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Market Overview and Key Analysis Findings from Financial Engineering Weekly Report

• Stock Index Futures Performance: This week, all major stock index futures experienced declines amid market volatility. Notably, the CSI 1000 Index Future had the largest drop at -335%, while the SSE 50 Index Future saw the smallest decline at -0.66%. Volume surged across all contracts, with IH showing the highest increase of 414.2%, and base spreads (yearly rates) were negative for most indices, except IF at -0.26%. Overdue to recent dividend distributions, later-dated futures contracts exhibited deeper discounts, affecting arbitrage opportunities.

• Active Hedging Strategies: The active hedging approach outperformed passive strategies in most cases. For example, the active hedging for IC and IH yielded +0.49% and +0.90%, respectively, compared to passive results of -1.5% and +0.5%. However, for IF, active performance was slightly worse at -2.1% vs. -1.5%, attributed to index-specific market dynamics, such as increased hedging costs due to negative basis.

• Commodity Futures Market: The overall commodity market saw widespread declines, with black metals and precious metals leading in losses at -3.18% and -2.37% respectively. Despite this, some commodities like glass (+699%) and live swine (+693%) showed strong gains, influenced by sector-specific factors. CTA strategies may face challenges due to reduced volatility expected as market focus shifts to supply-demand balance.

• Dividends and Future Expectations: Dividend payouts impacted short-term futures contracts minimally, with estimated effects ranging from +2.79 to +1,401 points on various indices. Upcoming dividend seasons could deepen negative bases. Markets indicate structural trading conflicts and a shift toward balanced growth, with risks including elevated inflation and geopolitical uncertainties.

• Additional Insights: While arbitrage windows closed for monthly contracts due to unfavourable bases, contrarian market views and hedging opportunities remain. Long-term strategies should monitor supply-demand realignments and use derivatives to mitigate risks.