国泰君安期货2026年量化CTA市场回顾及展望

Group 1: Report Industry Investment Rating - No information provided Group 2: Core Views of the Report - In the context of global liquidity easing, the long - term allocation value of quantitative CTA strategies is optimistic. In 2026, it is expected that international varieties may lead domestic varieties into an upward cycle, and the market may continue the imbalance in volatility distribution in 2025. However, the short - term commodity supply - demand structure is difficult to reverse, and the CTA "bull market" still needs to be observed. Beta - type strategies can wait for the confirmation of the trend and then make a right - hand side layout. Focus on managers with alpha in sector/sub - strategy weight allocation and risk control [3] Group 3: Summary According to the Table of Contents 1. Commodity Market Performance Overview - 1.1 Commodity market shows significant structural differentiation, and multi - factors drive the phased evolution of the market: Since the beginning of the year, commodity prices have been affected by multiple factors such as loose liquidity, policy expectations, geopolitical frictions, and weak reality. The precious metals and non - ferrous sectors are strong, while the energy - chemical and black sectors are weak. As of November 28, 2025, the Nanhua Commodity Index rose 2.24%, with different sector indices showing significant differences in performance [6]. - 1.2 Trading volume and open interest have moderately recovered, and tariffs and policies drive volatility differentiation: As of November 28, the trading volume and open interest of active varieties are at relatively high historical levels, which is slightly beneficial to short - cycle CTA strategies. The market has two rapid volatility - increasing stages, and the cross - sectional volatility of each variety has been at a low level, but the long - term strength relationship between sectors is relatively stable, providing a favorable environment for cross - sectional momentum strategies [12][15][18] 2. Performance of Each CTA Strategy Line - 2.1 The phased evolution of the market drives strategy rotation, and the composite strategy has been dominant throughout the year: In different market stages, different cycle and type strategies perform alternately. The composite strategy with medium - long cycle and multiple sub - strategies has achieved high returns [21][25]. - 2.2 The equity CTA has achieved positive returns periodically, and long - cycle strategies perform better than intraday strategies: The equity CTA strategy has suffered losses in the low - volatility environment in the first half of the year and achieved positive returns when the equity volatility increased in August. Long - cycle strategies have stronger return offensiveness. Overall, the performance of the equity CTA strategy this year is worse than that of last year [28] 3. Performance of Mainstream CTA Factors - 3.1 Factors first decline and then rise, with continuous performance differentiation: Throughout the year, different factors show significant differentiation. Long - cycle cross - sectional and long - cycle rule - based factors in price - volume factors perform well, while inventory factors in fundamental factors perform poorly [34][36]. - 3.2 Under the dynamic differentiation of different stages, the return contribution and wear - and - tear path of trend factors: The core contributing varieties of trend factors are concentrated in coking coal, precious metals, and some energy - chemical varieties. After the "anti - involution" market, the return contribution of some varieties to trend factors has decreased [44] 4. Market Changes in CTA Strategies in 2025 - 4.1 Under the "imbalance" of volatility distribution, strategy allocation may be the key to success: In 2025, the volatility of the Nanhua Commodity Index is low, but the volatility distribution of its components is imbalanced. The weight allocation of varieties in commodity CTA strategies is a key variable affecting strategy returns. The equity CTA strategy shows a pattern of periodic return outbreaks and long - term wear - and - tear [51][53]. - 4.2 The returns of long - cycle strategies have recovered, and the value of "beta" strategies has gradually emerged: In 2025, the returns of medium - long - cycle CTA strategies have recovered, and beta - type strategies are better than cross - sectional and composite allocation strategies. The market environment of medium - long - cycle CTA strategies may shift from alpha - dominated to beta - dominated [57] 5. Outlook for CTA Strategies in 2026 - 5.1 Under global liquidity easing, overseas inflation may lead domestic inflation: In 2026, the impact of tariffs on the economy is weakening. In the context of global liquidity easing, overseas demand may drive the recovery of domestic demand. The commodity market may continue the "imbalance" of volatility in 2025, and attention should be paid to the capabilities of managers [60]. - 5.2 The supply - demand situation is difficult to reverse in the short term, and the CTA "bull market" still needs to be observed: In 2026, although the commodity market has inflation conditions, it is still different from the CTA "bull market" in 2020. The CTA "bull market" needs more fundamental data for verification, and beta - type strategies can be arranged after confirming the trend [61]