2026年主观CTA 策略年报：2026年主观CTA策略展望

Report Industry Investment Rating No relevant content provided. Core View of the Report - The performance of the subjective CTA strategy line in 2026 will be better than that in 2025. The decline in Sino-US macro uncertainty and the rise in commodity volatility in a low-interest rate environment are favorable for subjective CTA managers in the commodity sector [1][37]. Summary by Relevant Catalogs 1. 2025 Subjective CTA Review 1.1 Subjective CTA Strategy Net Value Performance - In 2025, the net value performance of managers in the observation pool was weaker than that in the same period of 2024. Due to the interference of Sino-US trade friction uncertainty, the trading certainty of managers based on industrial supply and demand research declined significantly, resulting in weakened position-holding confidence and reduced income [7]. - In terms of sectors, black sector managers were relatively prominent in 2025. In the first half of the year, the cost collapse of coal drove the downward trend of black sector prices, and some black managers obtained trading opportunities with industrial and macro resonance. In the second half of the year, the divergence between the futures market sentiment and the spot market led to a significant decline in the net value of black sector managers. Agricultural product managers were greatly affected by foreign trade frictions, and the predictability of agricultural product imports was extremely poor, which affected their income acquisition [9][10]. - In terms of scale, there was little difference in the income performance of managers of different scales in 2025. The large-scale multi-sector managers did not show more obvious investment research advantages, and the small-scale managers did not show more income acquisition ability [14]. 1.2 2025 Subjective CTA Strategy Income Attribution - In 2025, the Nanhua Commodity Index fluctuated throughout the year, and some varieties showed structural differentiation, but the overall commodity index did not show a trending market. In the first half of the year, affected by Sino-US trade friction, the commodity index was under pressure to decline. After June, with the stalemate of Sino-US trade friction, "anti-involution" became a new theme, driving the commodity index to stabilize and rebound [17][18]. - The annual commodity index fluctuation and subjective CTA income acquisition in 2025 were mainly divided into two stages: - From January to May 2025, driven by the uncertainty brought by Sino-US trade friction, precious metals continued the upward trend at the end of 2024, with the London Spot Gold Index rising by 25.5% from January to May. At the same time, domestic industrial products, mainly domestic demand, weakened, with the CSI Steel Index falling by 13% from January to May. Managers mainly trading precious metals and black sector managers who shorted coal and coke or held positions such as buying ore and shorting coal obtained good income [20]. - From June to December 2025, Sino-US trade friction entered a stalemate stage, and the market generally expected that there would be no more negative news. "Anti-involution" became the core driving force in domestic industrial policies. There was a great divergence between subjective CTA private equity managers and industrial participants on whether "anti-involution" could be compared with the supply-side reform in 2016 - 2021. The net value of black sector managers declined significantly after June. In the agricultural product sector, the income of some managers was damaged due to the decline in palm oil prices. In the non-ferrous sector, managers using unilateral trading strategies performed better than those using arbitrage trading strategies [24][25]. 2. Subjective CTA Strategy Industry Ecological Changes 2.1 Head Managers Iterate towards Multi-Asset and Multi-Strategy - Head managers are rapidly iterating towards multi-asset and multi-strategy. The reasons may include limited capital capacity of single-asset futures trading, quarterly income convergence of single-commodity assets, increasing linkage between the equity market and the commodity market, and the need to reduce the impact of single-asset judgment errors on the net value and obtain beta opportunities of other assets [30]. - Expanding the ability circle does not necessarily lead to a significant decline in income. For commodity managers aiming at the asset management path, expanding the trading ability of other sectors can form a positive iteration between asset management scale and investment research [31]. 2.2 Start-up Private Equity Shows Strong Drawdown Control Ability in the Early Stage - In 2025, start-up private equity showed strong drawdown control ability in the early stage. Small-scale managers' weekly drawdown control ability was not weaker than that of large-scale managers. Domestic subjective futures private equity asset management has an obvious sample effect, and small-scale managers are clear about the subsequent asset management path and pay attention to controlling drawdown to improve investors' holding experience [33]. 2.3 In the Market with a Diverse Structure, Single-Industry Logic is Slightly Weak in Trading, Requiring Managers to Have More Comprehensive Abilities - The pricing ability of industrial logic in commodity futures has been weakened, and non-industrial logic forces such as macro strategies and multi-asset strategies have entered the market, making it difficult for teams relying solely on industrial logic to trade [35]. - From the perspective of capital allocation, industry is still the basis for studying subjective CTA managers, but managers should not have obvious shortcomings in macro judgment, trading, and risk control. Research determines the winning rate, trading and risk control determine the profit-loss ratio, and excellent traders are not necessarily excellent asset management managers [35][36]. 3. 2026 Subjective CTA Outlook - The decline in Sino-US macro uncertainty will make the commodity's own supply and demand the dominant factor, which is beneficial to subjective CTA managers based on industrial supply and demand research. There may be industrial contradictions in coking coal, iron ore in the black sector, and lithium carbonate in the new energy sector [37]. - In a low-interest rate environment, the rise in commodity volatility is conducive to managers to create better income. In 2026, the domestic low-interest rate environment will continue, and the main line of commodity trading may shift from precious metals in 2025 to basic bulk commodities [38]. - Subjective CTA managers are extending towards multi-asset and multi-strategy to provide better holding experience for investors. This change also makes the scale of subjective CTA managers further included in the capital allocation options [39].