今年以来，CTA策略整体创下不错的收益，贵金属在全年提供了丰厚的盈利空间，股指、黑色系、农产品也在不同时期提供趋势性较好的上 涨行情。 不过，当我们把管理人按照长周期和短周期进行分类，我们仍能发现一定程度的业绩分化，结果显示： 平时持仓周期2-3周甚至更长的长周 期CTA产品收益明显领先，而1周以内的短周期策略今年表现相对较弱，为什么会出现这样的分化？今年的商品行情到底更适合哪类CTA？ | | 私募(二级)策略 | 有业绩展示的 | 产品规模合计(万元) | 近1月收益均值 | 近6月收益均值 | | --- | --- | --- | --- | --- | --- | | | | 产品数 | | | | | T | 主观多头 | 2200 | 18425167.09 | -1.33% | 31.01% | | 2 | 重化会并 | 892 | 6996479.77 | 0.94% | 31.87% | | 3 | 复合策略 | 410 | 2987378.50 | 1.12% | 20.02% | | ব | 量化CTA | 400 | 2064918.43 | 1.77% | 10.74% | | 5 ...

恒越嘉鑫债券的基金经理吴胤希于2023年9月份加盟恒越基金，并将CTA策略加入产品管理中，使基金 成为市场上少有的"固收+量化择时"公募产品。具体来看，CTA策略是一种通过量化模型捕捉价格趋 势、进行多空双向交易的资产管理策略，通常运用在期货市场，其方法理念也可用于股票市场。恒越嘉 鑫债券CTA策略核心因子包括动量因子、动量反转因子、波动率因子、成交量因子等，主要捕捉股票价 格的反转信号和波动率变化机会。吴胤希还自编了一系列的内部指数，涵盖高弹性风格的各类热点细分 方向，对每个指数单独嵌套CTA模型。当模型发出买入信号时，基金就买入该自编指数的一篮子个股； 若无信号，则保持空仓。这种灵活调整的方式，配合严格的仓位控制和分散配置，有效平滑了波动。 本报讯(记者昌校宇)近期，A股成长板块持续震荡，投资者在年末更关注如何控制波动、实现稳健收 益。在此背景下，"固收+"基金因其兼顾收益与防守的特性，成为资产配置中的热门选择之一。其中， 恒越基金旗下的"固收+"产品——恒越嘉鑫债券通过引入CTA策略(商品交易顾问策略或管理期货策 略)，在严控回撤的前提下，截至今年三季度末，实现了连续8个季度正收益，以及连续两年年化收益 ...

Core Viewpoint - The article highlights the resurgence of stock strategy products in 2023, marking a significant performance recovery after nearly five years of stagnation, while CTA (Commodity Trading Advisor) strategies, although still yielding decent returns, are losing visibility in the current bullish market [2][5]. Group 1: Performance of CTA Products - CTA strategies are recognized for their ability to navigate through market volatility, showcasing superior long-term returns compared to stock strategies, with a nearly 90% return over the past five years as per the 排排网 CTA优选指数 [2][5]. - As of the end of October, among private equity firms with over 5 billion in assets, 79 CTA products reported an average return of 10.54% this year, with a five-year average return of 89.62% [5][6]. Group 2: Top Performing CTA Products - The top three CTA products in the 50 billion and above category are managed by 均成资产, 宁水资本, and 宏锡基金, with their respective five-year returns being ***% [6][7]. - In the 20-50 billion category, the leading product is 草本投资's "草本致远1号B类份额," achieving a five-year return of ***% and a strong performance this year [8][9]. - For the 10-20 billion category, 共青城广聚星合私募's "广聚星合禾荃1号" leads with a five-year return of ***% [12][13]. - In the 5-10 billion category, 华澄私募's "华澄二号" tops the list with a five-year return of ***% [15][16]. - Among firms with less than 5 billion, 固利资产's "量磁群英1号" stands out with a five-year return of ***% [18][19]. Group 3: Fund Managers and Strategies - The fund manager for 均成资产, 司维, has a strong background in data analysis and investment management, contributing to the product's diversified strategy [7]. - 邓飞 from 宁水资本 specializes in macro investment and bond trading, focusing on government bond futures [7]. - 刘智勇 from 草本投资 has extensive experience in the oilseed market, enhancing the product's performance through industry knowledge [10][11]. - 李婷 from 共青城广聚星合 has a decade of experience in futures and commodity strategies, leading to the product's strong performance [13][14]. - 颜学阶 from 华澄私募 has been dedicated to quantitative investment for over a decade, refining multi-strategy approaches [17].

