摩根大通：跨资产策略结合跨资产期货的定位动态和价格动量

Investment Rating - The report does not explicitly provide an investment rating for the industry or specific assets covered [6]. Core Insights - The report emphasizes the integration of positioning dynamics and price momentum in cross-asset futures trading, enhancing the effectiveness of investment strategies [2][6]. - It highlights the importance of Commodity Futures Trading Commission (CFTC) positioning data for understanding supply-demand dynamics in derivative markets [6]. - The report demonstrates that combining hedging pressure metrics with momentum signals significantly improves Sharpe ratios in back-testing scenarios [3][12]. Summary by Sections Introduction - The report analyzes positioning indicators from futures markets using CFTC data across 42 futures in commodities, equities, fixed income, and FX [6]. - It aims to improve trading and risk management decisions through back-testing the effectiveness of these indicators [6]. Indicators Construction - Hedging pressure is defined as the net short position of commercial traders, which can be reformulated as the net long position of non-commercial traders [7]. - A standardized indicator tracking the spread between short-term and long-term averages of hedging pressure is developed, showing robust return-generating capabilities [8][12]. Time-Series Based Portfolio - A time-series based long-short portfolio is constructed based on historical performance, with positions taken according to the hedging pressure indicator [14]. - The combination of hedging pressure and price momentum signals results in a Sharpe ratio of 0.73, outperforming individual strategies [15][16]. Cross-Sectional Based Portfolio - A cross-sectional long-short portfolio ranks assets based on their hedging pressure score, with higher scores indicating lower forward returns [18]. - The report shows that combining hedging pressure and price momentum in this approach leads to substantial performance improvements [20][26]. Current Recommendations - The report provides trade recommendations based on the latest signals, focusing on the top and bottom quantiles for hedging pressure and momentum scores [27].