Market Overview - The market performance was weak during the week of September 15-19, with a lack of significant catalysts leading to profit-taking behavior and noticeable rotation among sectors [1] - The average daily trading volume of the entire A-share market was 2.52 trillion, up 8.23% week-on-week, indicating a relatively warming fund atmosphere as the bull market enters a consolidation phase [1] - The Federal Reserve's interest rate cut was in line with market expectations, but it did not significantly boost market sentiment due to prior price increases already factoring in the cut [1] Private Equity Strategies - The performance of various private equity strategies was generally average, with slight fluctuations in stock strategies, particularly stronger performance in mid-cap index strategies [2][3] Private Equity Strategy Performance - Macro strategy: -0.45% this week, 3.73% over the past month, and 12.39% year-to-date [3] - Subjective stock strategy: -0.18% this week, 6.09% over the past month, and 36.93% year-to-date [3] - CSI 500 index strategy: 0.39% this week, 3.62% over the past month, and 38.64% year-to-date [3] - CSI 1000 index strategy: 0.37% this week, 3.13% over the past month, and 46.18% year-to-date [3] - CSI 2000 index strategy: -0.36% this week, 1.71% over the past month, and 47.73% year-to-date [3] Sector Performance - The coal sector saw a weekly increase of 1.97%, while the power equipment sector decreased by 0.53% [6] - The electronics sector fell by 0.47%, and the automotive sector decreased by 1.94% [6] - The healthcare sector experienced a decline of 1.41%, while the food and beverage sector saw a slight decrease of 0.12% [6] Future Market Outlook - The current bull market is in a consolidation phase, which may lead to short-term corrections, increasing the demand for risk management capabilities among fund managers [4] - High-growth sectors, particularly in technology, are expected to remain market leaders, while sectors that have experienced significant declines may also present rotation opportunities [4] Bond Market - The bond market showed slight recovery, with the overall sentiment remaining weak, and long-term configurations are considered to have good value [9] - The bond market is expected to remain cautious in the short term due to strong profit-taking behavior in the equity market [9] Quantitative Strategies - The quantitative stock selection strategy showed mixed results, with the overall environment being average, and the growth-oriented sectors like the ChiNext and technology performing relatively well [8] - The quantitative CTA strategy reported an average loss of -1.21%, with trading volumes and volatility showing varied trends [12] Macro Hedge Strategy - The macro hedge strategy faced negative performance, with equity assets showing slight fluctuations and bond assets performing flat [15] - The coal and energy sectors showed strong performance, while gold prices fluctuated following the Federal Reserve's interest rate decision [15]

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 core event is the "Gelonghui Mid-term Strategy Summit 2025" held in Shenzhen, featuring various activities including the Global Institutional Investor Forum and the release of the "Gelonghui Golden Award" ESG Excellence List [1] - The Global Institutional Investor Forum will invite top secondary market investors to share their investment strategies and insights for the second half of 2025 [1][3] - Li Xudong, Chairman of Shanghai Xunuo Asset Management, is a key speaker at the event, known for his impressive investment track record and awards in the private equity sector [1][2] Group 2 - Shanghai Xunuo Asset's representative product, a quantitative CTA strategy, ranks in the top 15% [2] - The event on July 5 is a paid activity with early bird pricing for seats, indicating a strong interest and demand for investment insights [4] - The summit aims to gather industry professionals to discuss and navigate the evolving investment landscape for the latter half of 2025 [3]

Core Insights - The private equity securities fund industry has shown strong performance in the first five months of the year, with an average return of 4.34% across 12,843 funds, and 74.81% of these funds achieving positive returns [1] Group 1: Performance by Strategy - Equity strategies led the market with an average return of 4.81%, with 73.5% of the 8,487 equity funds reporting positive returns [1] - Multi-asset strategies followed with an average return of 4.14%, while futures and derivatives strategies and combination funds had returns of 3.19% and 3.09% respectively [1] - Bond strategies lagged with an average return of 2.42%, indicating a performance gradient among different strategies in the current market environment [1] Group 2: Quantitative Strategies - The strong performance of quantitative strategies is attributed to a favorable market environment characterized by a small-cap growth style [1] - Within equity strategies, quantitative long strategies performed exceptionally well, with an average return of 8.46% and 86.62% of the 1,480 funds achieving positive returns [1] - Market-neutral strategies also performed well, with an average return of 5.00% and a positive return rate of 91.18% [1] Group 3: Futures and Derivatives Strategies - In the futures and derivatives strategies, quantitative CTA strategies had an average return of 3.38%, slightly outperforming subjective CTA strategies at 3.37% [2] - The proportion of funds with positive returns for quantitative CTA strategies was 70.36%, compared to 65.19% for subjective CTA strategies [2] - Other derivatives strategies and options strategies had average returns of 2.45% and 2.41% respectively [2] Group 4: Market Outlook - Leading private equity institutions express optimism for the market, with indications that the A-share market has completed a "bottoming" phase [2] - A prominent private equity firm believes that the A-share market is entering a historic opportunity for asset value reassessment, anticipating significant upward movement [2] - Another firm notes that A-share valuations are currently low, with ample potential funding and a clear policy stance to stabilize the economy and stock market, leading to growing investor confidence [2]