Core Viewpoint - The article analyzes the economic cycle in the U.S. from June 2004 to July 2025 based on the Pring cycle classification, indicating that leading indicators are bottoming out and recovering, while coincident indicators are slightly weakening, and lagging indicators remain resilient. Future attention should be on the status of coincident indicators to determine the economic cycle's progression [4][41]. Group 1: U.S. Economic Cycle Analysis - The U.S. economic cycle is divided into six stages based on leading, coincident, and lagging indicators, with specific characteristics for each stage [7][11]. - As of July 2025, if the loose monetary policy improves the fundamentals and coincident indicators rise, the economy may enter the second or third stage of recovery; otherwise, it may face stagflation risks [4][16]. - The asset rotation pattern shows that during the recovery phase, equities outperform commodities, while in the stagflation phase, commodities exhibit anti-inflation advantages [4][17]. Group 2: Comparison of U.S. and China Economic Cycles - Both the U.S. and China are currently in a phase where leading indicators are rising, but the U.S. faces weakening coincident indicators, while China is in a low-level bottoming process [5][21]. - If leading indicators rise significantly in both countries, it could lead to a synchronized recovery phase; otherwise, the U.S. may enter stagflation, and China may remain in a weak economic state [5][22]. - The sensitivity of domestic assets to U.S. indicators is highlighted, with commodities responding more to U.S. coincident indicators, while the Shanghai Composite Index is more sensitive to domestic indicators [6][42]. Group 3: Asset Performance and Strategies - The article outlines that during different stages of the economic cycle, various asset classes perform differently, with equities leading during recovery and commodities performing well during stagflation [4][17]. - Quantitative CTA strategies perform best during periods of synchronized rising leading indicators, suggesting a potential increase in returns and the necessity for such strategies in the current market environment [6][43]. - The performance of major asset classes from June 2004 to July 2025 is summarized, showing varying returns across different economic phases [20][41].

Core Viewpoint - The recent "anti-involution" trend in the Hangzhou futures market has led to significant drawdowns in the net value of several subjective CTA products from private equity institutions, highlighting the need for improved responsiveness to market changes despite a strong foundation in industrial fundamental analysis [1] Group 1: Market Dynamics - The Hangzhou futures market is characterized by a unique ecosystem formed since 2015, integrating "industrial capital + private equity funds + futures asset management" [1] - Major private equity firms such as Donghe Asset Management and Qiantang Yongli Asset Management have deep ties with Yong'an Futures, leveraging frontline intelligence in "warehousing-logistics-production line" [1] - The recent market changes have challenged traditional advantages, with losses attributed to a lag in responding to policy rhythms, emotional capital, and quantitative fund behaviors [1] Group 2: Performance Data - As of August 15, there are 690 futures and derivatives strategy products with performance data this year, with 79 from Hangzhou, ranking third in quantity [2] - The average return for Hangzhou products this year is 11.69%, placing them second overall, while they have shown resilience in the past month [2] - Among the 79 products in Hangzhou, the number of quantitative CTA and subjective CTA products is roughly equal, with subjective CTA strategies yielding higher average returns [2] Group 3: Strategy Breakdown - In Hangzhou, the top ten performing futures and derivatives strategy products have a high entry threshold, with subjective CTA products dominating the rankings [3] - The proportion of products achieving positive returns in the past month among subjective CTA products is 62.07%, indicating the agility of smaller private equity firms [4] - Qiantang Yongli Asset Management stands out as the only private equity firm in the 20-50 billion scale category, showcasing strong investment capabilities [4] Group 4: Institutional Insights - Eight private equity institutions in Hangzhou meet the ranking criteria, with the top three being mixed-type (subjective + quantitative) firms, reflecting the advantages of mixed strategies [4] - Junfu Investment and Qiantang Yongli Asset Management rank second and fifth respectively among 20-50 billion scale private equity firms, demonstrating robust investment styles [4] - Win Private Equity has emerged as a standout institution over the past year, advocating for counter-cyclical investments and showcasing exceptional performance in strategy and risk management [4]

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].

