中国基金报记者吴娟娟 【导读】全球知名CTA管理人Aspect Capital联合创始人兼首席执行官Anthony Todd：中国业务超越预期 全球知名CTA管理人Aspect Capital联合创始人兼首席执行官Anthony Todd日前接受本报独家专访时表示，尽管展业不足一年，但其在中国的私募业务进展 超越预期。他指出，当前宏观不确定性高企，投资者越发需要寻找多元化的收益来源，对CTA的需求持续提升。中国投资者不仅追求有吸引力的绝对收 益，而且希望这一回报与股债市场保持低相关性。 Aspect Capital 旗下宽立资本2024年12月在中国证券投资基金业协会登记为证券私募管理人，公开信息显示，截至目前，其管理规模在10亿—20亿元之 间。 Anthony于1997年9月联合创立Aspect Capital，担任首席执行官。他亦担任Aspect执行董事会主席，决定公司的整体战略方向，同时担任投资委员会主席， 在董事会层面负责风险管理。Anthony曾在Adam, Harding and Lueck Limited (AHL）、Mars & Co.和瑞银集团（UBS）工作。他拥有牛津大学物理学学士学 位 ...

Core Insights - The article highlights the success of a trader, Pu Yuhan, who excelled in the 12th Global Derivatives Trading Competition through a disciplined approach focused on trend-following and light position management [1][2]. Group 1: Trading Strategy - Pu Yuhan attributes her success to a mechanical execution of a "trend + light position" system, emphasizing that there are no "eureka moments" in trading [1]. - The key to her performance was a position in A50 index futures, which she entered after analyzing macro policy signals and market sentiment, predicting a bullish trend [1]. - During market fluctuations, she maintained composure due to her light position strategy, which kept volatility within manageable limits [1]. Group 2: Market Environment - The current market environment is favorable for trend-following strategies, with the A50 index reflecting macroeconomic conditions and benefiting from dual drivers of policy expectations and fundamental recovery [2]. - Pu Yuhan has shifted her focus from frequent trading to concentrating on major trends, believing that patience in holding positions is more effective than chasing short-term fluctuations [2]. Group 3: Trading Philosophy - Pu Yuhan's trading philosophy centers on the concept of a "prolonged battle," emphasizing that long-term survival in the market leads to compounding benefits [2]. - She views trading as a marathon requiring patience and perseverance, with a mindset shift from seeking quick profits to pursuing stable long-term returns being crucial [2]. Group 4: Risk Management - Pu Yuhan considers "stop-loss" as a lifeline, always pre-setting stop-loss levels to protect her account from significant losses [3]. - She emphasizes the importance of "profit withdrawal" in risk management, which helps dilute risks and allows for a more composed trading mindset [3]. - Adhering to a "pyramid scaling" principle, she starts with light positions and only increases her stake when market trends are confirmed, maintaining strict limits on total position size [3]. Group 5: Advice for New Traders - Pu Yuhan advises new traders to practice with "money they can afford to lose" and to focus on survival in the initial years rather than seeking quick wealth [3].

Group 1 - The report tracks stocks, industries, and sectors that are reaching new highs, indicating market trends and hotspots [1][4][25] - As of November 7, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index at 0.47%, Shenzhen Component Index at 2.34%, CSI 300 at 1.45%, CSI 500 at 2.93%, CSI 1000 at 1.39%, CSI 2000 at 1.36%, ChiNext Index at 3.49%, and STAR 50 Index at 8.02% [6][25] - Among the CITIC first-level industry indices, the oil and petrochemical, electric equipment and new energy, comprehensive, electric and public utilities, and steel industries are closest to their 250-day new highs, while food and beverage, comprehensive finance, pharmaceuticals, real estate, and retail industries are further away [9][25] Group 2 - A total of 1,018 stocks reached a 250-day new high in the past 20 trading days, with the highest number of new highs in the machinery, basic chemicals, and electronics sectors [2][14][25] - The highest proportion of new high stocks is found in the coal, non-ferrous metals, and steel industries, with respective proportions of 52.78%, 52.42%, and 39.62% [14][25] - The cyclical and manufacturing sectors had the most new high stocks this week, with respective counts of 319 and 301 [16][25] Group 3 - The report identifies 50 stocks that have shown stable new highs based on analyst attention, relative strength, price path stability, and continuity of new highs, including companies like Shannon Chip and Zhongji Xuchuang [3][20][27] - The cyclical and technology sectors had the most stocks reaching stable new highs, with 21 and 16 stocks respectively [20][27] - In the cyclical sector, the non-ferrous metals industry had the most new highs, while in the technology sector, the electric equipment and new energy industry led [20][27]

