震荡市里，谁在悄悄跑赢？—CTA策略的配置价值再现

Core Viewpoint - The equity market has shifted to a high volatility and weak trend oscillation pattern since the third quarter, leading to reduced profitability for investors, highlighting the increased value of CTA strategies that can participate in multiple assets and directions [2] Market Environment - The recent trend characteristics of the equity market are weakening, with major indices like the Shanghai Composite and CSI 300 showing increased volatility since September, indicating a lack of consistent upward movement [8] - The commodity market is experiencing significant differentiation, with certain commodities like gold, silver, lithium carbonate, and copper showing clear upward trends despite overall limited gains in commodity indices [10][11] CTA Strategy Performance - Historical data indicates that CTA strategies provide stable and independent returns across various market environments, particularly excelling in years when equity and commodity performances are weak [16][19] - In years of strong equity performance, such as 2017, 2019, and 2020, CTA strategies performed well but were not the top performers, serving as a complementary strategy to equity assets [17][18] CTA Strategy Characteristics - In 2025, CTA strategies are expected to operate in an environment characterized by trends and volatility, with potential for structural trends in the commodity market due to global liquidity conditions and geopolitical factors [23] - The correlation of CTA strategies with equity indices is relatively low, indicating their role as stabilizers in asset allocation, providing positive contributions without significantly increasing portfolio correlation [22]