2025 年 12 月 16 日 2026 年量化 CTA 策略年报 ---2026 年量化 CTA 市场回顾及展望 汪 涵 投资咨询从业资格号：Z0023455 wanghan4@gtht.com 王彦谦(联系人) 从业资格号：F03148583 wangyanqian@gtht.com 报告导读： 二 〇 二 三 年 度 | 目录 | | | --- | --- | | 1. 商品市场表现综述 | 3 | | 1.1 商品市场结构性分化显著，多因素驱动行情分阶段演变 3 | | | 1.2 成交持仓温和回暖，关税及政策驱动波动率分化 5 | | | 2. CTA 各策略线表现情况 | 6 | | 2.1 行情分阶段演变推动策略轮动，全年复合策略持续占优 7 | | | 2.2 股指 CTA 阶段性斩获正收益，长周期策略表现优于日内 8 | | | 3.主流 CTA 因子表现情况 9 | | | 3.1 因子先跌后涨，表现持续分化 9 | | | 3.2 阶段动态分化下，趋势类因子的收益贡献与磨损路径 | 11 | | 4.2025 年 CTA 策略市场变化 12 | | | 4.1 波动率分布"失衡"下， ...

私募排排网数据显示，截至2025年11月14日， 在近5年成立的量化私募中，京盈智投符合排名产品共3只，近半年平均收益达***%，位列新锐量化 私募近半年收益榜第一。（ 点击查看收益 ） 截至2025年10月底， 在规模为5亿以下的量化私募中，京盈智投旗下产品今年来平均收益高达***%，以明显优势摘下第一。 （ 点击查看收益 ） 以下文章来源于排排私募汇 ，作者山枫 排排私募汇 . 私募排排网出品。专注深度对话私募管理人，直击私募核心策略。用客观数据说话，以专业视角解读。在这里，读懂私募，把握投资先机。 点击↑↑ 上图订阅专栏 编 者按 私募排排网数据显示，截至2025年10月底，管理规模在20亿以下的私募管理人有近7200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—— 京盈智投 。 点击 截至2025年10月底，在规模为0-20亿的"小而美"私募中， 京盈智投旗下3只产品今年来平均收益为***%，在"小而美 ...

Core Insights - The article discusses the performance of quantitative CTA strategies during recent market fluctuations, highlighting their ability to generate positive returns amid broader asset declines [1][2]. Group 1: Quantitative CTA Performance - Quantitative CTA strategies exhibited "crisis alpha" characteristics, with an average return of 0.43% during a recent downturn, making them one of the few strategies to show positive returns [1]. - In October, domestic A-shares and bond markets experienced volatility, while quantitative CTA strategies achieved an average return of 2.01%, leading among various strategies [1]. - Year-to-date, quantitative stock selection strategies have outperformed quantitative CTA strategies, with average returns of 42.71% compared to approximately 11% for CTA strategies [2]. Group 2: Market Conditions and Future Outlook - The article notes that the market is currently focused on potential interest rate cuts by the Federal Reserve in December and the upcoming Central Economic Work Conference in China [1]. - The current economic environment, characterized by rising inflation, may benefit commodity performance, with October CPI rising to 0.2% and core CPI increasing to 1.2% [6]. - The article suggests that the current market conditions may favor the allocation of quantitative CTA strategies, particularly in a high liquidity environment [7]. Group 3: Strategy Characteristics and Selection - The performance of CTA strategies is heavily influenced by volatility and trend-following characteristics, with a preference for annualized volatility above 15% [4]. - Investors are advised to consider a diversified approach by selecting multiple strategies or managers to mitigate risks associated with individual performance variations [8]. - The article emphasizes the importance of timing in investing in quantitative CTA strategies, recommending purchases during periods of lower volatility [7].

