证券研究报告 金工 黄金超买风险或得到一定的释放 2025 年 11 月 23 日│中国内地 量化投资周报 期限结构模拟组合创新高，近期持仓做多工业金属板块 商品融合策略近两周上涨 0.97%，今年以来上涨 3.16%。在三个子策略中， 商品期限结构模拟组合近期表现较好，近两周上涨 2.31%，今年以来上涨 7.46%，并于上周五（2025-11-24）创下回测以来的净值新高。期限结构模 拟组合中，近两周收益贡献靠前的品种是玻璃、甲醇、PVC，收益贡献分别 为 0.46%、0.25%、0.16%，近期玻璃跌幅较大，期限结构组合因做空玻璃 而获得较多正收益；近两周收益贡献靠后的品种是橡胶、白糖、乙二醇，收 益贡献分别为-0.08%、-0.09%、-0.17%。期限结构模拟组合最新持仓中， 主要做多工业金属板块，主要做空能源化工板块，和前期持仓相比，工业金 属的多头仓位和能源化工的空头仓位均有所上升。具体品种看，截面仓单模 拟组合在铁矿石、菜油、玉米、沪铜、沪铝上配置了较高比例的多头仓位， 而在橡胶、螺纹钢、PTA、塑料上配置了较高的空头仓位。 黄金周度 RSI 指标回落至 70 以下，超买风险或得到一定的释放 ...

Core Points - The Dalian Commodity Exchange announced adjustments to the price limit and margin levels for various futures contracts before and after the 2025 National Day and Mid-Autumn Festival holidays [1][2] Group 1: Adjustments Before the Holidays - From September 29, 2025, the price limit for iron ore futures will be adjusted to 11%, with a margin level of 13% [1] - The price limit for coking coal futures will also be set at 11%, with a margin level adjusted to 15% [1] - For soybean futures (both No. 1 and No. 2), the price limit will be 8%, and the margin level will be 9% [1] - Other commodities such as palm oil, eggs, and ethylene glycol will have a price limit of 9% and a margin level of 10% [1] - The price limit for corn starch and japonica rice will be set at 7%, with a margin level of 8% [1] - The price limit for live pigs will be 9%, with a margin level of 11% [1] - The price limit for pure benzene will be adjusted to 10%, with a margin level of 11% [1] - For fiberboard and plywood, the price limit will be 7%, with the margin level remaining unchanged [1] Group 2: Adjustments After the Holidays - Trading will resume on October 9, 2025, with the price limits and margin levels for various futures contracts returning to pre-holiday standards [2] - This includes iron ore, coking coal, and various agricultural products, which will revert to their previous price limits and margin levels [2] Group 3: Comparison of Risk Control Parameters - A detailed comparison table outlines the changes in price limits and margin levels for each commodity before, during, and after the holiday period [3][4] - The adjustments reflect a strategic response to market conditions and risk management practices as per the Dalian Commodity Exchange's regulations [4]

Group 1: Black Materials Market - The black building materials market is experiencing a high-level retreat, with coking coal and coke prices dropping nearly 2% [1] - Iron ore prices have risen to a four-month high, supported by a decrease in global iron ore shipments and a decline in port inventories [3][5] - The demand for iron ore remains supported despite a decrease in pig iron production and high furnace operating rates, indicating a potential for continued price strength [5] Group 2: Polysilicon Market - Polysilicon prices have shown volatility, with a significant intraday increase of over 2%, currently reported at 43,200 yuan/ton [6] - The market anticipates potential policy changes regarding capacity exit, which could open up price levels to 45,000 yuan/ton if supported by various factors [8] - The industry is closely monitoring downstream demand and pricing dynamics, as well as upcoming policy meetings that may influence market sentiment [8][9] Group 3: Shipping and Logistics - The European shipping index saw an increase of over 8% due to geopolitical tensions in the Middle East, although it later stabilized to less than 2% [10] - The rise in the shipping index is also attributed to the recovery of the U.S. economy, which has boosted international trade demand [10] - Analysts expect the European shipping index to maintain a fluctuating upward trend, influenced by geopolitical developments and economic recovery [10]

Group 1: Hot News - The "Market Access Negative List (2025 Edition)" was released, with the number of list items reduced from 117 in the 2022 edition to 106, further relaxing market access restrictions and optimizing market access management. New business forms and fields such as unmanned aerial vehicle operations and the production, wholesale, and retail of new tobacco products like e - cigarettes were included in the negative list [3] - The Ministry of Commerce and the Ministry of Foreign Affairs clarified the rumor of "China - US trade negotiations," emphasizing that no economic and trade negotiations are taking place between the two sides [3] - The Zhengzhou Commodity Exchange announced that starting from the settlement on April 29, the trading margin standards