Report Industry Investment Rating - No investment rating provided in the report. Core Viewpoints - In 2026, the scale of macro - hedge strategies is expected to increase further as their allocation value is increasingly recognized in the market. Risk - parity strategies will play a stronger role as the base position in the portfolio, and the returns of risk - parity managers will experience a certain degree of mean reversion. [36][37] - The performance of subjective CTA strategies in 2026 will be better than that in 2025. The decrease in Sino - US macro uncertainties and the increase in commodity volatility in a low - interest - rate environment will benefit subjective CTA managers. [58] Summary by Directory 01 Macro - Hedge Strategy Research and Outlook Manager Classification and Characteristics - Macro - hedge managers are classified into three types: risk - parity, asset - rotation, and multi - asset multi - strategy. This report focuses on the first two types. Risk - parity managers use the risk - parity model as the basis and enhance it, with relatively consistent performance; asset - rotation managers are based on asset - rotation frameworks like the Merrill Lynch Clock, emphasizing asset timing allocation and having less consistent performance. [6] Domestic Manager Performance in 2025 - As of November 28, 2025, the net value of the "risk - parity" macro - hedge index was 1.172, and that of the "asset - rotation" index was 1.101. In the 46 weeks from January 3 to November 28, 2025, risk - parity managers had positive weekly returns in 30 weeks and negative returns in 16 weeks, with the largest single - week drawdown occurring after the Tomb - Sweeping Festival on April 11. Asset - rotation managers had positive weekly returns in 25 weeks and negative returns in 20 weeks, with the largest single - week drawdown occurring in the week of November 21. In the context of global supply - chain reshaping, risk - parity managers outperformed asset - rotation managers in 2025. [10] Asset Correlation Analysis - In 2025, the negative correlation between treasury bonds and equity indices weakened compared to the end of last year. The China Securities Commodity Index was positively correlated with stock indices and negatively correlated with treasury bonds and gold. Gold, as a safe - haven asset, had a stronger correlation with treasury bonds. There were significant differences in the performance correlations of risk - parity and asset - rotation managers with equity, treasury bonds, and gold. [13] - In terms of equity assets, the correlation between the risk - parity strategy and the CSI 300 was 0.230, and that with the CSI 1000 was 0.186. The correlations of the asset - rotation strategy with the CSI 300 and CSI 1000 were 0.628 and 0.641 respectively. The asset - rotation strategy's returns were more dependent on stocks, and the large drawdown in the week of November 21 was related to the stock decline. [19] - After a five - fold leverage treatment of 10 - year treasury bonds, the correlation between the risk - parity strategy and 10 - year treasury bond futures was 0.221, while that of the asset - rotation strategy was - 0.068. Many managers believed that the treasury bond market was in a bear market, so asset - rotation managers mostly reduced or shorted treasury bonds, while risk - parity managers still held bond positions. [23] - In 2025, gold was one of the strongest - performing assets, with a cumulative net value of the Gold ETF of 1.588 from January 3 to November 28. The correlation between the risk - parity strategy and the Gold ETF was 0.453, while that of the asset - rotation strategy was 0.110. Gold had a greater impact on risk - parity strategies. [26] Overseas Manager Performance in 2025 - As of October 2025, the net value of the "unidentified" macro - hedge index was 1.088, the "subjective" macro - hedge index was 1.129, and the "quantitative" macro - hedge index was 1.159. Quantitative macro - hedge strategies performed the best, followed by subjective strategies, similar to the domestic situation. The maximum drawdowns of the unidentified and quantitative macro - hedge strategies occurred in April, indicating that domestic risk - parity managers may use similar underlying models to overseas ones. [29] - The unidentified macro - hedge strategy index had a more balanced correlation with various asset classes, with a near - zero correlation with New York gold. The subjective macro - hedge index had a high correlation of 0.792 with the S&P 500 and a negative correlation with New York gold, indicating that its returns were more dependent on the US stock market. The quantitative macro - hedge strategy also had a high correlation of 0.627 with the S&P 500 and a relatively high correlation of 0.300 with the S&P GSCI, but a negative correlation with US treasury bonds and gold. [33] Outlook for 2026 - The scale of macro - hedge strategies will increase as their allocation value is recognized. Some investors may replace part of their stock - neutral strategy allocation with low - volatility macro - hedge strategies. The role of risk - parity strategies as the base position in the portfolio will be enhanced, and their return attribution is relatively clear. [36] - The returns of risk - parity managers will experience mean reversion in 2026. Since the probability of bonds and gold replicating their price increases since 2024 is significantly reduced, the returns of these managers will decline. Historically, the long - term return of the basic risk - parity model is around 6 - 8%. [37] 02 Discretionary CTA Strategy Research and Outlook Performance in 2025 - The net value performance of managers in the observation pool in 2025 was weaker than in the same period of 2024. Uncertainties in Sino - US trade friction reduced the trading certainty of discretionary CTA managers based on industrial supply - demand research, weakening their position - holding confidence and return - generating ability. After