Group 1 - The 2025 Private Equity Fund High-Quality Development Conference was held in Shenzhen on October 15, themed "Solid Foundation, New Strength, Long Journey" [1] - The 16th Private Equity Golden Bull Award ceremony took place concurrently, recognizing outstanding private equity management companies [3] - Guangdong Hongxi Fund Management Co., Ltd. won the "Golden Bull Private Equity Management Company (Annual Managed Futures Strategy)" award [3] Group 2 - The Private Equity Golden Bull Award is recognized as an authoritative award in the domestic private equity industry, aimed at establishing a scientific evaluation system for private equity fund management institutions and investment managers [5] - The evaluation process adheres to principles of openness, fairness, and justice, combining quantitative and qualitative methods for professional assessment [5] Group 3 - Hongxi Fund emphasizes a business philosophy of "data speaks, performance speaks," committing to sustainable values and progress alongside peers and society [7] - Established in January 2015, Guangdong Hongxi Fund Management Co., Ltd. is a registered private fund manager in China, focusing on quantitative CTA hedge fund strategies [9] - The company was founded by Liu Xibin, who has over 10 years of experience in quantitative CTA strategy research, trading, and risk control [9] Group 4 - Hongxi Fund has developed its own intelligent trading system and a diverse quantitative strategy framework, achieving steady growth for over 10 years and receiving multiple industry awards [9] - The fund's product line includes options strategies, cross-sectional strategies, commodity index enhancement strategies, and traditional quantitative CTA strategies [10] - Looking ahead, Hongxi Fund aims to explore more diversified possibilities through the deep integration of quantitative technology and derivative markets [10]

Core Viewpoint - The article discusses the regulatory developments in quantitative trading in China's securities and futures markets, highlighting the growth and performance of quantitative CTA strategies in the private equity sector amidst market fluctuations [1][3]. Regulatory Developments - The China Securities Regulatory Commission (CSRC) introduced the "Securities Market Algorithmic Trading Management Measures" in 2024, marking the beginning of standardized development for quantitative trading in the stock market [1]. - The new regulations for algorithmic trading in the futures market, which have been in trial since June, will officially take effect on October 9 [1]. Performance of Quantitative CTA Strategies - Quantitative CTA strategies have gained popularity among investors due to their low correlation with stocks and bonds, especially in volatile market conditions [1]. - From 2021 to the end of 2024, quantitative CTA strategies significantly outperformed subjective long and quantitative long strategies during a turbulent market [1]. Year-to-Date Performance Comparison - As of September 19, 2023, the average return for 399 quantitative CTA products was 10.84%, while subjective long strategies averaged 34.59% and quantitative long strategies averaged 37.05% [3]. - Among private equity firms managing over 5 billion, the average return for quantitative CTA products was 7.63%, with 87.10% showing positive returns [3]. Top Performing Quantitative CTA Products - The article lists the top-performing quantitative CTA products for the year, with the leading product managed by 信弘天禾 (Xinhong Tianhe) achieving a return of ***% [4][5]. - Other notable products include those managed by 宏锡基金 (Hongxi Fund) and 洛书投资 (Luoshu Investment), which also performed well [4][5]. Performance in Different Fund Sizes - For private equity firms with assets between 20-50 billion, the average return for quantitative CTA products was 6.42%, with a positive return rate of 93.94% [6]. - In the 10-20 billion category, the average return was 11.04%, with a positive return rate of 97.56% [9]. - For firms managing 5-10 billion, the average return was 7.45%, with 84.21% showing positive returns [11]. - In the smallest category (0-5 billion), the average return was 14.15%, with 83.05% of products achieving positive returns [13]. Conclusion on Market Trends - The article emphasizes the potential for growth in the quantitative trading market in China, suggesting that it is still in a phase of rapid development with significant future opportunities [5].

