Report Title - CTA Strategies Show Small Profits, Gradually Increase Allocation - Weekly Tracking Report on CTA Market by China Merchants Futures (September 22 - September 26, 2025) [1] Report Industry Investment Rating - Not provided in the report Core Views - The commodity index rose 0.43% this week, indicating an overall upward trend in the commodity market. Precious metals and non - ferrous metals indices increased, while energy and chemical, industrial products, agricultural products, and black metal indices declined. Crude oil and gold indices also rose [2][6]. - All types of CTA strategies showed small profits this week. The short - and medium - term strategy index, long - term strategy index, and quantitative arbitrage strategy index of China Merchants Futures CTA all increased to varying degrees [2]. - In the real - world scenario, the profits of most commodities are at relatively low levels. In the expected scenario, prices have basically bottomed out. Policy support and demand recovery will boost inflation. Globally, the economy is entering a synchronous expansion cycle. Therefore, the long - term trend of the commodity market is taking shape, and volatility is expected to rise, enhancing the profit expectations of CTA strategies [2]. - The intraday liquidity of the short - and medium - term strategy environment continues to recover, and volatility remains high. The long - term strategy environment shows continuous improvement in trend smoothness and a slight recovery in volatility at the bottom [2]. - Most mainstream style factors declined this week, with dispersed factor return contributions at both the sector and variety levels. Precious metals contributed positive returns, while energy and chemicals mostly contributed negative returns [2]. Summary by Directory 1. Market Review - **Commodity Futures Index**: The commodity index rose 0.43% this week. Precious metals index rose 4.48%, non - ferrous metals index rose 0.73%, energy and chemical index fell 0.06%, industrial products index fell 0.10%, agricultural products index fell 1.23%, and black metal index fell 1.95%. Crude oil index rose 0.89%, and gold index rose 3.07% [6]. - **Commodity Futures Market Plate**: The net value of most commodity sector indices declined, and volatility mostly increased. The 20 - day volatility of the commodity index was 8.74% (a marginal increase of 1.30% week - on - week) [8]. - **Commodity Futures Market Transaction and Position**: As of September 26, 2025, the average daily trading volume of commodity futures was 1.97 trillion yuan (a marginal increase of 0.11 trillion yuan week - on - week), the average open interest was 2.39 trillion yuan (no marginal change), and the average trading - to - position ratio was 0.83 (a marginal increase of 0.05), at the 37.54% level of the past three years, within the normal range [12]. - **Stock Index Futures Market Plate**: Most stock index futures indices rose, and half of the volatility increased. IC index rose 1.37%, IF index rose 1.36%, IH index rose 1.06%, and IM index fell 0.02%. The 20 - day volatility of IC index was 28.75% (a marginal increase of 1.25% week - on - week) [16]. - **Stock Index Futures Market Transaction and Position**: As of September 26, 2025, the average daily trading volume of stock index futures was 0.82 trillion yuan (a marginal decrease of 0.16 trillion yuan week - on - week), the average open interest was 1.33 trillion yuan (a marginal decrease of 0.04 trillion yuan), and the average trading - to - position ratio was 0.61 (a marginal decrease of 0.10), at the 82.09% level of the past three years, in a relatively high range [20]. - **Treasury Bond Futures Market Plate**: The net value of treasury bond futures indices generally declined, and most volatility decreased. TS index fell 0.02%, TF index fell 0.13%, T index fell 0.14%, and TL index fell 0.53%. The 20 - day volatility of TF index was 1.56% (a marginal increase of 0.05% week - on - week) [23]. - **Treasury Bond Futures Market Transaction and Position**: As of September 26, 2025, the average daily trading volume of treasury bond futures was 0.43 trillion yuan (a marginal decrease of 0.04 trillion yuan week - on - week), the average open interest was 0.77 trillion yuan (a marginal increase of 0.01 trillion yuan), and the average trading - to - position ratio was 0.56 (a marginal decrease of 0.06), at the 67.70% level of the past three years, within the normal range [27]. - **Quantitative CTA Tracking by Track Dimension**: More than 50% of the quantitative CTA strategy returns were positive this week [28]. - **CTA Strategy Index Performance**: All types of CTA strategies showed small profits. For example, the short - and medium - term strategy index of China Merchants Futures CTA rose 0.06%, and the long - term strategy index rose 0.36% [2][37]. 2. Strategy Market Environment - **Short - and Medium - Term Strategy Market Environment**: Intraday liquidity continues to recover, and volatility remains high. The historical quantile of intraday liquidity is around 0.7, and the historical quantile of intraday volatility is around 0.9 [2]. - **Long - Term Strategy Market Environment**: The trend smoothness continues to improve, and volatility recovers from the bottom. The variety trend smoothness is around 0.8, and the proportion of varieties with smooth trends is around 0.7. The variety volatility is around 0.1, and the proportion of high - volatility varieties is around 0.2 [2]. 3. CTA Style Factors - **Style Factor Recent Returns**: Most mainstream factors declined. For example, the 5 - day time - series momentum factor fell 0.59%, and the 20 - day time - series momentum factor rose 0.14% [53]. - **Style Factor This Week's Return Source**: Precious metals all contributed positive returns, while energy and chemicals mostly contributed negative returns. At the variety level, the return contributions were also dispersed [2][54]. 4. CTA Risk Monitoring - **Risk Factor Exposure**: CTA time - series price and volume strategies have a large exposure to the 20 - day time - series momentum factor; CTA cross - sectional long - short strategies also have a large exposure to the 20 - day time - series momentum factor; CTA mixed time - series and cross - sectional strategies have a small exposure to style factors [73]. - **Strategy Return Decomposition**: As of September 26, 2025, the total return of CTA time - series price and volume strategies since this year was 7.26%, including a purified Alpha return of 7.17% and a style factor Beta return of 0.09%. The total return of CTA cross - sectional long - short strategies was 1.43%, including a purified Alpha return of - 1.71% and a style factor Beta return of 3.14%. The total return of CTA mixed time - series and cross - sectional strategies was 5.54%, including a purified Alpha return of 3.18% and a style factor Beta return of 2.36% [74].