June, although market sentiment improved, the lack of improvement in the industrial sector led to significant drawdowns for many managers, lowering the annual return. [40] Sector - Specific Performance - Black - sector managers showed some resilience in returns in 2025. In the first half of the year, the collapse of coal costs led to a downward trend in the black - sector prices, with good persistence and low volatility. The concerns about external demand due to Sino - US trade friction coincided with the seasonal decline in coal prices, providing trading opportunities with industrial and macro resonance. In the second half of the year, differences in the implementation of anti - involution policies led to a negative view among industrial - based managers, resulting in significant drawdowns. [45] - Agricultural - product managers were greatly affected by trade frictions between China and the US, Canada, etc. The unpredictable changes in agricultural - product imports and price fluctuations made it difficult for them to generate returns. [45] Industry Changes - Leading managers are iterating towards multi - asset and multi - strategy models. The limited capital capacity of single - asset futures trading, the need to understand the trading behavior of other market participants, and the benefits of multi - asset diversification are the main reasons. [50] - Start - up private - equity funds have shown strong drawdown - control ability since their establishment. Compared with the past, current start - up discretionary CTA private - equity funds have a clearer understanding of investors' risk preferences and a more explicit performance - oriented approach, enabling them to enter institutional investors' asset - allocation pools more quickly. [52] - In a diversified market structure, single - industry logic is insufficient for trading. Managers need to have comprehensive capabilities in macro - judgment, trading, and risk - control. Research determines the winning rate, trading and risk - control determine the profit - loss ratio, and an excellent trader may not be an excellent asset - management manager. [55] Outlook for 2026 - The performance of discretionary CTA strategies in 2026 will be better than in 2025. The decrease in Sino - US macro uncertainties will make commodity supply - demand the dominant factor in trading, and the increase in commodity volatility in a low - interest - rate environment will be beneficial for managers to generate returns. The increase in the scale of discretionary CTA managers based on industrial research will also contribute to the strength of industrial logic in the market. [58]

Core Viewpoint - The 10-year and 30-year Treasury futures have seen an increase in their gains after opening in the afternoon on October 30, with the 10-year futures reaching a high not seen since August 8 [1] Group 1 - The 10-year Treasury futures rose significantly, indicating a strong market response [1] - The 30-year Treasury futures also expanded their gains, reflecting investor sentiment towards long-term bonds [1]

1. Report Industry Investment Rating - Not provided in the content 2. Core View of the Report - The current bond market does not have a basis for significant adjustment. If confidence in the bond market is limited, investors may wait for the yield to adjust further before entering the market with a configuration mindset. If still confident in the bond market, the current point after breaking below the annual line may have obvious short - term trading value [1][4][42] 3. Summary by Relevant Catalogs 2020 - 2022 Scenarios of 10 - year Treasury Futures Breaking Below the Annual Line - **Scenario 1: July 6, 2020 (Breaking Below the Annual Line and Continuing to Weaken)** - After the closing price of the 10 - year Treasury futures main contract broke below the annual line, it experienced short - term fluctuations and rebounds but then continued to decline. The macro - trading logic reversed. The macro - economy showed strong resilience, and the recession expectation significantly cooled. The monetary policy shifted from loose to tight, and the supply of Treasury bond issuance increased, leading to liquidity shock pressure. The 10 - year Treasury futures did not form effective support at the annual line [13] - **Scenario 2: June 27, 2022 (Breaking Below the Annual Line and Then Rebounding Quickly)** - After the closing price of the 10 - year Treasury futures main contract broke below the annual line, it quickly rebounded after a short - term adjustment. In the second quarter of 2022, steady - growth policies were intensively implemented, driving up the expectation of economic recovery. However, due to risk events such as real - estate unfinished building mortgage suspension and rural bank thunderstorms and weak economic data, the recovery expectation declined. Coupled with obvious improvement in liquidity, the 10 - year Treasury futures got strong support near the annual line [23] - **Scenario 3: November 14, 2022 (Breaking Below the Annual Line and Then Oscillating at a Low Level)** - After the closing price of the 10 - year Treasury futures main contract broke below the annual line, the short - term market was weak but did not deviate significantly from the annual line, showing a low - level oscillation state. Real - estate support policies and the shift of epidemic - prevention policies drove up the expectation of economic improvement. The game between strong expectation and weak reality reappeared. After March 2023, the weak reality problem was confirmed again, and the bond market started the next round of upward trend under the logic of abundant funds [28] Analysis of the Current Round of 10 - year Treasury Futures Breaking Below the Annual Line - **Fundamentals** - The macro - economy performed relatively well in the first half of the year, but the economic and financial data in July were relatively weak, indicating that economic stabilization still needs time. The