Core Insights - The article discusses the performance of various private equity strategies, particularly focusing on CTA (Commodity Trading Advisor) strategies, which have shown resilience in the current market environment compared to traditional equity strategies [2][3]. Performance Overview - As of October 2025, the A-share market indices exhibited mixed performance, with subjective long-only private equity products showing an average return of -1.33% over the past month, while quantitative long products achieved an average return of 0.94% [2]. - In contrast, subjective CTA and quantitative CTA products reported average returns of 2.84% and 1.77% respectively over the same period, highlighting their strong performance within the private equity secondary strategies [2]. Private Equity Strategy Breakdown - The article provides a detailed breakdown of various private equity strategies, including: - Subjective Long: 2200 products, total scale of approximately 184.25 billion CNY, with a 1-month return of -1.33% and a 6-month return of 31.01% [3]. - Quantitative Long: 400 products, total scale of approximately 20.65 billion CNY, with a 1-month return of 1.77% and a 6-month return of 10.74% [3]. - Subjective CTA: 185 products, total scale of approximately 1.08 billion CNY, with a 1-month return of 2.84% and a 6-month return of 14.92% [3]. - Other strategies such as macro strategies, FOF, and arbitrage strategies also showed varying performance metrics [3]. Top Performing Private Equity Firms - The article identifies top-performing private equity firms based on their CTA product performance: - For firms with assets over 2 billion CNY, 洛书投资 (Luoshu Investment) ranked first with a 6-month return of ***% [4][5]. - In the 5-20 billion CNY category, 华澄私募 (Huacheng Private Equity) led with a 6-month return of ***% [6][7]. - For firms with assets under 5 billion CNY, 系综（上海）私募 (Xizong Shanghai Private Equity) topped the list with a 6-month return of ***% [8][9]. Investment Strategy Insights - The article emphasizes the importance of understanding the differences in strategy logic and risk control among various private equity managers, which can lead to significant performance disparities [4][5]. - It highlights that while CTA strategies theoretically offer superior performance, actual results can vary widely based on the management approach and execution [4].

Core Insights - The participant "Riyue" achieved the eighth place in the quantitative group of a trading competition, with a net profit of 26.463 million yuan, marking a significant accomplishment in his trading journey [1] - "Riyue" emphasizes a focus on stable growth rather than high-risk, high-reward strategies, indicating a preference for risk management and steady returns [3][4] Group 1: Trading Strategy - "Riyue" primarily employs arbitrage and intraday trading strategies in the competition [2] - His trading approach integrates fundamental factors and unique indicators, enhancing adaptability and competitiveness in volatile market conditions [3] Group 2: Personal Development and Philosophy - The trading journey of "Riyue" faced challenges, particularly in 2018 when a singular strategy led to significant drawdowns, prompting a shift towards diversified investment and risk management [3] - "Riyue" believes that discipline is more important than intelligence in trading, advocating for a solid understanding of programming and market mechanisms for aspiring quantitative traders [4] Group 3: Future Outlook - "Riyue" sees potential in medium to low-frequency strategies that incorporate fundamental factors, expressing optimism about the future performance of CTA strategies [4]

Core Viewpoint - After experiencing a significant drop, international gold prices have stabilized above the $4,100 per ounce mark, following a volatile week where prices reached a historical high of $4,398 before falling sharply [2][3]. Price Volatility and Market Behavior - As of October 24, the London spot gold price was reported at $4,101 per ounce, with a daily decline of 1.06%. The week saw gold prices fluctuate dramatically, with a peak of $4,398 on October 20 and a subsequent drop of over 6% on October 21, marking the largest single-day decline in nearly 12 years [3][4]. - Despite high volatility, investor enthusiasm remains strong, particularly among younger demographics. Data from Ant Financial indicates that over 55% of online gold investors are from the post-90s and post-00s generations [3][4]. Investment Trends - The current trend among young investors is characterized by "small, frequent, and long-term" investments, with a preference for systematic investment plans (SIPs) rather than traditional speculative trading. Over 890 million people have initiated gold ETF investments, with over 40% being post-95 investors [4]. - Following the National Day holiday, there was a fivefold increase in searches for "gold" on Alipay, and the number of investors purchasing gold products surged to 1.8 times that of the same period before the holiday [4]. Institutional Insights - Despite the recent drop of over $300 in gold prices, the year-to-date increase remains above 50%. Institutions emphasize the importance of high volatility as a key consideration for investors [5][6]. - Analysts suggest that while central bank purchases and rising investment demand will support gold prices in the medium to long term, short-term adjustments and volatility risks should be carefully monitored [6][8]. Economic Indicators and Future Outlook - Market attention is focused on upcoming U.S. economic data, particularly the CPI report, which could influence the Federal Reserve's interest rate decisions and gold price movements [7]. - Long-term support for gold prices is expected from central bank purchases and a weakening U.S. dollar. Recent data shows record inflows into gold ETFs, with September seeing a $26 billion inflow [8][9]. Price Projections - Goldman Sachs maintains a target price of $4,900 per ounce for gold by the end of 2026, citing strong inflows into ETFs and a growing interest from various institutional investors as strategic diversifiers in their portfolios [9].

