1. Report Industry Investment Rating There is no information provided regarding the report industry investment rating in the given content. 2. Core Views of the Report - **Market Review**: The commodity market declined overall. The agricultural products index fell by 1.05%, the precious metals index by 2.54%, the non - ferrous metals index by 3.37%, the industrial products index by 3.75%, the energy and chemical index by 4.15%, and the black index by 4.93%. The crude oil index rose by 2.92%, and the gold index fell by 0.85%. Most CTA strategies declined. The China Merchants Futures CTA short - and medium - term strategy index rose by 0.05%, with 44% of products in the pool rising; the medium - and long - term strategy index fell by 0.79%, with 30% of products rising; the quantitative arbitrage strategy index rose by 0.08%, with 54% of products rising; the time - series price - volume short - and medium - term strategy index fell by 0.34%, and the medium - and long - term strategy index fell by 1.50% [2]. - **Future Outlook**: The window for CTA allocation is gradually opening. Anti - involution will remain the main long - term logic in the commodity market. With the gradual stabilization and recovery of the domestic economy, the increasing expectation of interest rate cuts in the US, and the support of liquidity, the sentiment in the equity market can radiate to the commodity market to some extent. The long - term trend of the commodity market is emerging, and overall volatility is expected to gradually increase. In the short term, a balanced cycle is preferred, but long - term positions can be gradually increased [2]. - **Strategy Environment**: The short - and medium - term strategy environment is moderately favorable. Intraday liquidity continued to rise, approaching historical highs; intraday volatility declined, with a historical quantile of around 0.4; trend smoothness declined from a high level, with a historical quantile of 0.9. The medium - and long - term strategy environment is moderately favorable. The daily trend smoothness continued to increase, with the smoothness of varieties around 0.8 and the proportion of smoothly trending varieties around 0.9; daily volatility continued to recover from the bottom, with the volatility of varieties around 0.3 and the proportion of high - volatility varieties around 0.7 [2]. - **Style Factors**: Most mainstream factors retreated, with only the cross - sectional term structure factor showing positive returns. The contribution of returns was concentrated at the sector and variety levels. New energy metals all had negative return contributions and accounted for a large proportion, while black raw materials and energy - chemical building materials had relatively large return contributions. The volatility of factors changed differently, with the volatility of short - term momentum continuing to decline and that of medium - and long - term momentum continuing to rise [2]. 3. Summary by Directory 3.1 Market Review - **Commodity Market**: The commodity market declined overall, with the commodity index falling by 2.46%. Most commodity futures sector indexes declined, and volatility generally increased. The average daily trading volume of commodity futures was 2.51 trillion yuan (a marginal decrease of 0.32 trillion yuan), the average daily open interest was 2.33 trillion yuan (a marginal decrease of 0.10 trillion yuan), and the average trading - to - open - interest ratio was 1.08 (a marginal decrease of 0.09), at the 82.46% level in the past three years, remaining at a relatively high level [6][8][12]. - **Stock Index Futures Market**: Stock index futures indexes generally declined, and volatility generally increased. The average daily trading volume of stock index futures was 0.60 trillion yuan (a marginal increase of 0.06 trillion yuan), the average daily open interest was 1.13 trillion yuan (a marginal increase of 0.02 trillion yuan), and the average trading - to - open - interest ratio was 0.53 (a marginal increase of 0.05), at the 71.90% level in the past three years, remaining in the normal range [14][15][19]. - **Treasury Bond Futures Market**: Treasury bond futures indexes and volatility generally increased. The average daily trading volume of treasury bond futures was 0.44 trillion yuan (a marginal decrease of 0.04 trillion yuan), the average daily open interest was 0.88 trillion yuan (a marginal decrease of 0.03 trillion yuan), and the average trading - to - open - interest ratio was 0.50 (a marginal decrease of 0.03), at the 59.07% level in the past three years, remaining in the normal range [21][22][26]. - **Quantitative CTA**: The median returns of most quantitative CTA strategies were negative this week. Most CTA strategy indexes retreated, with only a few showing positive returns [27][33][36]. 3.2 Strategy Market Environment - **Macro Environment**: Monetary liquidity has recovered from the bottom [39]. - **Short - and Medium - Term Strategy Environment**: Intraday liquidity continued to rise, while volatility declined [41]. - **Medium - and Long - Term Strategy Environment**: Trend smoothness continued to increase, and volatility recovered from the bottom [44]. 3.3 CTA Style Factors - **Recent Returns**: Most mainstream factors retreated, with only the cross - sectional term structure factor showing positive returns [50]. - **This Week's Return Sources**: New energy metals all had negative return contributions and accounted for a large proportion, while black raw materials and energy - chemical building materials had relatively large return contributions. At the variety level, coking coal and lithium carbonate had large negative return contributions [51]. - **Factor Correlation and Volatility**: The correlation between factors varied, and the volatility of factors changed differently, with the volatility of short - term momentum continuing to decline and that of medium - and long - term momentum continuing to rise [67]. 3.4 CTA Risk Monitoring - **Risk Factor Exposure**: Quantified trends had a large exposure to the 5 - day time - series momentum factor; quantified multi - strategies had a large exposure to the 30% long - short variety roll - over factor; and quantified arbitrage had a relatively small overall exposure to risk factors [70]. - **Return Decomposition**: For the past three months, the total return of the quantified trend strategy was 3.33%, with a purified alpha return of 6.46% and a style factor beta return of - 3.13%; the total return of the quantified arbitrage strategy was 0.79%, with a purified alpha return of 1.40% and a style factor beta return of - 0.61%; and the total return of the quantified multi - strategy was 1.98%, with a purified alpha return of 3.30% and a style factor beta return of - 1.32% [71].