - 0.52. The operating rate of downstream looms for polyester filament in the Jiangsu and Zhejiang regions decreased by 6.98% to 58.09, with a historical quantile of 0.57, an index moving correlation of - 0.44, and a treasury bond moving correlation of 0.81. The stock index futures score was 7, and the bond futures score was 0 [2]. 3.1.2 Inflation Indicators - Multiple inflation - related indicators such as the vegetable basket product wholesale price index, the coking coal index, and the price of electrolytic copper showed varying degrees of weekly changes. The stock index futures inflation score was 7, and the bond futures inflation score was 8 [3]. 3.1.3 Liquidity - Liquidity - related indicators such as DR007, DR001, and the US dollar index all changed last week. The stock index futures liquidity score was 5 [4]. 3.1.4 Index Valuation - Index valuation indicators such as PE, PS, and dividend yield showed different changes. The stock index futures valuation score was 10 [5]. 3.1.5 Market Sentiment - For the stock market, indicators such as margin trading balance and northbound capital inflows showed different trends. The stock index futures market sentiment score was 8. For the bond market, indicators such as the yield of 10 - year CDB bonds and the S&P 500 volatility index also showed different trends, and the bond futures market sentiment score was 8 [6][7]. 3.2 Strategy Introduction - The product pool includes stock index futures and treasury bond futures. The goal is to use a multi - strategy model to select and allocate contracts in the financial futures market to achieve stable net value growth. The short - term model focuses on market style, external factors, and liquidity, while the long - term model focuses on market expectations and macro - economic data. Open interest is synthesized by considering institutional long and short positions [17]. 3.3 Forecast Signals and Historical Data - As of last Friday, the short - term model, open interest indicator, long - term model, and comprehensive signals for IF, IH, IC, IM, T, and TF were provided. The comprehensive signal strength is weighted by three independent models (0 - 1). The trading rules include principles for going long and short, signal shielding during the delivery period, stop - loss points, and capital allocation [18]. - The trading signals of IF, IH, IC, IM, T, and TF from June 30 to July 4, 2025, were presented, along with the net value tracking data [20]. 3.4 Treasury Bond Futures Cross - Variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the signal resonance of the fundamental three - factor model and the trend regression model. The fundamental factors use the instantaneous forward - rate function proposed by Nelson and Siegel, which decomposes the interest - rate term structure into three parts: level, slope, and curvature. The model uses PCA, factor rotation, and logistic regression to construct the three - factor model, with signals divided into three categories. The trend regression model is used to filter signals, and trading occurs when there is resonance. In actual operation, a duration - neutral ratio of 1:1.8 is used to adjust the 10 - 5Y spread [21]. - The trading signals of the TF and T main contracts from June 30 to July 4, 2025, were provided [24].