Market Performance - On November 19, the Shanghai Composite Index rose by 0.18% and the ChiNext Index increased by 0.25%[2] - On November 20, the trading volume decreased to 1.74 trillion yuan, down approximately 210 billion yuan from the previous trading day[1] Sector Trends - Over half of the sectors experienced declines, with notable gains in non-ferrous metals, oil, and military industries[1] - Real estate, media, building materials, and computer sectors saw the largest declines[1] Investment Strategy - The market is showing a conservative trend, suggesting a focus on low-position stocks in sectors like computing power, semiconductors, and new energy that have undergone phase adjustments[1] - Investors are advised to avoid short-term strong sectors and maintain a cautious position[1] Capital Flow - On November 19, net inflows into the Shanghai Stock Exchange were 11.193 billion yuan, while the Shenzhen Stock Exchange saw net inflows of 5.073 billion yuan[3] Industry Insights - The domestic market for trendy and collectible toys is projected to reach a retail total of 55.83 billion yuan in 2024, indicating a significant growth point for the toy industry[4] - As of October 2025, the total number of electric vehicle charging facilities in China reached 18.645 million, a year-on-year increase of 54%[9]

市场环境对量化CTA策略有利 "波动本身并非风险，失控的波动才是风险。"知名CTA策略私募象限资产相关负责人，向中国证券报记 者揭示了当前市场环境下专业投资者的核心考量。近期商品市场并非呈现单一趋势性上涨或下跌，而是 在多个人气品种上呈现出典型的高波动特征。这背后是宏观预期分歧、产业供需错配与资金驱动等多个 维度的复杂博弈。 具体到品种，驱动逻辑各异。上海富钜私募首席投资官唐弢分析，黄金市场中长期配置逻辑未变，这主 要源于美联储降息周期与美元信用削弱等多个核心驱动因素，但因12月美联储降息预期降温，金价短期 可能高位宽幅震荡。碳酸锂市场因政策面的影响而大幅波动；多晶硅行情则由"反内卷"政策预期驱动， 在相关政策实质落地前，价格快速上涨的空间有限。 在此背景下，市场不确定性显著抬升，反而为擅长在波动中觅食的量化CTA策略创造了潜在机遇。象限 资产认为，当前多个品种持续的高波动状态，为量化CTA策略发挥其"波动率溢价捕获能力"提供了有利 环境。无论是趋势跟踪、截面多空抑或套利策略，均有望在价格大幅变动中捕捉超额收益。 市场中确实不乏敏锐的波段机会捕手。上海一家以深度基本面研究见长的主观CTA私募近期调整了策略 重 ...

Core Insights - The commodity market has become a focal point for capital, with significant volatility in key products like gold and lithium carbonate, creating opportunities for quantitative CTA strategies [1][2] - The current market environment is characterized by high volatility and structural differentiation, which benefits quantitative CTA strategies that can capture price fluctuations [2][3] Market Environment - The market is not showing a single trend but rather high volatility across various popular commodities, driven by macroeconomic expectations, supply-demand mismatches, and capital flows [2] - Gold's long-term investment logic remains unchanged, influenced by the Federal Reserve's interest rate cycle and the weakening of the US dollar, although short-term fluctuations are expected due to cooling rate cut expectations [2] - Lithium carbonate has experienced significant price swings due to policy impacts, while polysilicon prices are driven by "anti-involution" policy expectations, limiting rapid price increases before policy implementation [2] Investment Strategies - Quantitative CTA strategies are well-positioned to exploit the current high volatility, with opportunities arising from trend-following, cross-sectional long-short, and arbitrage strategies [2][3] - A subjective CTA firm has adjusted its strategy focus, emphasizing on-field research and tracking production plans and inventory data in the lithium and polysilicon sectors to identify pricing discrepancies [3] Risk Management - A refined risk management system is crucial in a high-volatility market, utilizing optimized factor selection, diversified investments, and dynamic model adjustments to enhance strategy resilience [4] - The use of quantitative tools for decision-making has been emphasized to quickly identify market sentiment extremes and potential turning points [4] Asset Allocation - The core value of CTA strategies lies in their ability to traverse economic cycles and effectively diversify risk, providing a protective shield for investors during market turbulence [5][6] - The low correlation of CTA strategies with traditional equity and bond assets makes them an essential component of diversified asset allocation [5][6] Future Trends - The development of domestic CTA strategies is showing clear trends, with quantitative CTA becoming the mainstream path and increasing performance differentiation among leading firms [6] - The shift towards multi-strategy and multi-cycle integration is seen as a key path to enhancing Sharpe ratios and improving investor experience [6][7]

Core Insights - Quantitative investment has evolved from a niche strategy to a crucial component in China's public fund market, with total scale exceeding 400 billion yuan by Q3 2025 [1] - Bodao Fund has emerged as a leading player in the quantitative space, managing approximately 27 billion yuan, showcasing how smaller firms can leverage quantitative strategies for growth [1] Group 1: Evolution of Quantitative Investment - The development of Bodao Fund's quantitative business reflects a continuous competition with market effectiveness, starting from private equity and launching live trading in 2013 [2] - The firm successfully navigated market challenges, including the "black swan" event in 2014, by employing the Barra risk model, which laid the groundwork for growth in 2015 [2] - In 2023, Bodao's quantitative team integrated AI methodologies across the entire process, resulting in a performance improvement of approximately 30-40% [2] Group 2: Investment Methodology - The "Dual Equilibrium" multi-factor model is central to Bodao's pursuit of excess returns, focusing on accurately predicting price through earnings per share (EPS) and price-to-earnings (PE) ratios [4] - The first equilibrium balances traditional human-driven frameworks with AI-driven processes, each contributing 50% to the overall strategy [4] - The second equilibrium ensures that factor sources are evenly weighted between predicting EPS trends and PE fluctuations, thus capturing both long-term growth and short-term mean reversion opportunities [4] Group 3: Product Strategy - Bodao Fund has established a clear "Index+" product matrix, which includes standard index enhancements, flexible strategies, and Smart Beta products [5] - All products in the "Index+" series are designed to enhance returns, addressing the significant excess return potential still present in the A-share market [5] - The firm suggests that for individual investors, actively managed funds may require careful selection, while quantitative products can serve as a stable core in investment portfolios [5] Group 4: Future Outlook - The company expresses confidence in the future of quantitative investment in China, noting a shift in investor focus from high volatility to stable excess returns [5]

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]