Core Insights - Guangdong Hongxi Fund Management Co., Ltd. announced the suspension of fundraising for certain traditional quantitative CTA product lines starting August 1, due to increasing global macroeconomic volatility and the strategic value of CTA strategies in asset allocation [1] - The company aims to ensure a long-term holding experience for investors and will continue to operate existing products normally, allowing current investors to redeem their shares without impact [1] - The fund management company has maintained a focus on quantitative CTA strategies and absolute returns over its 10-year history, emphasizing prudent management of strategy capacity limits [1] Company Strategy - The company will keep the cross-sectional quantitative CTA strategy products, options strategy products, and commodity index enhancement strategy products available for normal subscription and redemption [1] - Future adjustments to product fundraising and issuance plans will be based on strategy optimization, market conditions, and investor demand [1] - The current management scale of Hongxi Fund is reported to be between 5 billion to 10 billion [1]

Company Overview - Zhixin Rongke was established in 2013 by two core founders who previously worked at the renowned hedge fund company WorldQuant, focusing on strategy research as its core competitive advantage [2][6] - The company has developed a highly efficient investment research and trading system, accumulating a diverse range of strategies [2] Performance Highlights - Zhixin Rongke's quantitative CTA strategy has achieved good returns during weak market conditions (2022-2023) and demonstrated strong explosive potential in relatively strong years (2024-2025) [2] - As of May 2025, the "Zhixin Rongke Multi-Strategy No. 8 Class A" managed by Wu Zhengpeng has achieved a remarkable return of ***% over the past year, ranking first among the top ten quantitative CTA funds [2] Development Timeline - 2013: Company registration - 2016: Registration and filing - 2021: Initiated asset management business focusing on CTA strategies - 2023: Launched quantitative stock selection strategy - 2024: Completed upgrade of CTA strategy, adding stock index and treasury futures strategies - 2025: Launched mixed multi-strategy (quantitative CTA + stock selection strategy) and flexible hedging strategy [5] Core Team - The two founders hold PhDs from prestigious universities and have over ten years of quantitative trading experience, having worked as senior scientists at WorldQuant [6][7] Competitive Advantages - **Solid Foundation**: The founders' strong academic backgrounds and experience at WorldQuant contribute to a robust quantitative trading system, with a deep understanding of market dynamics [8] - **Rich Strategy Reserve and High Research Efficiency**: The company has developed a highly efficient backtesting and live trading system over more than a decade, resulting in a well-balanced and extensive strategy library [9] - **Complementary and Stable Core Team**: The founders' complementary expertise and clear division of labor have been crucial for maintaining long-term leadership in the industry [10] Product Lines - **Composite CTA Strategy**: The "Zhixin Rongke CTA No. 7 Class A" fund, established on June 8, 2021, consists of a combination of various low-correlation sub-strategies, covering over 50 futures products [12] - **Quantitative Stock Selection Strategy**: The "Zhixin Rongke Quantitative Stock Selection No. 1" fund, launched on October 14, 2022, employs a multi-factor strategy to select quality stocks while incorporating flexible hedging strategies [14] - **Mixed Multi-Strategy**: The "Zhixin Rongke Multi-Strategy No. 8 Class A" fund, established on September 8, 2022, combines 70% composite CTA strategy and 30% quantitative stock selection strategy to achieve stable overall returns [15]