金融研究 2025年10月9日 星期四 交易策略：中长期，我们维持做多经济的判断，当下以股指做多头替代有一定超额，推荐逢低配置各 品种远期合约。 风险提示：外生宏观冲击、财政扩张进度不及预期、其他系统性冲击。 市场表现：9 月 30 日，债市走强，活跃合约中，二债隐含利率 1.401，较前日下跌 2.79bps，五债隐 含利率 1.596，较前日下跌 3.47bps，十债隐含利率 1.77，较前日下跌 2.15bps，三十债隐含利率 2.262， 较前日下跌 2.81bps。 现券：目前活跃合约为 2512 合约，2 年期国债期货 CTD 券为 250012.IB，收益率变动-1bps，对应 净基差-0.022，IRR1.54%；5 年期国债期货 CTD 券为 250003.IB，收益率变动-1.75bps，对应净基 差-0.008，IRR1.48%；10 年期国债期货 CTD 券为 220017.IB，收益率变动-4.33bps，对应净基差 国债期货 -0.137，IRR2.07%；30 年期国债期货 CTD 券为 220008.IB，收益率变动-3.5bps，对应净基差 0.068， IRR1.2%。 资 ...

风险提示：贸易战反复，美国经济恢复超预期 基本金属 | 招商评论 | | | | | | | --- | --- | --- | --- | --- | --- | | | 市场表现：周二早盘高开，全日窄幅波动。主力 11 合约收于 8640 元/吨，较上个交易日上涨 30 元/吨，收 | | | | | | | 盘价比 0.35%，持仓减少 32579 手至 17.44 万手，品种沉淀资金增加 3.38 亿元，远月 01 减仓 2092 手。 | | | | | | | 今日仓单量增加 781 手至 50983 手。 | | | | | | 工 | 基本面：供给方面，SMM 数据显示，9 月产量为 42 万吨，环比+9.09%。库存来看，行业总库存约为 | | | | 54.3 | | 业 | 万吨，广期所仓单为 50,983（+781）手。需求方面，多晶硅开工率较高支撑需求，SMM 预计 10 月份产量环 | | | | | | 硅 | 比+6.16%。有机硅产量小幅下滑，铝合金开工率维持小幅增长。 | | | | | | | | 交易策略：四季度关注进入枯水期后的库存累积节奏。同时，"反内卷"政策推高相 ...