Group 1 - The private equity investment sector is witnessing a new trend with notable firms like Waying Investment, Shanhai Fund, and Shenhan Capital venturing into short drama production, specifically a financial-themed short drama titled "Rebirth in the Millennium: My Revenge Path through Futures" [1] - The plot of the drama revolves around a billionaire private equity mogul who faces a life-altering event in 2025 due to significant market fluctuations caused by Trump's tariff announcement, leading to a financial collapse and personal tragedy, followed by a time-travel twist back to the year 2000 [1] - Waying Investment has three products with performance displays, including the quantitative CTA product "Waying Heshun Hedging No. 1," which ranks highly among its peers, although specific return data is anonymized due to regulatory requirements [1] Group 2 - The volatility and uncertainty of the futures market deter many investors, yet some private equity firms have achieved notable success in this area [2] - In the current year, Feng Shengli from Fuhua Zixin Private Equity has excelled with the subjective CTA product "Fuhua Tunquan Jinqi," showcasing his extensive investment experience and asset management skills [2] - In the quantitative CTA category, Shuanglong Investment's "Shuanglong-Longyun No. 1" has also performed exceptionally well, ranking among the top products [2] Group 3 - A list of top-performing private equity products in the current year includes "Fuhua Tunquan Jinqi" by Fuhua Zixin, "Jingsheng Tunquan Private Enjoyment" by Jingsheng Investment, and "Ruiti Futures Miracle No. 1" by Ruirui, all of which are in the subjective CTA category [3] - In the top private equity segment, "Xinhong CTA No. 1 Quantitative A Class" managed by Zhang Yi has attracted significant investor interest due to its outstanding performance [3] Group 4 - Over the past year and three years, several private equity firms and products have emerged as top performers, including Hu Qing from Xuming Investment and Xie Dong from Luoshu Investment, who have excelled in the futures market with their subjective and quantitative CTA strategies [4] - Their success is attributed to a deep understanding of the market and a stable investment style [4] Group 5 - The performance data for the past year highlights "Xuming Jingjian B Class" by Xuming Investment and "Fuhua Tunquan Jinqi" by Fuhua Zixin as leading products in the subjective CTA category [5] - Other notable products include "Jingsheng Tunquan Private Enjoyment" and "Daiying Jincheng A Class" from various private equity firms, showcasing a diverse range of strategies and performances [5]

Group 1 - The article discusses a short drama produced by three private equity firms, which is a first in the industry, focusing on a financial theme related to futures trading [1] - The plot centers around a billionaire private equity boss who faces significant losses due to market volatility and personal tragedy, leading to a narrative of rebirth and redemption through futures trading [1] - The private equity firm Woying Investment has three products displayed on the platform, with an average return of ***% as of July 25, 2025 [1][2] Group 2 - As of July 25, 2025, there are 603 futures and derivatives strategy products with a total scale of approximately 343.31 billion, with an average return of 8.73% this year [5] - Among these, 339 quantitative CTA products have an average return of 8.31%, while 156 subjective CTA products have an average return of 12.15% [5] - The top three private equity products in the futures and derivatives strategy for this year are from Beijing Fuhua Zixin, Jing Sheng Investment, and Rui Zhen Investment [5] Group 3 - The article provides rankings of private equity products based on their performance over the past year and three years, highlighting the top performers in both quantitative and subjective strategies [9][13] - The average return for futures and derivatives strategy products over the past year is 20.66%, with 328 quantitative CTA products averaging 19.07% and 145 subjective CTA products averaging 28.76% [9] - Over the past three years, the average return for these products is 61.65%, with 212 quantitative CTA products averaging 30.18% and 80 subjective CTA products averaging 74.70% [13]