Group 1: Investment Rating - No investment rating is mentioned in the report. Group 2: Core Viewpoints - The performance of the subjective CTA strategy line in the second half of 2025 will continue the trend of the first half. The consistency between macro and industrial directions benefits subjective CTA managers, and the source of income will not decline significantly. Also, the probability of position limits is low, which is conducive to the recovery of market liquidity [2][32][35] Group 3: Summary by Directory 1. 2025 H1 Subjective CTA Review 1.1 Subjective CTA Strategy Net Value Performance - In H1 2025, the net value performance of managers in the observation pool was basically the same as that in H1 2024, and the maximum weekly drawdown was smaller. By sector, black and multi - sector managers had prominent returns. By scale, larger - scale managers had more obvious returns [8][11][14] 1.2 2025 H1 Subjective CTA Strategy Income Attribution - In H1 2025, the Nanhua Commodity Index weakened. The decline of coal drove the cost collapse of domestic industrial products. The income acquisition of subjective CTA was divided into two stages. In the first stage (Jan - Mar 2025), precious and non - ferrous metals rose, while domestic industrial products weakened. In the second stage (Apr - May 2025), after the Tomb - sweeping Festival, the market volatility increased, and subjective CTA managers performed well. The cost collapse of industrial products also promoted the performance of quantitative CTA factors [17][19][22] 2. Subjective CTA Strategy Industry Ecological Changes 2.1 Managers' Positions are Generally Low, Paying More Attention to Net Value Drawdown Management - Managers' positions are generally low, focusing on net value drawdown management. The income in H1 2025 came from the smooth trend of some varieties and the improvement of trading win - rate. Changes in trading habits are related to past commodity price fluctuations and capital requirements [26] 2.2 The Proportion of Industrial Hedging has Increased, Possibly Increasing Industrial Discourse Power - As the prices of industrial products such as coal decline, the industrial demand for hedging against price decline risks has increased. The reduction of the inventory transfer ability of factories through traders makes futures hedging a choice, which may increase industrial discourse power in subsequent pricing [30] 3. 2025 H2 Subjective CTA Outlook - The performance of the subjective CTA strategy line in H2 2025 will continue the trend of H1. The consistency between macro and industrial directions remains, and the decline trend of domestic industrial products has not changed. The probability of position limits is low, which is conducive to the recovery of market liquidity [32][33][35]