1. Report Industry Investment Ratings No industry investment ratings are provided in the report. 2. Core Views of the Report The report presents a comprehensive analysis of various commodity futures markets, including precious metals, base metals, black industries, agricultural products, and energy chemicals. It provides market performance, fundamental analysis, and trading strategies for each commodity, suggesting different approaches such as buying, selling, or holding based on the specific market conditions of each commodity [1][2][4]. 3. Summary by Commodity Category Precious Metals - **Gold**: International gold prices rose 0.28% in London, while domestic gold also had slight increases. With geopolitical tensions and Fed rate - cuts, there is a risk of price peaks. It is recommended to partially close long positions or buy out - of - the - money put options before the holiday [1]. - **Silver**: It followed gold to reach new highs. Similar to gold, it is advised to partially take profits before the holiday [1]. Base Metals - **Aluminum**: The electrolytic aluminum market has increasing supply and rising demand. The price is expected to be strong, and it is recommended to buy on dips. Alumina has an oversupply situation, and it is advised to wait and observe [2]. - **Zinc**: Supply pressure persists, and the consumption end is in the off - season. It is recommended to sell on rallies [2][3]. - **Lead**: Supply is slowly recovering, and consumption is weak. It is recommended to sell on rallies [3]. - **Industrial Silicon**: The pre - holiday fundamentals are stable, and the price is expected to fluctuate between 8500 - 9500 yuan/ton. It is advised to wait and observe [3]. - **Lithium Carbonate**: Due to high demand, the price is supported. It is expected to fluctuate before the lithium mine in Jiangxi is put into production, and it is advisable to arrange a call option strategy before the holiday [3]. - **Polycrystalline Silicon**: The market is in a weak and volatile state, and the price is expected to fluctuate between 49,000 - 54,000 yuan/ton. Attention should be paid to the 11 - 12 spread [3][4]. Black Industry - **Rebar**: The supply - demand contradiction of steel is limited, with obvious structural differentiation. It is recommended to wait and observe, and aggressive investors can try to short the 2601 contract [4]. - **Iron Ore**: The supply - demand is neutral - strong, and the price is expected to fluctuate. It is recommended to wait and observe and hold the long - iron - ore - short - coking - coal - and - coke ratio position [4]. - **Coking Coal**: The futures valuation is high. It is recommended to wait and observe, and aggressive investors can try to short the 2601 contract. Hold the long - iron - ore - short - coking - coal - and - coke ratio position [4]. Agricultural Products - **Soybean Meal**: The global soybean market has high inventory expectations. The US soybean is weak and in a range - bound state, while the domestic market shows a pattern of near - term weakness and long - term strength [5][7]. - **Corn**: With new grain approaching and expected production increase, the spot price is expected to be weak, and the futures price is expected to decline [7]. - **Cotton**: It is recommended to wait and observe, with a trading strategy in the range of 13,200 - 13,700 yuan/ton [7]. - **Palm Oil**: The near - term inventory is increasing, and the long - term has a seasonal production - reduction expectation. It is recommended to use a reverse - spread strategy [7]. - **Eggs**: With weakening demand and sufficient supply, the egg price is expected to decline [7]. - **Pork**: The supply is strong, and the demand is weak. The price is expected to be weak, but policy factors may have a positive impact on market sentiment [7]. Energy Chemicals - **PVC**: Supply is increasing while demand is weak. It is recommended to short [8][9]. - **PTA**: PX short - term supply - demand is weak, and PTA has long - term supply pressure. It is recommended to short the processing fee of the far - month contract on rallies [9]. - **Glass**: The price has rebounded due to expectations, and it is recommended to go long [9]. - **MEG**: The supply - demand is balanced and loose. It is recommended to close short positions [9]. - **Crude Oil**: Supply is strong, and demand is weak. It is recommended to short on rallies, focusing on shorting opportunities near 500 yuan/ton for the SC main contract [9]. - **Soda Ash**: The supply - demand situation has marginally improved. It is recommended to wait and observe [10]. - **Caustic Soda**: The main downstream has unexpectedly lowered the purchase price. It is recommended to wait and observe [10].

Report Summary 1. Market Performance - On September 29, A-share major indices all rose, with the Shanghai Composite Index up 0.9% to 3862.53, the Shenzhen Component Index up 2.05% to 13479.43, the ChiNext Index up 2.74% to 3238.01, and the STAR 50 Index up 1.35% to 1470.41. Market turnover was 2178.1 billion yuan, an increase of 12 billion yuan from the previous day [2]. - In the bond market, the implied yields of 2-year, 5-year, 10-year, and 30-year bonds showed different changes, with the 2-year up 0.8bps, the 5-year up 0.48bps, the 10-year down 3.42bps, and the 30-year up 5.89bps [3]. 2. Trading Strategies - In the medium to long term, maintain a bullish view on the economy, and recommend buying long-term contracts of various varieties on dips. In the short term, the market shows signs of cooling [3]. - For bond futures, short-term is bullish as the implied yield of ultra-long bonds at 2.2 is cost-effective; in the medium to long term, with rising risk appetite and economic recovery expectations, it is recommended to hedge T and TL contracts on rallies [4]. 3. Index Futures and Spot Market Performance - Table 1 shows the performance of various index futures and spot indices, including their price changes, trading volumes, and open interests [6]. 4. Treasury Futures and Spot Market Performance - Table 2 presents the performance of various treasury futures and spot bonds, including price changes, trading volumes, and net basis [8]. 5. Short - term Funding Rate Market Changes - Table 3 shows the changes in short - term funding rates, such as SHIBOR overnight rates [12]. 6. Economic Data - High - frequency data indicates that the recent social activity sentiment is weak [12].