Politburo meeting in July had a relatively cautious tone, and the priority of implementing existing policies was higher than increasing new policy intensity, which may dampen market optimism. The fundamental expectation or current situation does not support a significant upward movement of Treasury yields [3][34] - **Funding Situation** - Since mid - March, the funding rate has been continuously declining, and the difference between the funding rate and the policy rate has gradually converged. The possibility of the central bank tightening liquidity unexpectedly in the next stage is relatively low. An abundant liquidity environment may prevent Treasury yields from rising further [38] - **Stock - Bond Seesaw** - The stock - bond seesaw is the main reason for the recent bond - market adjustment, but the bond market has shown signs of desensitization to the equity market. The equity market's upward slope has increased recently, and potential adjustment risks need to be guarded against. If the equity - market trend corrects, it may drive the bond - market trend to further recover [3][39] Bond - Market Strategy Thinking - The appropriate bond - market strategy depends on two aspects: the bull - bear state of the bond market and the investment purpose (trading or configuration). If confidence in the bond market is limited, wait for the yield to adjust further and then enter the market with a configuration mindset. If still confident in the bond market, the current point after breaking below the annual line has obvious short - term trading value [4][42]

Group 1 - The report indicates that the domestic market's risk appetite remains volatile, with early trading showing weakness in both equity and commodity markets, followed by a reversal in the afternoon [2] - Commodity prices have shown signs of stabilization, with significant reductions in the declines of coking coal, glass, and soda ash, which narrowed by 4.37%, 1.82%, and 4.45 percentage points respectively compared to the previous day [2] - The futures prices of many "anti-involution" commodities have shifted to be lower than or roughly equal to spot prices, indicating a transition to a positive basis or flat state [3] Group 2 - The report highlights that the stock market is led by innovative pharmaceuticals and semiconductors, with the ChiNext Index and the Sci-Tech 50 Index rising by 1.86% and 1.45% respectively, while the Hang Seng Technology Index fell by 0.35% [4] - The bond market experienced a significant decline, with 10-year and 30-year government bond yields rising by 3.25 basis points and 3.80 basis points to 1.75% and 1.96% respectively [4][5] - The report notes that the recent adjustments in the bond market are primarily driven by market sentiment rather than fundamental changes, with a significant portion of the market reacting negatively to regulatory announcements [6][7] Group 3 - The report emphasizes that the technology sector continues to perform strongly, with AI computing and semiconductor stocks seeing notable gains, while the Wind Innovation Drug Index rose by 3.23% [13] - The report also mentions that the market sentiment remains positive, with the financing balance reaching a new high since 924, indicating increased participation from leveraged funds [9][10] - The report suggests that the current market environment is characterized by a rotation among sectors, with technology and innovative pharmaceuticals outperforming, while lower-tier sectors may present opportunities for investment [15]

Market Overview - On June 24, the equity market experienced a significant surge, primarily driven by the ceasefire between Iran and Israel and the participation of stabilizing funds, with notable strength in the non-bank and technology sectors [2][3] - Major stock indices saw broad increases, with the Shanghai Composite Index rising by 1.15%, the CSI 300 by 1.20%, and the ChiNext Index by 2.30% [2] - The bond market continued its upward trend, with the yield on the 10-year government bond rising by 0.6 basis points and the 30-year bond by 1.35 basis points [2][4] Oil and Gold Market - Following the ceasefire announcement, market risk aversion decreased sharply, leading to significant declines in oil and gold prices, with WTI crude oil and Brent crude oil futures dropping by 8.95% and 7.62% respectively [3] - Gold prices also fell, retreating from a high of $3,367 per ounce to around $3,310 per ounce due to reduced geopolitical risks [3] Bond Market Dynamics - The central bank's substantial net injection of liquidity helped stabilize the funding environment as the market entered a cross-quarter week [4] - The overnight funding rates showed a downward trend, with the R001 and DR001 rates remaining stable at 1.44% and 1.37% respectively [4] - The issuance of long-term government bonds saw a slight increase in yield, with the 30-year bond yield rising to 1.85% [6] Equity Market Trends - The A-share market saw a volume increase, with the total trading volume reaching 1.45 trillion yuan, up by 301.1 billion yuan from the previous day [7] - The surge was attributed to the easing of geopolitical tensions and the influx of stabilizing funds, particularly in sectors that had previously underperformed [7] - The market's strong performance suggests a temporary alleviation of the "crisis" sentiment that had been building [7] Sector Performance - The non-bank financial sector saw a notable increase, with the SW Non-Bank Financial Index rising by 2.68%, indicating a shift in market dynamics [9] - The Hong Kong market also experienced gains, with the Hang Seng Index and Hang Seng Tech Index rising by 2.06% and 2.14% respectively [10] Future Outlook - The market is expected to remain within a consolidation framework established since mid-May, with potential upward pressure from profit-taking sentiments [8] - The upcoming military parade on September 3 may also influence market sentiment, particularly in sectors related to defense and technology [10]