and daily price limit ranges for various futures contracts will be adjusted [3] - The Dalian Commodity Exchange announced that starting from the settlement on April 29, the daily price limit ranges and trading margin levels for some futures contracts will be adjusted. It also solicited public opinions on the monthly average price futures contracts of linear low - density polyethylene, polyvinyl chloride, and polypropylene and related rules [4] Group 2: Sector Performance - Key sectors to focus on include urea, polysilicon, crude oil, soybean meal, and Shanghai copper [5] - Night - session performance: Non - metallic building materials rose 2.75%, precious metals 29.72%, oilseeds and oils 12.74%, soft commodities 2.87%, non - ferrous metals 18.58%, coal, coke, steel, and minerals 13.64%, energy 2.43%, chemicals 12.47%, grains 1.92%, and agricultural and sideline products 2.88% [5] Group 3: Sector Positions - The document shows the changes in positions of commodity futures sectors in the past five days [6] Group 4: Performance of Major Asset Classes - Equity: The Shanghai Composite Index rose 0.03%, the SSE 50 rose 0.25%, the CSI 300 fell 0.07%, the CSI 500 fell 0.52%, the S&P 500 rose 2.03%, the Hang Seng Index fell 0.74%, the German DAX rose 0.47%, the Nikkei 225 rose 0.49%, and the UK FTSE 100 rose 0.05% [8] - Fixed - income: The 10 - year Treasury bond futures fell 0.09%, the 5 - year Treasury bond futures fell 0.11%, and the 2 - year Treasury bond futures fell 0.05% [8] - Commodities: The CRB Commodity Index rose 0.75%, WTI crude oil rose 0.80%, London spot gold rose 1.83%, LME copper rose 0.77%, and the Wind Commodity Index rose 0.81% [8] - Others: The US Dollar Index fell 0.62%, and the CBOE Volatility Index remained unchanged [8]

Core Viewpoint - The Dalian Commodity Exchange announced adjustments to the price limit and margin levels for various futures contracts, effective from April 29, 2025, around Labor Day [1] Group 1: Adjustments to Futures Contracts - Iron ore futures contracts will have a price limit adjusted to 10% and a margin level set at 12% [1] - Coking coal futures contracts will have a price limit of 9% with the margin level unchanged at 13% [1] - Futures contracts for yellow soybeans (1 and 2), soybean meal, soybean oil, linear low-density polyethylene, polypropylene, and polyvinyl chloride will see a price limit of 8% and a margin level of 9% [1] Group 2: Other Commodity Adjustments - Palm oil futures contracts will have a price limit of 9% and a margin level of 10% [1] - Corn and egg futures contracts will have a price limit of 7% and a margin level of 8% [1] - Corn starch futures contracts will have a price limit of 6% and a margin level of 7% [1] Group 3: Additional Futures Contracts - Live pig futures contracts will have a price limit of 7% and a margin level of 9% [1] - Ethylene glycol, styrene, and liquefied petroleum gas futures contracts will have a price limit of 10% and a margin level of 11% [1] - Other futures contracts will maintain their current price limits and margin levels [1]

1. Report Industry Investment Rating - No relevant content provided 2. Core View of the Report - The steel market is currently facing weak terminal demand, with no clear improvement in fundamentals. Although the steel mills' profits have recovered and production has increased, the sustainability of real steel demand needs careful observation. The market is expected to be weak after a short - term shock - driven upward movement. The iron ore market has support from iron ore demand due to the potential for further increase in molten iron production and good steel mill profits. However, there is a large medium - term supply - demand imbalance pressure, and it is expected to be weak after a short - term rebound. The coking coal and coke market has the potential for upward valuation repair supported by the recovery of downstream demand, and attention should be paid to the digestion of upstream inventory. The ferroalloy market may have stronger support at the bottom driven by the recovery of demand, and attention should be paid to the digestion of market inventory [3]. 