Report Industry Investment Rating - No relevant content found. Core Views - From the perspective of cumulative returns this year, the three best - performing indices are the Micro - cap Index (+65.84%), the ChiNext Index (+47.16%), and the STAR 50 Index (+46.71%), while the three weakest are the CSI Dividend (-2.27%), the Shanghai Composite Index (+14.21%), and the CSI 300 (+15.63%) [10][12]. - Looking ahead, recent option sentiment dimensions indicate a bearish sentiment for the CSI 1000, CSI 300, and CSI 500, and combined with factors such as institutional fund withdrawals, it may suggest further market adjustments. Investors need to manage risks in the short - term [10]. - In terms of positions, the overall stock long - only strategy should maintain a moderately low position, and the neutral strategy should further reduce the position to a moderately low level before the holiday [10]. Summary by Directory 1. Equity Market Review - **Factor Calendar Overview**: This week, most of the equity market rose. The CSI A500 rose 1.19%, the CSI 300 rose 1.07%, the CSI 500 rose 0.98%, the CSI All - Share rose 0.21%, the CSI Dividend fell 0.25%, the CSI 1000 fell 0.55%, and the CSI 2000 fell 1.79%. The best - performing Barra style factors were size, growth, and momentum, with returns of 0.61%, 0.56%, and 0.18% respectively, while the worst were value, BETA, and residual volatility, with returns of -0.41%, -0.61%, and -1.17% respectively [14][15]. - **Main Broad - based Index Review**: - **Short - term Market Activity**: It is at a moderately high level but shows a marginal decline. The CSI All - Share's daily average trading volume was 2.26 trillion yuan. The trading volume proportions of the CSI 300 and CSI 500 increased marginally, while those of the CSI 2000, CSI 1000, and others decreased marginally [20][22]. - **Medium - term Market Activity**: It is at a moderately high level. The CSI All - Share's 20 - day rolling average daily trading volume was 2.39 trillion yuan. The trading volume proportions of the CSI 300 and CSI 500 increased marginally, while those of the CSI 2000, CSI 1000, and others decreased marginally [23][25]. - **Volatility**: Most broad - based indices rose, and volatility generally declined. For example, the CSI 500's volatility was 23.63% (82.41% quantile), with a marginal weekly decline of 0.79% [17][19]. - **Equity Industry Index Review**: This week, 19.4% of industries had positive returns, with the power equipment sector leading. The top three industries in terms of weekly returns were power equipment (3.86%), non - ferrous metals (3.52%), and electronics (3.51%), while the bottom three were retail (-4.32%), comprehensive (-4.61%), and social services (-5.92%) [26]. - **Equity Style Factor Review**: - **Barra Style Factors**: The size, growth, and momentum factors performed well, with returns of 0.61%, 0.56%, and 0.18% respectively, while the value, BETA, and residual volatility factors performed poorly, with returns of -0.41%, -0.61%, and -1.17% respectively [30]. - **Giant Tide Style Indices**: Most of them rose. The top three indices in terms of returns were large - cap growth (2.48%), mid - cap growth (2.30%), and small - cap growth (2.03%), while the bottom three were mid - cap value (0.56%), large - cap value (-0.34%), and small - cap value (-0.85%) [34]. - **Stock Index Futures Market Review**: - **Premium Convergence and Volatility**: The premium of IC, IF, and IM contracts converged, and volatility generally declined [36][38]. - **Impact on Neutral Products**: From the perspective of quarterly - contract hedging, the estimated average returns of neutral products affected by the hedging of IF, IC, and IM contracts were -0.280%, -0.270%, and -0.320% respectively [39]. - **Options Market Review**: This week, implied volatility generally declined, which is expected to be unfavorable for option - buying and arbitrage strategies. The top three products with the highest implied volatility were the E Fund STAR 50 ETF (50.20%), the Huaxia STAR 50 ETF (49.84%), and the E Fund ChiNext ETF (42.33%), while the bottom three were the CSI 300 Index (19.51%), the SSE 50 Index (19.10%), and the Huaxia SSE 50 ETF (18.48%) [41][42]. 2. Strategy Environment Monitoring - **Intraday Alpha Environment for Neutral and Index - Enhancement Strategies**: Overall, it is unfavorable for intraday Alpha accumulation. Although liquidity slightly increased and volatility slightly decreased, the net capital outflow was 516 billion yuan per day this week [44][49]. - **Trading - based Alpha Environment for Neutral and Index - Enhancement Strategies**: Overall, it is unfavorable for trading - based Alpha accumulation. Although trading volume and turnover rate are at high levels and stock differentiation is in a high - level range, the number of stocks outperforming the benchmark index is low and shows a marginal decline [50][55]. - **Holding - based Alpha Environment for Neutral and Index - Enhancement Strategies**: Overall, it is unfavorable for holding - based Alpha accumulation. Although stock liquidity is at a high level, factors such as market style, the proportion of stocks outperforming the index, and factor rotation speed have a negative impact [58][74]. - **Hedging Environment for Neutral Strategies**: The basis spread fluctuation is in a moderately high - level range, posing certain challenges to cost control. The IF, IC, and IM basis spreads all converged this week [75][80]. 