本文首发于公众号"私募排排网"。 （点击↑↑ 上图查看详情 ） 编 者按 私募排排网数据显示，截至2025年8月底，管理规模在20亿以下的私募管理人有7200余家，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—— 文谛资产 。 Part.1 公司概况 文谛资产是一家专注于量化投资的专业资产管理公司，2016年在上海成立。文谛资产的投资领域覆盖了期货和股票，已构建了覆盖全市场、多品 种、多策略的量化资产管理体系，拥有CTA、股票两大策略库。文谛始终致力于为投资者提供不过度依赖单一收益来源的长期可持续收益。 Part.2 核心团队 公司团队深耕量化投资领域十五年，始终秉持"守正出奇、行稳致远"的投资理念，持续推进策略的迭代创新，确保旗下策略与市场的同步进化。 核心投研人员均拥有物理，数学，计算机及经济学专业背景，从事量化工作多年，具有丰富的量化研究经验与成熟先进的技术，团队成员稳定性 策略发展历史 代表策略及产品 文谛量化 ...

期货研究报告 | 金融工程研究 CTA各策略小幅盈利，逐步增配 ——招商期货CTA市场跟踪周报 （ 2025年09月22日-2025年09月26日） ·研究员-赵嘉瑜 ·联系电话：13686866941 ·研究员-乔垒 ·联系电话：15805605265 ·zhaojiayu@cmschina.com.cn ·执业资格号: Z0016776 ·qiaolei1@cmschina.com.cn ·执业资格号: Z0021548 2025年10月09日 核心观点 | | 商品市场整体上行 | 本周商品指数上涨0.43%，商品市场整体上行。分板块来看：贵金属指数上涨4.48%，有色金属指数上涨 0.73%，能化指数下跌0.06%，工业品指数下跌0.10%，农产品指数下跌1.23%，黑色指数下跌1.95%；分品 | | --- | --- | --- | | | | 种来看：原油指数上涨0.89%，黄金指数上涨3.07%。 | | 市场回顾 | CTA各策略小幅盈利 | 本周各类策略小幅盈利，招商期货CTA中短周期策略指数上涨0.06%，产品池中上涨产品占比73%，招商期 货CTA中长周期策略指数上涨0.36%，产品 ...

广发证券资深金工分析师 张超 SAC: S0260514070002 zhangchao@gf.com.cn 广发证券首席金工分析师 安宁宁 SAC: S0260512020003 anningning@gf.com.cn 广发金工安宁宁陈原文团队 摘要 国内CTA产品三季度发行数量回落： 根据Wind统计数据，2025年三季度新发行CTA产品52只。从近一年风险收益情况来看，三季度公布数据的CTA产品样本数量41只（剔除6 个月没有净值的产品），年化收益率中位数为7.34%，Sharpe Ratio中位数为1.26，近一年最大回撤率中位数为-4.99%。三季度CTA产 品总体盈利比例72.7%。 股指CTA策略短期具备盈利机会： A股三季度大幅上涨，虽然估值已较贵，但在资金和市场情绪推动下，目前上行趋势良好，有利于趋势类CTA策略盈利。与此同时，风险资 产高位往往伴随高波动特征，也是CTA策略相对更容易产生盈利的市场环境。因此对于四季度股指CTA策略，我们持有较为乐观的态度。 国债期货把握高波动阶段机会： 国债到期收益率目前整体处于历史低位，利率下行空间有限，而上行空间又受制于国内通胀水平，国债期货价格后期 ...

期货研究报告 | 金融工程研究 核心观点 CTA各策略小幅盈利，逐步增配 ——招商期货CTA市场跟踪周报 （ 2025年09月22日-2025年09月26日） ·研究员-赵嘉瑜 ·联系电话：13686866941 ·研究员-乔垒 ·联系电话：15805605265 ·zhaojiayu@cmschina.com.cn ·执业资格号: Z0016776 ·qiaolei1@cmschina.com.cn ·执业资格号: Z0021548 2025年10月09日 | | | 本周商品指数上涨0 43% . ， | 商品市场整体上行 | 。 | 分板块来看： | | 贵金属指数上涨4 | 48% 有色金属指数上涨 . ， | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | 商品市场整体上行 | 0 73% 能化指数下跌0 06% . ， . ， | | 工业品指数下跌0 | 10% . ， | 农产品指数下跌1 | . | 23% 黑色指数下跌1 ， . | 95%； 分品 | | | | 种来看： 原油指数上涨0 89% . ...

