更多精彩内容请关注方正中期官方微信 农产品团队 | 作者： | 辛旋 | | --- | --- | | 从业资格证号： | F3064981 | | 投资咨询证号： | Z0016876 | | 联系方式： | -- | | 作者： | 宋从志 | | 从业资格证号： | F03095512 | | 投资咨询证号： | Z0020712 | | 联系方式： | 18001936153 | 投资咨询业务资格：京证监许可【2012】75号 成文时间：2026年01月28日星期三 期货研究院 天然橡胶日度策略报告 摘要 【行情复盘】周三化工再度出现领涨，合成橡胶带动天胶价格走强 ，天胶增仓窄幅震荡，日内低开高走，美伊地缘问题增加原油价格 波动。2026年初流动性扩散商品市场整体情绪亢奋，工业品指数出 现强势上涨，央行工作会议强调，把促进经济高质量发展物价合理 回升作为货币政策的重要考量，受此提振，股市及商品市场延续强 势上涨。橡胶当前供需基本面无明显利多题材，宏观是当前市场的 核心驱动。期价调整后橡胶现货价格跟跌，上海全乳胶周均价156 80元/吨，周环比-100；青岛市场20号泰标周均价1910美元/吨，- 1 ...

Core Viewpoint - The article discusses the recent volatility in the commodity market, highlighting the impact of market sentiment and policy changes on investment strategies, particularly in the context of CTA (Commodity Trading Advisor) strategies [5][23]. Market Environment - The commodity market experienced a reversal due to various factors, including liquidity conditions and economic recovery expectations, leading to a significant price drop in some commodities, with weekly declines reaching up to 20% [5][6]. - The market's recent downturn is seen as a correction of expectations returning to reality, despite underlying support from liquidity and economic factors [5][6]. Investment Strategies - Several CTA strategies are analyzed, showcasing their diverse approaches to capturing market opportunities while managing risks [8][20]. - Strategy A employs a multi-strategy approach with a focus on traditional trend-following and fundamental analysis, maintaining a diversified portfolio across approximately 40 commodities, stock indices, and treasury futures [8][10]. - Strategy B utilizes high-frequency trading with a focus on short-term opportunities, achieving an annualized return of 14.68% since its inception, although it faced challenges in the current low-volatility environment [14][15][17]. - Strategy C, a well-established player, has shown resilience with a 10.2% annualized return since 2017, maintaining a diversified portfolio across over 60 trading instruments [20][21]. Performance Metrics - Strategy A reported an annualized return of 15.73% since March 2023, with a maximum drawdown of 11.52% [12]. - Strategy B's performance was impacted by market conditions, resulting in a return of less than 1% year-to-date, with a recent drawdown of 3.62% due to market reversals [17][18]. - Strategy C achieved an 8.06% return in the current year, demonstrating strong performance amidst market fluctuations [21]. Conclusion - The article concludes that the recent commodity market reversal was primarily driven by emotional trading rather than policy changes, emphasizing the importance of market sentiment in shaping investment outcomes [23].