- The report tracks the market trend by monitoring stocks that have reached new highs, using the 250-day high distance as a key metric[11][12] - The 250-day high distance is calculated as $ 1 - \frac{Closet}{ts\_max(Close, 250)} $ where Closet is the latest closing price and ts_max(Close, 250) is the maximum closing price over the past 250 trading days[11] - As of October 31, 2025, the 250-day high distances for major indices such as the Shanghai Composite Index, Shenzhen Component Index, and others are provided, with values ranging from 1.53% to 8.03%[12][13][15] Model and Factor Construction - **Model Name**: 250-day High Distance Model - **Construction Idea**: The model tracks the distance of the latest closing price from the highest closing price in the past 250 days to identify stocks that are reaching new highs[11] - **Construction Process**: - Calculate the 250-day high distance using the formula $ 1 - \frac{Closet}{ts\_max(Close, 250)} $ - Identify stocks with the smallest 250-day high distance, indicating they are at or near their 250-day high[11] - **Evaluation**: The model is effective in identifying stocks that are leading the market trend by reaching new highs[11] Factor Construction - **Factor Name**: Stable New High Stocks - **Construction Idea**: The factor aims to identify stocks that not only reach new highs but do so with stable price movements and strong momentum[26] - **Construction Process**: - Filter stocks that have reached a 250-day high in the past 20 trading days - Further filter based on analyst attention, relative strength, price stability, and trend continuation - Use metrics such as the sum of absolute daily returns over the past 120 days and the average 250-day high distance over the past 120 days to score and rank stocks[26][28] - **Evaluation**: This factor helps in identifying stocks with strong and stable upward trends, which are likely to continue performing well[26] Backtest Results - **250-day High Distance Model**: - Shanghai Composite Index: 1.53% - Shenzhen Component Index: 2.53% - CSI 300: 2.26% - CSI 500: 2.89% - CSI 1000: 1.85% - CSI 2000: 2.22% - ChiNext Index: 4.11% - STAR 50 Index: 8.03%[12][13][15] - **Stable New High Stocks Factor**: - Number of stocks reaching new highs in the past 20 days: 1077 - Highest number of new high stocks by industry: Electronics, Machinery, Basic Chemicals - Highest proportion of new high stocks by industry: Non-ferrous Metals, Coal, Steel - Highest number of new high stocks by index: CSI 2000, CSI 1000, CSI 500, CSI 300, ChiNext Index, STAR 50 Index[19][20][29]

"屈身守份"，这个充满传统智慧的昵称背后，是一位在量化交易领域游刃有余的IT工程师。在本届实盘 交易大赛中，他斩获量化组第六名。这已是他连续第二年闯入量化组前20名，展现出令人瞩目的持续盈 利能力。 "以前做IT工程师，炒股那几年并没有赚到钱，直到遇见《海龟交易法则》这本书。""屈身守份"坦言， 2012年与这本书的邂逅改变了他的投资轨迹。编程背景与炒股经验结合，让他顺利切入量化赛道。"就 像打通了任督二脉，终于找到了适合自己的方法。" 在本届大赛中，"屈身守份"的核心策略是在海龟法则基础上优化升级趋势跟踪策略，辅以少量波段策 略。"今年股指期货、黄金、白银等行情均特别适合趋势跟踪，算是赶上了好时机。"他说。 与众不同的是，"屈身守份"采用"量化+主观"的独特模式——策略执行完全程序化，但在品种选择上以 主观判断为主。 "我的系统覆盖近30个品种，采用相同的策略和仓位管理。截至目前，我盈利较大的品 种分别是股指、焦煤、碳酸锂和多晶硅。"他说。 "多晶硅启动那天，我预感到行情会很大，果断以平时2～3倍的仓位入场。平时我很少主观干预，但这 次回报十分丰厚。" "屈身守份"回忆称。 "那段时间很难熬，但这就是趋势交 ...