投资者具有上述的误解我们认为主要有两点原因： 一是误将CTA基金简单理解为商品期货的多头， 许多投资者线性地认为，买CTA基金就像买股票多头基金一样，南华商品指数上涨时产品净 值应必然上涨，当投资者在上次月度交流时宣布持有较多黑色系板块时，则下一月份黑色系板块上涨时，产品净值也应当上涨，然而CTA策 略的本质并非单纯做多商品期货，其盈利模式可能比"牛市买涨、熊市买跌"要更加复杂。 二是对"趋势"的理解过于简单化。 投资者容易关注价格变动的方向，但可能忽略趋势的质量——流畅度"这一关键因素。趋势流畅度是指价 格趋势运行的连贯性和稳定性，直接影响CTA策略的盈利效果。 另外，投资者容易将两只CTA策略标签的产品进行同一阶段的收益比较，但由于管理人持仓周期、参与品种、策略逻辑和杠杆率的不同，可 能导致产品收益间天然出现较大区别。 二、趋势和趋势流畅度如何影响CTA策略产品表现 我们可以把市场分为三类： "大宗商品期货涨的很好，为什么这周产品净值反而表现一般？" （ 点此下载私募基金业绩跟踪周报PDF查看相关内容 ）随着越来越多的投 资者持有CTA策略产品做为资产组合选项之一以后，投资者在接受相关策略投教时越来越倾向 ...

2025年9月26日，中信期货2025年秋季策略会圆满收官。本次策略会以"潮汐涌动.破卷立新"为主题，采 用线上会议的形式举行。通过7大论坛，中信期货研究所的研究员们以多元视角解析市场，多维度深挖 投资机遇，针对四季度及2026年大宗商品、权益、汇率等期货及衍生品领域展开深入剖析，助力投资者 多维掘金、稳健布局。 宏观与贵金属论坛：稳中求进|宏观趋势与资产配置 中信期货研究所宏观与国际研究部总经理姜婧女士表示，四季度宏观和大类资产基调是"稳中求进"，政 策与基本面对冲效应使得宏观环境偏"稳"，资产配置策略偏"进"。从国内层面看，四季度稳增长政策聚 焦三大方向：一是5000亿元政策性金融工具，二是货币政策大概率实施降准，三是"十五五"规划前瞻。 从海外维度看，美国经济动能趋疲，但政策"再校准"将提供支撑，未来1-2个季度，全球宽松流动性与 财政杠杆带动的复苏预期，将为风险资产提供支撑。 中信期货研究所宏观研究组资深研究员朱善颖女士聚焦贵金属，强调四季度黄金震荡偏强，是长期战略 配置窗口。尽管近两年实际利率与金价相关性降低，但受降息周期重启和美联储独立性风险影响，美国 实际利率下行周期中黄金上涨从未缺席。长期来看 ...

Core Viewpoint - The articles present a comprehensive collection of trading strategies and research reports focused on index futures and options, emphasizing quantitative methods and market timing techniques [2][3]. Group 1: Index Futures Trading Strategies - The series includes various strategies such as noise trend trading based on chaos theory, trend-following strategies using polynomial fitting, and day trading systems based on intraday volatility extremes [2]. - Additional strategies cover genetic programming methods for intelligent trading, statistical language models for timing trades, and deep learning approaches for intraday trading [2][3]. - The reports also explore cross-variety arbitrage strategies and high-frequency trading techniques, indicating a focus on both theoretical and practical applications in the futures market [3]. Group 2: Derivatives and Options Strategies - The derivatives series provides foundational knowledge on options, including dynamic hedging strategies and volatility arbitrage [3]. - It discusses the impact of options on the underlying assets and market dynamics, highlighting the importance of options in institutional investment strategies [3]. - The reports also analyze the development of global individual stock options markets and their implications for market participants [3].

又是激情澎湃的一周：美联储降息落地、多个宽基指数创出本轮新高、获利资金开始了结... 这样的宏观环境和市场走势，私募各策略表现如何？ 宏观策略 预计表现：本周宏观策略预计稳定运行，部分管理人或继续新高 来源：市场投研资讯 （来源：风云君的研究笔记） 策略环境： 底层资产表现波澜不惊。 国内权益先涨后跌，国债横盘震荡，商品涨跌不一，总体延续震荡，美股保持小幅上涨，comex黄金震 荡，WTI原油先涨后跌。恐慌指数保持平稳。 债券与商品相关性上升，60日滚动相关性目前进入正相关区间。股票与债券商品降低至负区间。股票和 债券相关性小幅上升。 引用一位宏观对冲基金经理的观点： "本周最重磅的事件莫过于美联储降息，但鲍威尔强调政策将根据经济数据和市场变化逐次会议判断， 未释放强烈鸽派信号，也抑制了市场对进一步宽松的预期。 这也带来了后半周一揽子风险资产对流动性溢价的短期修正，尤其是中国市场，较流动性更为敏感，中 国端的股票、债券、商品短期相关性及波动性均有所上升。 以股票为例，中国受投资者风险偏好的驱动，长端利率在过去一个季度显著上行，人民币汇率则也出现 明显升值，而投资数据却继续下滑，这样的组合在未来可能加剧国内经济 ...