Report Overview - The report is a semi - annual report on quantitative CTA strategies, reviewing the market in the first half of 2025 and providing an outlook [1] Report Industry Investment Rating - Not provided in the given content Core Views - In 2025, the commodity market showed significant structural differentiation, with strong demand for precious metals as a safe - haven and continuous decline in energy, chemical, and black sectors due to weak fundamentals. Macro event risks still exist, short - cycle strategies have relatively high certainty, cross - sectional strategies have potential, and equity index CTA may remain dormant [2][3] Summary by Relevant Catalogs 1. Commodity Market Performance Overview 1.1 Precious Metals' Safe - Haven Attribute Highlights, Industrial Goods Sector Driven by Weak Reality - The commodity market presented a significant structural differentiation pattern. By May 30, 2025, the Nanhua Commodity Index fell 5.88%, the Nanhua Agricultural Products Index rose 1.58%, the Nanhua Energy and Chemical Index dropped 14.57%, the Nanhua Precious Metals Index increased 18.21%, the Nanhua Non - ferrous Metals Index rose 0.16%, and the Nanhua Black Index declined 13.18%. In Q1, the chemical and precious metals sectors led the rise, but then black and chemical sectors fell rapidly. In Q2, black and energy - chemical sectors continued to decline, and precious metals fluctuated at a high level [6] 1.2 Trading Volume Recovered, Tariff Fluctuations Caused Strong Volatility Changes - As of May 30, the trading volume of active varieties was at the 70th percentile historically, and the position amount was at the 85th percentile. Trading and position volumes increased slightly compared to last year, which is slightly beneficial for short - cycle CTA. The Nanhua Commodity Index volatility was affected by the US tariff policy in April 2025. Cross - sectional CTA performed well due to the stable strength - weakness relationship between commodity sectors and varieties [11][14][16] 2. Performance of CTA Strategy Lines 2.1 Commodity Trend Strategies Under Pressure, Composite Strategies Relatively Advantageous - The performance of commodity trend strategies was positively correlated with commodity market volatility. In Q1, strategies suffered losses due to low volatility. In Q2, they recovered with the increase in volatility but started to lose again in May. Cross - sectional strategies outperformed trend strategies due to the stable strength - weakness relationship between commodity sectors. Composite strategies' net value increased continuously in Q2 [20][21] 2.2 Equity Index CTA Gains Concentrated in Q1, Losses Continued in Q2 - Since the beginning of the year, the volatility of equity indices has been decreasing. Except for the "Deepseek" market after the Spring Festival and the impact of the tariff event in early April, the intraday and inter - day volatility of equity indices was at a historical low by the end of May. Equity index CTA suffered continuous losses in Q2, and high - frequency equity index strategies also underperformed last year [24] 3. Performance of Mainstream CTA Factors 3.1 Factors First Declined Then Rose, with Continuous Differentiation - In Q1, factors were under pressure due to low - volatility market conditions. In Q2, both fundamental and price - volume factors recovered with the increase in market volatility. Since May, price - volume factors showed differentiation, with long - term cross - sectional and long - term momentum factors performing better than short - term ones. Most factors had positive returns in precious metals and black sectors and negative returns in agricultural and energy sectors [29][35] 3.2 Gold and Industrial Silicon Significantly Contributed to the Returns of Trend Factors - Gold and industrial silicon showed smooth upward or downward trends this year, contributing significantly to the positive returns of trend factors. Managers with heavy positions in these varieties may perform better than those with equal - weighted positions in all varieties [37] 4. Changes in the CTA Market This Year 4.1 Pursuit of "Quasi - Alpha" Driven by Absolute Returns - From 2022 - 2023, after a long period of strategy wear - and - tear, investors' expectations for quantitative CTA strategies shifted from "high - leverage, high - return" to "seeking stable returns". Some managers tried to obtain "quasi - Alpha" returns by controlling risk factor exposures, but the methodology needs long - term observation and verification [40] 4.2 Subjective Adjustments by Managers May Be Cost - Effective - In 2025, the commodity market had a structured market, and some varieties contributed positive returns to trend - following strategies. In the context of macro uncertainties, subjective adjustments by managers may optimize risk exposure and capture high - odds opportunities [41] 4.3 Variety Selection May Be an Important Factor in Performance Differences Among Managers - In 2025, the futures market presented structural opportunities. Varieties on the GME, such as industrial silicon and lithium carbonate, showed smooth trends and contributed significant returns. Managers who actively deployed in new markets and captured these opportunities had better performance [42] 5. Outlook for the CTA Market in the Second Half of 2025 5.1 Macro Event Risks Still Exist, Short - Cycle Strategies Have Relatively High Certainty - In the second half of 2025, macro uncertainties may continue to ferment, and the commodity market is likely to maintain a wide - range differentiated pattern. Medium - and long - term trend - following strategies face a challenging market environment, while short - cycle strategies may have opportunities by capturing short - term fluctuations [43][44] 5.2 Cross - Sectional Strategies Still Have Potential - In the second half of 2025, the differentiation between commodity sectors is expected to intensify, providing a suitable environment for cross - sectional strategies. However, managers need to be vigilant against strategy drawdown risks caused by changes in the strength - weakness relationship between commodities [45] 5.3 Equity Index CTA May Remain Dormant - Since Q2, equity index CTA has been under pressure. In the second half of 2025, low volatility and broken trends will continue to squeeze the profit space of equity index CTA. It is difficult for this strategy to get out of the dilemma without substantial policy changes [47]

Group 1 - The private equity securities industry in China has shown significant growth in the first five months of this year, with a total of 4,361 registered private equity securities products, representing a 45.03% increase compared to the same period last year [1] - In May alone, the number of registered products reached 870, marking a year-on-year increase of 77.19%, indicating a strong development momentum in the industry [1] - Equity strategies dominate the market, with 2,749 equity strategy products accounting for 63.04% of the total registered products, highlighting their position as core allocation assets [1] Group 2 - Quantitative private equity products have seen a total of 1,930 registrations this year, making up 44.26% of all registered private equity securities products, underscoring the importance of quantitative strategies in the private equity sector [1] - Within quantitative products, 1,339 are focused on equity strategies, representing 69.38% of the total quantitative product registrations, followed by futures and derivatives strategies with 299 products (15.49%) [2] - The majority of quantitative equity products are derived from index enhancement strategies, with 850 registrations, accounting for 63.48% of the total equity quantitative products [2] Group 3 - A total of 1,558 private equity securities institutions have registered products this year, with 1,177 small-scale private equity firms (0-1 billion) registering 2,062 products [2] - Among the 190 active private equity institutions, 66 have registered at least 10 products, with large-scale quantitative private equity firms making up 40 of these [3] - The leading private equity firm in terms of product registrations is Blackwing Asset Management, with 87 products, followed closely by Kuan De Private Equity with 79 products [3]

