Report Information - Report Title: Commodity Trend Rising: CTA Allocation Opportunities Under Expectations [1] - Report Date: September 26, 2025 [3] - Researchers: Zhao Jiayu, Qiao Lei, Wang Haosheng [2] 1. Report Industry Investment Rating No relevant content provided. 2. Core Views - Since mid - 2024, CTA has reversed its decline, and the recent upward trend has strengthened, mainly due to improved volatility and liquidity. However, the rise since mid - 2024 has been slightly below expectations because the subsequent interest - rate cut process of major economies has not been smooth [5][7] - In the long - term (annual) perspective, the upward momentum of the commodity market is accumulating, and an overall increase in volatility is also likely. This is driven by cost support and low valuation, policy guidance and improved expectations, and global liquidity easing [5] - It is still a strategic window period to increase CTA allocation in the portfolio. In the long run, CTA's long - term positive return expectation and low correlation (even crisis Alpha attribute) with equity assets make it an excellent tool for optimizing the portfolio's Sharpe ratio [6] 3. Summary According to the Directory 3.1 CTA's Strategy Environment - **Short - to - medium - term trend tracking**: It is closely related to intraday volatility and liquidity. Its long - term performance depends on the upward shift of the volatility center, and short - term performance depends on the pulsed increase in intraday volatility. Since mid - 2024, with improved liquidity, short - to - medium - term trend strategies have also improved [17][19][20] - **Medium - to - long - term trend tracking**: Its long - term performance depends on the increase in daily volatility, which has shown signs of stabilization and recovery since mid - 2024 but with a less - than - expected increase. Short - term performance is highly correlated with daily trend smoothness, and the strategy has a higher probability of positive returns when the market trend smoothness increases. The strategy has a better experience in rising commodity markets and can be regarded as a volatility - reducing product of the commodity index to some extent [21][24][27] 3.2 Commodity Market Outlook - **Current situation**: Many industrial product prices are at a thin - profit or loss state, and commodity prices are generally at a historically low valuation with strong cost support [32] - **Expectation**: Commodities are unlikely to return to the low levels before the "anti - involution" policy, as the narrative of "weak external demand due to tariffs" and "structural over - supply in the domestic market" has changed. "Anti - involution" aims to reverse the situation of "increasing quantity but decreasing price" and promote price increases [33][35][36] - **Monetary aspect**: Preventive interest - rate cuts support commodity price increases. Commodities have performed well after interest - rate cut cycles, and preventive interest - rate cuts lead to price increases at the beginning [39] - **Fiscal aspect**: China's fiscal policy continues to be proactive, and the US fiscal policy has exceeded expectations. Major economies have entered a fiscal expansion cycle, and historically, fiscal stimulus usually corresponds to rising commodity prices [43][45][49] - **Volatility**: Commodity volatility is highly correlated with the fiscal expenditures and monetary liquidity of major economies [52] 3.3 CTA's Long - term Value - **Long - term positive return**: CTA's long - term positive returns mainly come from behavioral finance biases and the information advantages and resource inputs of managers [55] - **Low correlation**: It has a low correlation with equity assets, and the internal correlation within CTA is also low [58][60] - **Crisis Alpha attribute**: During historical black - swan events, CTA has often outperformed equity assets, making it an anti - fragile asset with high allocation value in a high - uncertainty market environment [61]