3. Summary by Relevant Catalogs 3.1 Futures Market - **Contract Prices and Changes**: For example, the previous day's closing price of coke 01 contract was 1622, down 7 from the day before, with a decline of 0.4%; the previous day's closing price of iron ore 05 contract was 766, up 7 from the day before, with an increase of 0.9%. There were also changes in price ratios and spreads of different contracts, such as the coke 1 - 5 spread changing from 80 to 55 [2]. - **Spot Market and Basis**: In the coke spot market, the spot price at Rizhao Port and Qingdao Port remained at 1340; in the iron ore spot market, the price of PBF (Fe61.5%) increased from 842 to 849. The basis of different varieties also changed to varying degrees [2]. 3.2 Profit - **Profit Changes**: Coke simulation profit decreased from 63 to - 385; steel simulation profit increased from - 53 to - 49; the profit of steel mills on the futures market decreased from - 48 to - 71; the profit of coking plants on the futures market increased from 312 to 327 [3]. 3.3 Macro News - On April 15, Premier Li Qiang emphasized during a research trip in Beijing to calmly respond to difficulties and challenges brought by external shocks, promote consumption and expand domestic demand with greater efforts, and further release the vitality and potential of China's super - large - scale market [3]. 3.4 Industry Information - From April 7 - 13, the total transaction area of newly - built commercial housing in 10 key cities was 131.99 million square meters, a month - on - month decrease of 18.4% and a year - on - year decrease of 18.6%; the total transaction area of second - hand housing was 265.87 million square meters, a month - on - month increase of 39.5% and a year - on - year increase of 24.5% [3]. - For steel, the tariff exemption has no direct impact, and the indirect export impact has not been realized. Terminal demand is weak, and the real steel demand needs careful observation. For iron ore, although the supply is expected to change, the demand is supported by the increase in molten iron production. For coking coal and coke, there is potential for upward valuation repair. For ferroalloys, the cost support has weakened, and attention should be paid to the guidance of steel procurement and the digestion of inventory [3].

1. Report Industry Investment Rating - No information provided in the given content. 2. Core Viewpoints of the Report - Steel products: Terminal demand shows signs of stabilization, with no further deterioration in fundamentals, but the sustainability of real steel - using demand needs careful observation. Steel mills' profits are recovering, and total production is on the rise. The sustainability of rebar's apparent consumption remains to be seen. Key points to watch are steel mills' resumption speed and demand recovery, and whether demand can absorb increased production to avoid negative feedback. With domestic macro - policies in place and fundamental transactions providing support, be vigilant about overseas tariff disturbances. The export end has new variables, and the short - term outlook is weak with fluctuations [2]. - Iron ore: The raw material end is weak due to expected supply policy changes, but hot metal production has room to increase. Steel mills' profits are decent, and the impetus for resumption is strong, with potential acceleration of blast furnace resumption. Global iron ore shipments have recently decreased, mainly due to disruptions in Australian shipments, and port inventories are being depleted rapidly. There is significant medium - term supply - demand imbalance pressure, with expected rapid growth in iron ore shipments in the second half of the year. The short - term lacks a driving force and follows the performance of finished products, with a short - term outlook of weak fluctuations [2]. - Coking coal and coke: Overnight, the prices of coking coal and coke futures rose and then fell. Coking coal spot prices remain weak, and the eleventh round of coke price cuts has been implemented. After the Spring Festival, coking coal production has rebounded from the bottom, with potential for further increase. Downstream coking enterprises' profits are shrinking, and production is declining. Steel and coking plants have low restocking enthusiasm, and coking coal upstream inventories are at a high level in recent years. Coking enterprises' coke inventories need to be digested. Terminal steel demand is mediocre, and the post - festival growth rate of hot metal production is slow. Steel mills' profit levels are not high, and the growth rate of hot metal production is not optimistic. The key is to watch the performance of terminal demand during the peak season. In the high - inventory environment, there are still obstacles to the short - term upward price adjustment of coking coal and coke [2]. - Ferroalloys: Yesterday, the price of ferromanganese silicon futures declined weakly, while the price of ferrosilicon futures bottomed out and rebounded. Manganese ore prices are falling, and the cost support for ferromanganese silicon has weakened due to the reduction in chemical coke prices. The price of semi - coke has increased significantly, raising the cost floor of ferrosilicon. In terms of demand, terminal steel demand is mediocre, and the post - festival growth rate of finished product production is slow. Steel mills have sufficient raw material inventories and limited restocking enthusiasm. In terms of supply, the recent production of the two types of silicon alloys has been stable at a relatively high level. Ferromanganese silicon delivery warehouse inventories are high, and ferrosilicon manufacturers face inventory reduction pressure. The ferromanganese silicon market has strong supply and weak demand, and prices currently lack an upward driving force. The supply - demand of ferrosilicon remains loose, and prices may follow the sector's performance and be weak. Key factors are whether terminal steel demand during the traditional peak season exceeds expectations [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market - **Price Changes**: The prices of most futures contracts showed a downward trend. For example, the coke 01 contract decreased by 13 points (- 0.7%), the coke 05 contract decreased by 20 points (- 1.2%), the rebar 01 contract decreased by 24 points (- 0.7%), and the rebar 05 contract decreased by 11 points (- 0.3%). The prices of some contracts remained unchanged, such as the iron ore 01 contract and the power coal 01 and 05 contracts [1]. - **Ratio and Spread Changes**: Some ratios and spreads have changed. For example, the coke inter - period (1 - 5 spread) increased from 80 to 87, the coal - coke ratio (01 contract) increased from 1.49 to 1.50, and the coil - rebar spread (01 contract) increased from 124 to 141 [1]. 3.2 Spot Market - **Coke**: The spot prices of Rizhao Port and Qingdao Port's quasi - first - grade coke remained unchanged at 1360. The ex - factory price of quasi - first - grade metallurgical coke from Lu'an Coking was 2800. The Rizhao Port's quasi - first - grade coke converted to the futures price was 1462, and the basis for the j2401 contract improved from - 255 to - 242 [1]. - **Coking coal**: The spot price of main coking coal (A10.5, S1.3, G80) in Jiexiu remained at 1080, the summary price of fat coal in Jinzhong was 1190, and the price of imported Mongolian No. 3 coking coal at Shaheyi increased from 1143 to 1148. The basis for the jm2401 contract improved from 45 to 56 [1]. - **Power coal**: The Qinhuangdao Port's power coal (Q5500) closing price remained at 675, while the Q5000 price increased from 590 to 595. The Australian FOB price (Q6000) was 92, the South African FOB price (Q6000) was 86, and the Indonesian FOB price (Q3800) decreased from 51 to 50. The CBCFI coal freight composite index decreased from 783 to 752 [1]. - **Rebar**: The national average price of HRB400 20mm rebar decreased from 3371 to 3366. The basis for the rebar futures contract worsened from - 55 to - 61 [1]. - **Hot - rolled coil**: The prices of hot - rolled coils in various regions remained mostly stable, and the basis for the hot - rolled coil futures contract improved from - 69 to - 62 [1]. - **Iron ore**: The prices of various iron ore varieties decreased slightly, and the basis for the iron ore futures contract decreased from 145 to 137 [1]. - **Ferroalloys**: The absolute price index of ferromanganese silicon remained at 5938, and the absolute price index of ferrosilicon remained at 5750. The basis for ferromanganese silicon improved from - 192 to - 138, and the basis for ferrosilicon worsened from - 252 to - 266 [1]. 3.3 Profit - Coke simulated profit decreased from 97 to - 393, the steel mill's futures profit increased from - 52 to - 50, the coking plant's futures profit increased from - 152 to - 147, and the steel product simulated profit decreased from 222 to 217 [2]. 3.4 Macro and Industry Information - Macro: On the morning of March 28, President Xi Jinping stated that China is, and will always be, an ideal, safe, and promising investment destination for foreign businesses [2]. - Industry: On March 30, Bank of China, China Construction Bank, Bank of Communications, and Postal Savings Bank of China announced plans to issue A - shares to specific investors, with a total planned fundraising of 520 billion yuan [2].