Group 1 - The report tracks stocks, industries, and sectors that are reaching new highs, serving as market indicators and highlighting the effectiveness of momentum and trend-following strategies [1][4] - As of October 24, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index 0.00%, Shenzhen Component Index 3.18%, CSI 300 1.04%, CSI 500 3.85%, CSI 1000 2.99%, CSI 2000 3.14%, ChiNext Index 2.77%, and STAR 50 Index 4.99% [5][24] - Among the CITIC primary industry indices, the sectors closest to their 250-day new highs include telecommunications, oil and petrochemicals, electricity and public utilities, construction, and electronics [8][24] Group 2 - A total of 1,123 stocks reached a 250-day new high in the past 20 trading days, with the highest number of new highs in the electronics, machinery, and basic chemicals sectors [2][13] - The sectors with the highest proportion of new high stocks are non-ferrous metals, coal, and electronics, with respective proportions of 59.68%, 47.22%, and 36.85% [13][24] - The technology and cyclical sectors had the most stocks reaching new highs this week, with respective counts of 356 and 322 [15] Group 3 - The report identifies 50 stocks that have shown stable new highs, including companies like Shannon Chip Creation, Industrial Fulian, and Heertai, primarily from the technology and manufacturing sectors [3][20][25] - The technology sector had the most new high stocks, particularly in the electronics industry, while the manufacturing sector's leading industry was machinery [20][25]

Group 1: Market Trends and Highs - The report tracks stocks, industries, and sectors reaching new highs, serving as market indicators and highlighting the effectiveness of momentum and trend-following strategies [1][4] - As of October 17, 2025, the distance to the 250-day new highs for major indices are: Shanghai Composite Index at 2.39%, Shenzhen Component Index at 7.55%, CSI 300 at 4.15%, CSI 500 at 7.06%, CSI 1000 at 6.05%, CSI 2000 at 6.64%, ChiNext Index at 10.01%, and STAR Market 50 Index at 11.43% [5][26] - Among the CITIC primary industry indices, sectors such as Power and Utilities, Nonferrous Metals, Steel, Coal, and Electric Equipment & New Energy are closest to their 250-day new highs, while Food & Beverage, Consumer Services, Comprehensive Finance, Banking, and Oil & Petrochemicals are further away [9][26] Group 2: High-Performing Stocks - A total of 1,233 stocks reached 250-day new highs in the past 20 trading days, with the highest numbers in the Electronics, Machinery, and Basic Chemicals sectors [2][14] - The highest proportion of new high stocks is found in Nonferrous Metals, Electronics, and Steel industries, with respective proportions of 59.68%, 41.20%, and 39.62% [14][26] - The Technology and Manufacturing sectors had the most stocks reaching new highs this week, with respective counts of 406 and 364 [16][26] Group 3: Stable High-Performing Stocks - The report identifies 27 stable high-performing stocks, including companies like Shannon Chip Creation, Oriental Tower, and Nuway Shares, based on analyst attention, relative strength, price path stability, and continuity of new highs [3][21] - The highest number of stable high stocks comes from the Cyclical and Manufacturing sectors, with 14 and 8 stocks respectively, particularly in Nonferrous Metals and Machinery [21][26]

Report Summary Core View - The essence of futures trading is a long - term psychological and disciplinary battle, and the most important thing is to persevere, especially in the face of losses, doubts, and loneliness [2][3]. - Many traders fail due to "mid - course changes", while adhering to a proven trading system can lead to success [3]. - An effective trading system should be strictly followed, and emotional trading and poor execution can lead to losses [4]. - Persistence also means respecting "waiting", as most of the time in futures trading is unprofitable but crucial for eventual success [4]. - Persistence does not equal stubbornness; core principles should be adhered to while details can be optimized according to market changes [5]. Examples and Evidence - A senior trader adhered to a trend - tracking strategy despite a more than 40% account drawdown in 2020 and achieved doubled profits in 2021 when the agricultural product bull market started [3]. - In the three - year siege of Handan, the city's victory was due to will, organization, and discipline, which is similar to the requirements in futures trading [2][4]. Comparison and Analogy - The Handan Defense War is compared to futures trading, highlighting the importance of will, organization, and discipline in both scenarios [2][4]. - Traders' inconsistent actions in futures trading are likened to soldiers' desertion in a war, leading to failure [4].

