以下文章来源于风云君的研究笔记 ，作者专注私募研究的 风云君的研究笔记 . 深耕私募行业多年，专注私募基金各个策略以及资产配置，希望能分享给大家更深入、更专业的私募那 些事。 近期，这类策略真的火出圈了，甚至中国证券报都发文称迎来了"强势周期"。 而这类策略就是多资产策略，当然也包括宏观对冲。 之前风云君有聊过，本质都是基于大类资产的配置或轮动，只不过驱动方式不同。 根据某第三方数据平台披露，宏观策略今年前三季度除了一月份小幅收负外，其他月份都为正收 益。 截至今年9月30日，宏观策略平均收益接近25%，而多资产策略收益接近19%，除了小幅落后股 票策略外，显著跑赢其他主流策略。 | | 股票策略 | 多资产策略 组合基金 | | 期货及衍生品策略 | 债券策略 | | --- | --- | --- | --- | --- | --- | | 前一季度盈利 | 31.19% | 18.92% 15.93% | | 10.72% | 9.26% | | 浮盈比例 | 93.52% | 90.01% | 95.17% > 880% · 风云君的研究笔记 | | | 今年以来，特朗普上台后的政策波动让市场短期失真 ...

Core Viewpoint - The article discusses the structural changes in the commodity market and the performance of CTA (Commodity Trading Advisor) strategies, highlighting the challenges and opportunities presented by recent market dynamics [4][8]. Group 1: Commodity Market Dynamics - The commodity market is undergoing significant structural changes, with extreme differentiation in performance among various sectors [4][6]. - The South China Gold Index surged by 18.21%, while the energy index fell by 14.57%, and the black sector dropped by 13.18%, indicating a divergence of over 30 percentage points between sectors [6]. - The volatility in commodities has shown a "pulse-like" characteristic, with a 200% spike in 20-day volatility due to tariff impacts, followed by a rapid decline to historical low levels [7]. Group 2: CTA Strategy Performance - Overall performance of CTA strategies has been lackluster this year, particularly before April, where they ranked at the bottom among various strategies [8][11]. - Following increased volatility in commodities, CTA strategies began to recover, climbing to the third position among strategies by July, although still lagging behind quantitative and subjective strategies [11]. - Recent improvements in the CTA environment have been noted, with strong performance observed in October amidst poor performance from other strategies [11]. Group 3: Macro and Multi-Asset Strategies - CTA strategies have evolved to incorporate macroeconomic data, allowing for a more comprehensive approach to market fluctuations [14]. - The macro strategy integrates five sub-strategies, including economic cycle strategies and risk warnings, to manage assets across different time horizons [14][15]. - A multi-asset strategy has been developed that diversifies across various asset classes, focusing on achieving higher Sharpe ratios through a combination of trend-following, term arbitrage, and cross-sectional strategies [20][22]. Group 4: Risk Management and Performance - The risk management framework for these strategies includes maintaining a margin usage of 10%-15% and controlling overall volatility to remain within 8% [18][17]. - The performance of the multi-asset strategy has shown positive contributions from all asset classes, with a distribution of 60% in equity indices, 30% in commodities, and 10% in government bonds [25].