Core Insights - Despite the historical high prices of gold, public investment enthusiasm remains strong [3][4] - After a significant drop, international gold prices have stabilized above $4,100 per ounce [2][3] Price Movements - As of October 24, London spot gold was reported at $4,101 per ounce, with a daily decline of 1.06% [3] - Gold prices experienced extreme volatility, reaching a peak of $4,398 per ounce on October 20, followed by a drop exceeding 6% on October 21, marking the largest single-day decline in nearly 12 years [3][4] - The average holding period for gold ETF investors on the Ant Group platform is 1,750 days, indicating a long-term investment approach [4] Investor Behavior - Young investors, particularly those born in the 1990s and 2000s, now represent over 55% of online gold investors [3][4] - There has been a fivefold increase in searches for "gold" on Alipay compared to the same period last year, with over 9.4 million searches in the week following the National Day holiday [4] - The number of investors purchasing gold accumulation and gold ETF funds on the Ant Group platform post-holiday was 1.8 times that of the same period before the holiday [4] Market Analysis - Despite the recent volatility, gold prices have increased by over 50% year-to-date [5] - Analysts emphasize the importance of high volatility as a key consideration for investors [5] - The upcoming U.S. economic data release is anticipated to influence future gold price movements [5] Institutional Insights - Central bank gold purchases and a weakening of the U.S. dollar are expected to support gold prices in the medium to long term [6] - In September, gold ETFs recorded a record monthly inflow of $26 billion, indicating strong institutional interest [7] - UBS maintains a year-end gold price target of $4,200 per ounce, while Goldman Sachs projects a price of $4,900 per ounce by the end of 2026 [7]

- The report does not contain specific quantitative models or factors for analysis[2][3][4] - The report primarily discusses macroeconomic trends, asset allocation strategies, and market observations without detailing quantitative models or factor construction[2][3][4] - No formulas, construction processes, or backtesting results for quantitative models or factors are provided in the report[2][3][4]

Core Viewpoint - The article discusses the recent volatility in the U.S. stock market, highlighting that investors are primarily using options for risk management rather than large-scale stock sell-offs, despite record-high options trading volume [1][3]. Group 1: Market Activity - On the last Friday, the U.S. stock market experienced significant fluctuations, with options trading volume surpassing 100 million contracts, marking only the second occurrence of such a volume in history [3]. - The S&P 500 index's trading volume was only 9% above its 20-day moving average, indicating a relatively calm stock trading environment [3]. - The high volatility index reached a level of 9/10, similar to levels seen in mid-April, but the implied volatility of the S&P 500 has not reached the levels seen in April or August [7]. Group 2: Systemic Risks - Concerns about potential triggers for systemic sell-offs are prevalent, with Goldman Sachs estimating that systematic strategy funds hold approximately $220 billion in U.S. stocks [8]. - The short-term trigger threshold for the S&P 500 is around 6580 points, which was breached last Friday, while the mid-term threshold is approximately 6290 points [8]. - A significant decline in gamma values was observed, reflecting an accumulation of structural market risks [8]. Group 3: Consumer Finance Sector - The consumer finance sector has come under notable pressure, with trading activity among high-yield consumer finance issuers reaching its highest level since early April [9]. - Goldman Sachs believes that the weakness in this sector is due to specific circumstances rather than a broad reassessment of recession risks, as broader service and retail sectors have not shown similar weakness [10]. Group 4: Investor Sentiment - Despite recent volatility, investor sentiment has shown resilience, with a net inflow of $14 billion recorded last week, and Goldman Sachs' sentiment indicator turning positive for the first time since February [11]. - Passive fund inflows and retail margin debt remain above the normal levels, although recent price movements may pull these indicators back into negative territory [12]. Group 5: Key Themes - The two dominant themes in the U.S. stock market remain the growth potential from AI development and concerns regarding the labor market, which are expected to be central topics in the upcoming earnings season [14]. - Major financial institutions are set to release earnings starting October 14, with expectations for S&P 500 earnings per share to grow by 6% year-over-year, lower than the 11% growth in the second quarter, but Goldman Sachs anticipates potential positive surprises [16].

本文首发于公众号"私募排排网"。 （点击↑↑ 上图查看详情 ） 编 者按 私募排排网数据显示，截至2025年8月底，管理规模在20亿以下的私募管理人有7200余家，占比超90%，是私募行业数量庞大的中坚力量。私募排 排网推出 「打卡100家小而美私募」 栏目，聚焦管理规模适中、策略特色鲜明的优质私募基金管理人。通过深度解析其投资方法论、风控体系及能力 圈建设，为投资者提供差异化的视角与洞察。本期打卡—— 文谛资产 。 Part.1 公司概况 文谛资产是一家专注于量化投资的专业资产管理公司，2016年在上海成立。文谛资产的投资领域覆盖了期货和股票，已构建了覆盖全市场、多品 种、多策略的量化资产管理体系，拥有CTA、股票两大策略库。文谛始终致力于为投资者提供不过度依赖单一收益来源的长期可持续收益。 Part.2 核心团队 公司团队深耕量化投资领域十五年，始终秉持"守正出奇、行稳致远"的投资理念，持续推进策略的迭代创新，确保旗下策略与市场的同步进化。 核心投研人员均拥有物理，数学，计算机及经济学专业背景，从事量化工作多年，具有丰富的量化研究经验与成熟先进的技术，团队成员稳定性 策略发展历史 代表策略及产品 文谛量化 ...