Group 1 - The core viewpoint of the article emphasizes the growth and achievements of Kaifeng Investment, highlighting its status as a leading macro-strategy asset management company in China with nearly 10 billion in assets under management [2][5] - Kaifeng Investment was established in 2012 and has offices in Shenzhen, Shanghai, and Hong Kong, focusing on multi-asset, multi-market, and multi-tool investment strategies to achieve sustainable long-term returns for clients [2][5] - The company has received over a hundred industry awards, including the Golden Bull Award and the Golden Sunshine Award, showcasing its recognition in the asset management industry [2][5] Group 2 - The development history of Kaifeng Investment includes significant milestones such as becoming a special member of the China Securities Investment Fund Industry Association in 2013 and entering the hundred billion private equity camp in 2018 [7][8] - The core team consists of nearly 40 research and investment professionals with an average of over 15 years of experience, emphasizing the importance of talent acquisition and team building [9][22] - The company has established a strong research advantage by integrating macroeconomic analysis, industry chain details, and quantitative methods to enhance its investment strategies [19][21] Group 3 - Kaifeng Investment's macro strategy focuses on identifying mispricing in financial assets based on macroeconomic principles, investing in various asset classes including foreign exchange, stocks, bonds, and futures [23][24] - The company employs a bond enhancement strategy that combines fixed-income assets with futures and derivatives, aiming to manage interest rate and credit risks effectively [25][26] - The quantitative CTA strategy utilizes statistical and mathematical methods to analyze market data, supporting overall macro research and investment strategy formulation [29][30] Group 4 - Kaifeng Investment has received numerous accolades, including the Golden Bull Award for Best Private Fund Management Company and recognition as one of the top 50 private fund companies in China [33][34] - The company continues to expand its product offerings and enhance its investment performance, with a focus on achieving high returns while managing risks effectively [35][37]

Group 1 - The overall economic outlook indicates a divergence between the US and Europe, with the US showing signs of short-term cooling while maintaining a strong economic foundation, whereas Europe continues to struggle with weak economic performance [4][23]. - The US economy is experiencing a marginal slowdown, with GDP growth forecasts declining, particularly in private consumption and trade deficits, while private investment remains robust [5][22]. - Inflation in the US is showing signs of persistence, with CPI inflation rebounding over the past four months, indicating a potential for sustained inflation levels above 2% [9][12]. Group 2 - The European Central Bank (ECB) is expected to continue lowering interest rates, potentially reaching 2% this year, as the Eurozone economy remains weak and requires stimulus [23][25]. - Japan's economy is on a recovery path, with expectations of interest rate hikes above 1% this year, supported by rising wages and inflation [30][32]. - The global interest rate environment is likely to exceed market expectations, with the US Federal Reserve maintaining high rates and the ECB facing risks of inflation interrupting its rate-cutting path [35]. Group 3 - The Chinese economy is showing signs of recovery post-Spring Festival, with consumer spending rebounding and real estate sales improving in major cities [36][37]. - Credit growth in China has surged, with January seeing a record high in new loans, although the sustainability of this growth remains uncertain [48][54]. - Inflation data in China reflects seasonal trends, with CPI rising due to increased consumer spending during the holiday period, while PPI remains subdued due to seasonal production slowdowns [43][50]. Group 4 - The US stock market is under increasing pressure due to economic indicators showing a downturn, with S&P 500 profit growth forecasts declining [64]. - The outlook for US Treasury bonds suggests a volatile environment, with recommendations to favor short to medium-duration bonds due to the high coupon advantage [67][68]. - The currency market is influenced heavily by tariff policies, with the US dollar expected to remain strong despite potential short-term corrections [72][73].