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].
CTA市场跟踪周报：CTA各策略小幅盈利，逐步增配-20251009
Zhao Shang Qi Huo·2025-10-09 08:29