3. Future Strategy Research and Judgment - **Return Performance**: From the 20 - day rolling returns, the relative returns of the CSI 1000, CSI 2000, and CSI 500 to the CSI 300 are in the normal range, and the return of the CSI 300 is also in the normal range [84]. - **Derivatives Option Sentiment**: The option sentiment dimension shows that the sentiment of the CSI 1000 is stable, while the CSI 300 and CSI 500 are bearish [88]. - **Derivatives Futures Sentiment**: The futures sentiment dimension shows that the basis spreads of IC, IF, and IM all converged, with a differentiated overall sentiment [92]. - **Risk Preference**: As of September 25, 2025, the margin trading balance was 2.43 trillion yuan, at a high - level range in the past three years, indicating a high risk preference [95]. - **Trading Heat**: The trading heat of the CSI 300, CSI 500, CSI 1000, and CSI 2000, as well as the market trading volume, are at different quantile levels [97]. - **Style Attention Multiple**: The CSI 1000 is in the normal range, the CSI 500 is in the high - level range, and the CSI 2000 is in the extremely low - level range [100]. - **Profit Spread**: The profit spreads of the CSI 1000, CSI 500, CSI 2000, and CSI 300 are in the low or extremely low - level ranges [103]. - **Dividend Spread**: The dividend spreads of the CSI 1000, CSI 500, CSI 2000, and CSI 300 are in the normal range [105]. - **Trading Congestion**: The trading heat of the TMT sector is in the high - level range, the trading heat of the micro - cap sector is in the normal range, and the market trading volume is in the extremely high - level range [111].

Report Industry Investment Ratings No relevant content provided. Core Views - The de - dollarization logic remains unchanged, but with the Fed's rate cut and conflicting outlooks, and prices at historical highs, there are risks of a market peak. For precious metals, it is recommended to partially close long positions or buy out - of - the - money put options before the holiday. For other commodities, trading strategies vary based on their respective fundamentals [1]. - The supply and demand of various commodities show different characteristics. For example, some have tight supply, while others face oversupply or weak demand, which affects their price trends and trading strategies [1][2][3][4][5][6][7][8][9][10]. Summary by Category Precious Metals - **Gold**: The international gold price settled at $3789 per ounce, up 0.25%. The US government shutdown risk increased, consumer spending in the US in August was strong, and Chinese industrial enterprise profits rose significantly. Gold ETF funds flowed in. There is a risk of a market peak, and it is recommended to partially close long positions or buy out - of - the - money put options before the holiday [1]. - **Silver**: It followed gold to reach a new high. It is also recommended to partially close positions before the holiday [1]. Base Metals - **Copper**: The copper price rose and then fell on Friday. The supply is tight, and it is recommended to buy on dips [2]. - **Aluminum**: The price of electrolytic aluminum is expected to continue to be strong in a volatile manner, and it is recommended to buy on dips. The price of alumina is expected to be weak, and it is recommended to wait and see [2][3]. - **Industrial Silicon**: The price is expected to fluctuate between 8500 - 9500 yuan/ton, and it is recommended to wait and see [3]. - **Lithium Carbonate**: The price is supported by high demand. It is expected to oscillate before the lithium mine in Jiangxi is put into production, and it is advisable to consider a call option strategy before the holiday [3]. - **Polycrystalline Silicon**: The price is expected to oscillate between 49,000 - 54,000 yuan. Pay attention to the 11 - 12 spread [3]. - **Tin**: It is recommended to maintain a bullish and volatile view [3]. Black Industry - **Rebar**: The supply - demand contradiction of steel is limited, with obvious structural differentiation. It is recommended to wait and see, and aggressive investors can try to short the rebar 2501 contract [4]. - **Iron Ore**: The supply - demand is moderately strong. It is recommended to wait and see and hold long positions in the iron ore - coking coal - coke ratio [4]. - **Coking Coal**: The futures valuation is high. It is recommended to wait and see, and aggressive investors can try to short the coking coal 2501 contract and hold long positions in the iron ore - coking coal - coke ratio [4]. Agricultural Products - **Soybean Meal**: The US soybeans are weak, and the domestic market shows a pattern of near - term weakness and long - term strength. The mid - term unilateral focus is on Sino - US tariff policies [5]. - **Corn**: The new crop is expected to increase in production, and the cost has decreased significantly. The futures price is expected to oscillate and decline [5]. - **Cotton**: It is recommended to buy on dips, with a strategy in the range of 13,300 - 13,800 yuan/ton [6]. - **Palm Oil**: It is in a high - level oscillation, and a reverse spread strategy is recommended [6]. - **Eggs**: The demand is weakening, and the futures are expected to oscillate weakly [6]. - **Hogs**: The supply is strong and the demand is weak, and the futures price is expected to be weak [6]. Energy and Chemicals - **LLDPE**: In the short term, it will oscillate, and in the long term, it is recommended to short at high prices or carry out a reverse spread strategy [7]. - **PVC**: The supply - demand is in a weak balance, and it is recommended to short [8]. - **PTA**: The PX supply is increasing, and the PTA supply pressure is large in the long term. It is recommended to short the processing margin of the far - month contract at high prices [8]. - **Rubber**: It is recommended to wait and see in the short term and maintain a bullish view in the medium term [8]. - **Glass**: The seasonal improvement is obvious, and it is recommended to go long [8]. - **PP**: In the short term, it will oscillate, and in the long term, it is recommended to short at high prices or carry out a reverse spread strategy [8][9]. - **MEG**: Due to low inventory and macro - policy disturbances, it is recommended to close short positions [9]. - **Crude Oil**: The supply is strong and the demand is weak. It is recommended to short at high prices [9]. - **Styrene**: In the short term, it will oscillate, and in the long term, it is recommended to short at high prices or carry out a reverse spread strategy [9]. - **Soda Ash**: The supply - demand is in a weak balance, and it is recommended to wait and see [9]. - **Caustic Soda**: The main downstream unexpectedly lowered the purchase price, and it is recommended to wait and see [10].