- The "Hong Kong Stock Selection Portfolio" model aims to construct a portfolio by combining fundamental and technical analysis of stocks recommended by analysts. The stock pool is built based on analyst recommendation events such as upward earnings forecast revisions, initial coverage, and exceeding expectations in research report titles. Stocks with both fundamental support and technical resonance are selected to form the portfolio. The backtesting period is from January 1, 2010, to June 30, 2025, with an annualized return of 19.11% and an excess return of 18.48% relative to the Hang Seng Index[13][14][19] - The "Stable New High Stock Screening" factor identifies stocks that have reached a 250-day high in the past 20 trading days. The screening process includes criteria such as analyst attention, relative stock strength, price path stability, and continuity of new highs. The calculation formula for the 250-day new high distance is: $ 250\text{-day new high distance} = 1 - \frac{\text{Close}_{t}}{\text{ts\_max}(\text{Close}, 250)} $ where $\text{Close}_{t}$ represents the latest closing price, and $\text{ts\_max}(\text{Close}, 250)$ is the maximum closing price over the past 250 trading days. A value of 0 indicates a new high, while positive values indicate the degree of fallback from the high[20][22][23] - The "Stable New High Stock Screening" factor evaluates stocks based on the following metrics: - Analyst attention: At least 5 buy or overweight ratings in the past 6 months - Relative stock strength: Top 20% in 250-day return within the sample pool - Price path stability: Comprehensive scoring based on price displacement ratio and average 250-day new high distance over the past 120 days - Continuity of new highs: Average 250-day new high distance over the past 5 days, selecting the top 50 ranked stocks[23] - The "Hong Kong Stock Selection Portfolio" model is evaluated positively for its ability to generate significant excess returns over the Hang Seng Index, with a robust annualized return of 19.11% during the backtesting period. The "Stable New High Stock Screening" factor is also positively assessed for its effectiveness in identifying stocks with strong momentum and stability, leveraging the proven efficacy of momentum and trend-following strategies in the Hong Kong market[13][14][20] - The backtesting results for the "Hong Kong Stock Selection Portfolio" model show annualized return of 19.11%, excess return of 18.48%, and information ratio (IR) of 1.22 over the entire sample period. The model also demonstrated a maximum relative drawdown of 23.73% and tracking error of 14.55%[19] - The "Stable New High Stock Screening" factor identified 15 stocks in the cyclical sector, 10 in technology, 7 in pharmaceuticals, 4 in consumer goods, 3 in financials, and 2 in manufacturing. Specific stocks include CGN Mining, which achieved a 250-day new high distance of 0% and a 250-day return of 129.4%[22][23][28]

Group 1 - The report tracks stocks, industries, and sectors reaching new highs, indicating market trends and hotspots [1][4] - As of October 10, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index 0.94%, Shenzhen Component Index 2.70%, CSI 300 1.97%, CSI 500 2.00%, CSI 1000 1.49%, CSI 2000 2.61%, ChiNext Index 4.55%, and STAR Market 5.61% [5][23] - Among the CITIC primary industry indices, power and utilities, steel, building materials, non-ferrous metals, and basic chemicals are closest to their 250-day new highs, while food and beverage, banking, consumer services, comprehensive finance, and transportation are further away [8][23] Group 2 - A total of 1,235 stocks reached a 250-day new high in the past 20 trading days, with the most in the electronics, machinery, and basic chemicals sectors [2][13] - The highest proportion of new high stocks is found in non-ferrous metals, electronics, and electric equipment and new energy sectors, with respective proportions of 54.03%, 39.75%, and 35.05% [13][15] - The technology and manufacturing sectors had the most new high stocks this week, with 403 and 363 stocks respectively [15] Group 3 - The report identifies 50 stable new high stocks based on analyst attention, relative strength, trend continuity, price path stability, and new high sustainability [3][24] - The cyclical and technology sectors had the most stable new high stocks, with 18 and 17 stocks respectively, with basic chemicals leading in the cyclical sector and electronics in the technology sector [19][24]