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints - The proportion of short positions in commodities increased slightly this week, with the intensity of black and energy - chemical factors declining and the differentiation between non - ferrous and black sectors expanding. The cross - sectionally strong sectors are precious metals and non - ferrous metals, while the weak sectors are energy and black sectors [2]. - The comprehensive signals of strategies for methanol, float glass, iron ore, lead, and aluminum are neutral this week, except for iron ore which is bearish [3][6][9]. 3. Summary by Related Catalogs Commodity Market Overview - The proportion of short positions in commodities increased slightly this week, with the intensity of black and energy - chemical factors falling and the differentiation between non - ferrous and black sectors widening. Precious metals and non - ferrous metals are strong, while energy and black sectors are weak. Gold's time - series momentum rebounded significantly, but the internal difference between gold and silver continued to expand. The position factor of the non - ferrous sector increased marginally, with copper being strong. In the black sector, the momentum factor increased marginally, and iron ore was stronger than rebar in the term structure. In the energy - chemical sector, cross - sectional momentum was differentiated, with chemicals weaker than energy, and soda ash being weak. In the agricultural products sector, the positions of soybean oil and palm oil decreased, while that of soybean meal increased, and one can short the oil - meal ratio [2]. Methanol - Last week, the supply factor of the strategy net value weakened by 0.09%, the demand factor strengthened by 0.11%, the spread factor decreased by 0.09%, and the synthetic factor decreased by 0.07%. This week, the comprehensive signal is neutral. Fundamentally, the capacity utilization rate of domestic methanol decreased (bullish on the supply side); the average start - up of traditional downstream industries continued to decline, but the start - up of the olefin industry rebounded (neutral on the demand side); ports continued to accumulate inventory significantly (bearish on the inventory side); overseas methanol spot market prices and import profits released bearish signals, and the bullish strength of the spread side weakened and turned neutral [3]. Float Glass - Last week, the returns of major category factors were flat month - on - month, and this week, the comprehensive signal remains neutral. Fundamentally, the start - up load of float glass was flat compared with last week (neutral on the supply side); the transaction area of commercial housing in 30 large - and medium - sized Chinese cities decreased slightly (neutral on the demand side); the inventory of float glass enterprises decreased (slightly bullish on the inventory side); the profit of pipeline - gas - made float glass declined, and the bullish strength of the profit side weakened and remained neutral; the spread factor in the Shenyang - Shahe area released a bearish signal (slightly bearish on the spread side) [6]. Iron Ore - Last week, the supply factor of the strategy net value weakened by 0.21%, the spread factor decreased by 0.25%, and the synthetic factor decreased by 0.16%. This week, the comprehensive signal remains bearish. Fundamentally, the import volume in August increased, and the shipment volume from Brazil rose (bearish on the supply side); the consumption of sintering ore powder by steel mills increased, and the bullish feedback on the demand side strengthened, but the signal remained neutral; the inventory of major port iron ore continued to accumulate, and the bearish feedback on the inventory side strengthened, with the signal remaining neutral; the freight rate decreased, but the spot price increased, and the bearish feedback on the spread side weakened, with the signal remaining bearish [9]. Lead - Last week, the supply factor of the strategy net value weakened by 0.27%, the inventory factor increased by 0.04%, the spread factor decreased by 0.03%, and the synthetic factor decreased by 0.07%. This week, the comprehensive signal turned neutral. Fundamentally, the profit of SMM recycled lead was repaired, and the supply - side signal turned from bearish to neutral; LME lead registered warehouses and inventory continued to reduce, and the inventory - side signal remained neutral; the LME near - far - month spread widened, and the spread - side signal turned from neutral to bullish [9]. Aluminum - Last week, the supply factor of the strategy net value weakened, and the spread factor decreased by 0.03%, and the synthetic factor decreased by 0.07%. This week, the comprehensive signal is neutral. Fundamentally, the recovery speed of the supply side slowed down, and the supply - side signal turned from bearish to neutral [9].

Core Insights - The futures market has shown continuous growth in 2023, with total funds exceeding 1.9 trillion yuan, marking a historical high [1][3] - The market's ability to serve the real economy and enhance risk management has improved significantly, indicating a new stage of industry development [2] Market Size and Growth - The total funds in the futures market have rapidly increased since 2020, surpassing 1.9 trillion yuan in August 2023, with an expected year-end target of over 2 trillion yuan [3][4] - The cumulative trading volume reached 5.97 billion contracts and a trading value of 47.61 trillion yuan from January to August 2023, reflecting year-on-year growth of 21.7% and 22.9% respectively [4] Trading and Positioning - The market's trading-to-position ratio has remained stable at 0.77, indicating a balanced trading environment without excessive speculation [5] - The increase in both fund inflow and positions suggests a more rational market participation, effectively utilizing the risk management functions of the futures market [5] Asset Management Growth - The scale of futures asset management has also seen rapid growth, reaching 383.97 billion yuan by July 2025, a 22% increase from the previous year [6][7] - The demand for diversified investment strategies among high-net-worth individuals and institutional investors is driving the expansion of futures asset management [7] Future Prospects - The continuous expansion of fund size indicates increased participation from industrial clients and financial institutions, enhancing the pricing and risk management functions of the futures market [7] - Regulatory improvements and product innovations are expected to further stabilize market operations and enhance competitiveness in the futures sector [7]