1. Report Industry Investment Rating - No industry investment rating information is provided in the report. 2. Core Views - Medium - and long - term, maintain the judgment of going long on the economy, recommend allocating long - term contracts of various varieties on dips; short - term, the market shows signs of cooling [3] - For the bond market, short - term is bullish as the implied interest rate of ultra - long bonds at 2.2 has sufficient cost - effectiveness; medium - and long - term, with the increase in risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL on rallies [4] 3. Summary by Relevant Catalogs 3.1 Stock Index Futures and Spot Market Performance - On September 26, A - share four major stock indexes pulled back. The Shanghai Composite Index fell 0.65% to 3828.11 points, the Shenzhen Component Index fell 1.76% to 13209 points, the ChiNext Index fell 2.6% to 3151.53 points, and the Science and Technology Innovation 50 Index fell 1.6% to 1450.82 points. Market turnover was 21,661 billion yuan, a decrease of 2,257 billion yuan from the previous day [2] - In terms of industry sectors, petroleum and petrochemicals (+1.17%), environmental protection (+0.38%), and public utilities (+0.35%) led the gains; computers (-3.26%), electronics (-2.75%), and media (-2.65%) led the losses [2] - From the perspective of market strength, IH>IF>IC>IM, and the number of rising/flat/falling stocks was 1,801/216/3,412 respectively. Institutional, main, large - scale, and retail investors' net capital inflows in the Shanghai and Shenzhen stock markets were - 428, - 274, 141, and 561 billion yuan respectively, with changes of - 371, - 95, +103, and +362 billion yuan respectively [2] - The basis of the next - month contracts of IM, IC, IF, and IH was 126.39, 105.11, 17.65, and - 2.18 points respectively, and the annualized basis yields were - 12.2%, - 10.37%, - 2.77%, and 0.53% respectively, with three - year historical quantiles of 26%, 16%, 31%, and 50% respectively [2] - Details of various stock index futures contracts' performance are shown in Table 1, including price, trading volume, open interest, basis, etc. [6] 3.2 Treasury Bond Futures and Spot Market Performance - On September 26, the bond market rebounded. The implied interest rates of the active contracts of two - year, five - year, ten - year, and thirty - year bonds decreased compared with the previous day [3] - For the current active 2512 contracts, the CTD bonds, yield changes, net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are provided [3] - Details of various treasury bond futures contracts' performance are shown in Table 2, including price, trading volume, open interest, net basis, etc. [8] - The figure shows the term structure of treasury bond spot [9][10] 3.3 Short - term Fund Interest Rate Market Changes - The table shows the changes in short - term fund interest rates, including SHIBOR overnight rates' current prices, previous prices, prices a week ago, and prices a month ago [12] 3.4 Economic Data - High - frequency data shows that the recent social activity sentiment is weak [12] - The figure shows the domestic meso - level data tracking, based on the comparison of meso - level data of each module with the same period in the past five years [13][14]

Report Information - Report Title: Commodity Trend Rising: CTA Allocation Opportunities Under Expectations [1] - Report Date: September 26, 2025 [3] - Researchers: Zhao Jiayu, Qiao Lei, Wang Haosheng [2] 1. Report Industry Investment Rating No relevant content provided. 2. Core Views - Since mid - 2024, CTA has reversed its decline, and the recent upward trend has strengthened, mainly due to improved volatility and liquidity. However, the rise since mid - 2024 has been slightly below expectations because the subsequent interest - rate cut process of major economies has not been smooth [5][7] - In the long - term (annual) perspective, the upward momentum of the commodity market is accumulating, and an overall increase in volatility is also likely. This is driven by cost support and low valuation, policy guidance and improved expectations, and global liquidity easing [5] - It is still a strategic window period to increase CTA allocation in the portfolio. In the long run, CTA's long - term positive return expectation and low correlation (even crisis Alpha attribute) with equity assets make it an excellent tool for optimizing the portfolio's Sharpe ratio [6] 3. Summary According to the Directory 3.1 CTA's Strategy Environment - **Short - to - medium - term trend tracking**: It is closely related to intraday volatility and liquidity. Its long - term performance depends on the upward shift of the volatility center, and short - term performance depends on the pulsed increase in intraday volatility. Since mid - 2024, with improved liquidity, short - to - medium - term trend strategies have also improved [17][19][20] - **Medium - to - long - term trend tracking**: Its long - term performance depends on the increase in daily volatility, which has shown signs of stabilization and recovery since mid - 2024 but with a less - than - expected increase. Short - term performance is highly correlated with daily trend smoothness, and the strategy has a higher probability of positive returns when the market trend smoothness increases. The strategy has a better experience in rising commodity markets and can be regarded as a volatility - reducing product of the commodity index to some extent [21][24][27] 3.2 Commodity Market Outlook - **Current situation**: Many industrial product prices are at a thin - profit or loss state, and commodity prices are generally at a historically low valuation with strong cost support [32] - **Expectation**: Commodities are unlikely to return to the low levels before the "anti - involution" policy, as the narrative of "weak external demand due to tariffs" and "structural over - supply in the domestic market" has changed. "Anti - involution" aims to reverse the situation of "increasing quantity but decreasing price" and promote price increases [33][35][36] - **Monetary aspect**: Preventive interest - rate cuts support commodity price increases. Commodities have performed well after interest - rate cut cycles, and preventive interest - rate cuts lead to price increases at the beginning [39] - **Fiscal aspect**: China's fiscal policy continues to be proactive, and the US fiscal policy has exceeded expectations. Major economies have entered a fiscal expansion cycle, and historically, fiscal stimulus usually corresponds to rising commodity prices [43][45][49] - **Volatility**: Commodity volatility is highly correlated with the fiscal expenditures and monetary liquidity of major economies [52] 3.3 CTA's Long - term Value - **Long - term positive return**: CTA's long - term positive returns mainly come from behavioral finance biases and the information advantages and resource inputs of managers [55] - **Low correlation**: It has a low correlation with equity assets, and the internal correlation within CTA is also low [58][60] - **Crisis Alpha attribute**: During historical black - swan events, CTA has often outperformed equity assets, making it an anti - fragile asset with high allocation value in a high - uncertainty market environment [61]

Report Industry Investment Ratings No relevant content provided. Core Views of the Report - The report analyzes various commodity futures markets, including base metals, black industries, agricultural products, and energy chemicals, and provides corresponding trading strategies based on market performance and fundamentals [1][3][5]. Summary by Related Catalogs Base Metals - **Copper**: Yesterday, copper prices fluctuated after rising. The market speculated on the significant production cut of Freeport's Indonesian project, and the domestic association called for anti - involution, but the strong US economic data at night led to a pull - back. Downstream demand showed resilience after the price increase. It is recommended to buy on dips [1]. - **Aluminum**: The closing price of the electrolytic aluminum main contract increased by 0.29% compared to the previous trading day. The electrolytic aluminum plant maintained high - load production, and downstream consumption continued to recover. It is recommended to go long on dips as the inventory build - up rate of aluminum ingots slows down, and there is still an expectation of inventory draw - down after the holiday [1]. - **Alumina**: The closing price of the alumina main contract increased by 1.20% compared to the previous trading day. The operating capacity of alumina plants continued to increase, and electrolytic aluminum plants maintained high - load production. The price of the alumina futures may rebound due to the strike in Guinea and the anti - involution sentiment in the glass industry, but the oversupply pattern remains unchanged, and the spot price is still falling [1]. - **Industrial Silicon**: On Thursday morning, it opened higher and then fluctuated. The supply side saw a decrease of 1 furnace in the number of open furnaces this week compared to last week, and the social inventory remained flat. The demand side was supported by the high operating rate of polysilicon. The price is expected to oscillate between 8700 - 9800 yuan/ton, and it is recommended to wait and see [1]. - **Polycrystalline Silicon**: It opened higher on Thursday and fluctuated narrowly throughout the day. The fundamental situation is supply - strong and demand - weak. The price is expected to oscillate between 48000 - 57000 yuan/ton. Attention can be paid to the 11 - 12 reverse spread opportunity, and those with low risk appetite can consider buying out - of - the - money put options on the main contract [1][2]. - **Tin**: Yesterday, tin prices fluctuated weakly. The strong US economic data at night strengthened the US dollar index, suppressing tin prices. The supply side has expectations of resuming and starting production of tin mines. The demand needs to be boosted. It is recommended to adopt an oscillatory trading strategy [2]. Black Industry - **Rebar**: The main 2601 contract of rebar closed at 3157 yuan/ton. The overall supply - demand contradiction of steel is