CTA市场跟踪周报：CTA各策略小幅上涨配置窗口逐步打开-20250815

Group 1 - The overall commodity market is on a downward trend, with specific indices showing varied performance: precious metals index up by 2.94%, black index up by 1.76%, and energy index down by 2.11% [2][6] - The CTA strategies have shown slight increases, with the short-term strategy index up by 0.16% and the long-term strategy index up by 0.09% [2][34] - The report indicates that the CTA allocation window is gradually opening, driven by expectations of interest rate cuts by the Federal Reserve and a potential shift in domestic policies [2][39] Group 2 - The market environment for short-term strategies is neutral to favorable, with high intraday liquidity and a decrease in volatility [39][40] - The long-term strategy environment is also neutral to favorable, with a high trend smoothness but a rise in volatility [39][44] - The majority of style factors have shown positive returns, particularly in agricultural products and black metals [47][51] Group 3 - The average trading volume in the commodity futures market is at 1.84 trillion yuan, indicating a decrease, while the average open interest remains stable at 2.33 trillion yuan [12][10] - In the stock index futures market, the average trading volume is 0.46 trillion yuan, also showing a decrease, with the average open interest at 1.11 trillion yuan [19][17] - The bond futures market shows a slight increase in net value and volatility, with the average trading volume at 0.38 trillion yuan [28][23]