Core Viewpoint - The article discusses the emergence of private equity firms engaging in creative projects, specifically the production of a short drama centered around futures trading, highlighting the challenges and uncertainties in the futures investment landscape [1] Group 1: Short Drama Production - Three private equity firms, Waying Investment, Shanhai Fund, and Shenhan Capital, have produced a short drama titled "Rebirth in the Millennium: My Revenge Path through Futures" [1] - The drama features a billionaire private equity boss who faces significant losses due to market volatility and personal tragedy, ultimately leading to a second chance in the year 2000 [1] Group 2: Performance of Private Equity Products - As of July 25, 2025, there are 603 futures and derivatives strategy products with a total scale of approximately 34.33 billion, with an average return of 8.73% this year [3] - Among these, 339 quantitative CTA products have an average return of 8.31%, while 156 subjective CTA products have an average return of 12.15% [3] Group 3: Top Performing Products - The top three futures and derivatives strategy products for the year are led by Fuhua Zixin's product, with a return of ***% [9] - In the category of private equity firms with a scale below 5 billion, the top three products are from Fuhua Zixin, Jingsheng Investment, and Ruixin Investment [10] Group 4: Recent Performance Trends - Over the past year, 573 products have shown an average return of 20.66%, with quantitative CTA products averaging 19.07% and subjective CTA products averaging 28.76% [9] - The leading products in this category are managed by Xuming Investment and Fuhua Zixin [10] Group 5: Long-Term Performance - Over the past three years, 345 products have an average return of 61.65%, with quantitative CTA products averaging 30.18% and subjective CTA products averaging 74.70% [14] - The top three products in this category are from Fuying Investment, Xuming Investment, and Ruixin Tiansuan [15]

Core Viewpoint - The A-share market has stabilized and shown a recovery in risk appetite, leading to a surge in private equity product registrations, particularly in quantitative strategies [1][2]. Private Equity Product Registration Surge - As of May 31, 2025, a total of 4,361 private equity securities products have been registered this year, marking a significant increase of 45.03% compared to the same period last year [1]. - In May alone, 870 private equity products were registered, reflecting a year-on-year growth of 77.19% [2]. - Stock strategies dominate the registered products, with 2,749 stock strategy products accounting for 63.04% of the total [2]. Market Dynamics and Investor Sentiment - High-net-worth clients are increasingly willing to enter the market through private equity channels, with significant net subscriptions reported by several firms, including a total of nearly 3 billion yuan in subscriptions for one firm [2]. - The market sentiment is improving, with the overall stock market valuation at a low point and risk premiums at historically high levels [2]. Quantitative Private Equity Products - The majority of registered products this year are from large quantitative private equity firms, with 40 out of 66 firms registering more than 10 products being large firms, and 31 of those being large quantitative firms [4]. - Quantitative private equity products have become increasingly important, with 1,930 products registered since 2025, representing 44.26% of the total private equity securities products [5]. Strategy Concentration in Quantitative Products - Within the quantitative products, stock strategies are predominant, with 1,339 stock strategy products registered, making up 69.38% of the total [5]. - The main development directions for quantitative products are index enhancement and quantitative CTA strategies [5]. Market Environment and Future Outlook - The current market environment is more active and favorable compared to last year, with high trading volumes providing more opportunities for quantitative strategies [6]. - The demand for diversified investment options is increasing among investors, contributing to the surge in private equity registrations [6].

Company Overview - Maideri Investment is a quantitative hedge fund headquartered in Paris, France, specializing in trend-following CTA strategies for over 12 years [2][4] - The parent company, Metori Capital, was founded in 2016 by Dr. Nicolas, who previously served as the global chief investment officer at a leading asset management firm, managing over €100 billion in assets [4][10] - Maideri China was established in 2019 and received its private fund license in 2020, becoming the 28th foreign and the first French private fund manager in China [4][6] Investment Strategy - The company focuses on quantitative trend-following CTA strategies, with the Chinese trend-following strategy developed independently based on the Chinese futures market [7][9] - The strategy has been operational since June 2014 in collaboration with domestic public funds, with a total scale exceeding 600 million [7] Management Scale - As of March 31, 2025, the global total management scale is approximately ¥50.21 billion, with a significant portion managed in China [6] - The assets managed under the Chinese trend-following CTA strategy reached nearly ¥2 billion by 2022 [7] Core Team - The core research and investment team has over 20 years of experience in finance and mathematics, with all members coming from leading financial institutions in China [9][16] - Dr. Guillaume Jamet, a co-CIO, has a background in mathematics and previously managed the Epsilon series fund [10][12] Achievements and Recognition - Maideri has received multiple global awards for its performance in CTA strategies over the past decade, including recognition from Hedge Fund Journal and CTA Intelligence [19] - The company has established partnerships with several leading financial institutions in China, enhancing its market presence [21]