limited, but the structural differentiation is obvious. It is recommended to wait and see mainly, and try the 10/5 reverse spread of rebar. The reference range for RB01 is 3120 - 3190 yuan/ton [3]. - **Iron Ore**: The main 2601 contract of iron ore closed at 802.5 yuan/ton. The supply - demand of iron ore is moderately strong. It is recommended to wait and see mainly and hold the long position of the iron ore - coking coal - coke ratio. The reference range for I01 is 790 - 810 yuan/ton [3]. - **Coking Coal**: The main 2601 contract of coking coal closed at 1216 yuan/ton. The futures valuation is relatively high. It is recommended to wait and see mainly and hold the long position of the iron ore - coking coal - coke ratio. The reference range for JM01 is 1170 - 1240 yuan/ton [3]. Agricultural Products - **Soybean Meal**: Overnight, CBOT soybeans rose slightly. The US soybeans had a slight production cut, and South America is expected to increase production in the long - term. The global inventory is expected to remain high. The US soybeans are weak and range - bound, and the domestic market is also expected to oscillate. The mid - term focus is on Sino - US tariff policies [5]. - **Corn**: The 2511 contract of corn fluctuated narrowly. The spot price in North China rose while that in the Northeast fell. The new crop is expected to increase production, and the cost has dropped significantly, suppressing the forward price. The futures price is expected to oscillate and decline [5]. - **Sugar**: The 01 contract of Zhengzhou sugar closed at 5494 yuan/ton. Internationally, Brazil's sugar production reached a new high, and the domestic import volume in August also reached a new high. It is recommended to go short in the futures market and sell call options [5]. - **Cotton**: Overnight, the price of US cotton futures stopped falling and oscillated. The international cotton export sales decreased, and the domestic cotton cloth import increased. It is recommended to wait and see temporarily and adopt a range - bound strategy between 13600 - 14000 yuan/ton [5]. - **Log**: The 11 contract of log closed at 807.5 yuan/cubic meter. The overall inventory of major ports in the country decreased slightly, and the supply - demand contradiction is not prominent. It is recommended to wait and see [5]. - **Palm Oil**: Yesterday, Malaysian palm oil rose. The supply side in Malaysia is entering the seasonal production - cut period, and the demand side has an expected increase in exports in September. It is expected to enter a high - level oscillation, and later attention should be paid to the production in the producing areas and biodiesel policies [5][6]. - **Egg**: The 2511 contract of eggs fluctuated narrowly, and the spot price was stable. After the double - festival stocking is coming to an end, the egg price is expected to oscillate and weaken, and the futures are also expected to be weak [6]. - **Pig**: The 2511 contract of pigs rebounded, and the spot price fell. The supply is abundant, and the pig price before the festival is expected to be weak. The futures price is expected to run weakly due to the loose supply [6]. Energy Chemicals - **LLDPE**: Yesterday, the main contract of LLDPE rebounded slightly. The supply pressure in the domestic market has increased but is slowing down, and the demand has improved in the downstream agricultural film season. In the short term, it is expected to oscillate, and in the long - term, it is recommended to short on rallies or do reverse spread trading [7]. - **PVC**: The V01 contract closed at 4904 yuan/ton. The supply - demand is in a weak balance. It is recommended to short on rallies [7]. - **Glass**: The FG01 contract closed at 1270 yuan/ton. The price rose driven by expectations. The supply - demand has little change, and the inventory has decreased. It is recommended to go long on dips [7][8]. - **PP**: Yesterday, the main contract of PP rebounded slightly. The supply pressure has increased, and the demand has recovered in the peak season. In the short term, it is expected to oscillate, and in the long - term, it is recommended to short on rallies or do reverse spread trading [8]. - **Crude Oil**: Yesterday, oil prices rose again. The supply pressure is gradually increasing, and the demand is weakening. It is recommended to short on rallies and pay attention to the short - selling opportunity of the SC main contract around 500 yuan/ton [8]. - **Styrene**: Yesterday, the main contract of EB oscillated slightly. The supply - demand is weak in the short term, and the price is expected to oscillate. In the long - term, it is recommended to short on rallies or do reverse spread trading as the supply gradually recovers [8]. - **Soda Ash**: The sa01 contract closed at 1300 yuan/ton. The inventory of soda ash continued to decline, and the price rose slightly. The supply side is expected to tighten, and it is recommended to go long [8][9]. - **Caustic Soda**: The sh01 contract closed at 2529 yuan/ton. The purchase price of the main downstream of caustic soda decreased again. It is recommended to wait and see [9].