上周的腥风血雨，很多前两周赚钱的CTA产品，也没挨住波动跌了下去。 "竹节草"过后，杭州闷热的像个蒸笼，钱江新城CBD富春路两岸聚集的期现公司，刚刚经历了一场骤雨 狂风。 "反内卷"情绪如台风般席卷期货市场，多晶硅一个月涨了70%多，焦煤打出罕见的5连板，工业硅、玻 璃、碳酸锂等上半年被按在地上摩擦的品种纷纷暴涨，真实演绎了， 日本走出 通缩 需要30年，我们商 品市场只需要30天。 然而，7月25日大商所对焦煤期货限仓之后，焦煤直接跌停，跟风品种应声倒下，经过来回狂躁拉扯的 一周，除了多晶硅、焦煤，其他品种基本跌了回去。 这场商品急刹行情，无数交易者俯冲到挡风玻璃上，就连杭州的贸易巨头、期货资管也损失惨重。 7月25日那周，市场传出有杭州贸易商亏损十几亿，此后一批资管产品净值更新也噩耗频传，杭州主观 CTA的代表——钱塘永利、倍致、遂玖、中柏，遭遇了不同程度的亏损，旌安、孚盈部分产品亏损3个点 以上，润洲更有产品亏了6个点以上。 有头部代销人士告诉笔者，"杭州帮主要栽在了黑色、化工。按照那周的涨法，资管大部分都把仓位砍 了，跌3-5%都是正常的，不砍都奔着7-10%去了。但资管的亏损显然无法与某些大佬自营的 ...

Group 1: CTA Product Overview - In Q2 2025, 100 new CTA products were issued, indicating a continuous upward trend in issuance [5][10] - The median annualized return for the reported CTA products was 16.37%, with a median Sharpe Ratio of 1.60 and a median maximum drawdown of -4.28% [10][11] - The overall profitability ratio of CTA products in Q2 was 69.4% [10][11] Group 2: Stock Index Futures Analysis - Stock index futures experienced a trend decline in volatility during Q2, reaching near historical lows [2][40] - The market outlook suggests limited upward space for A-shares due to valuation pressures, with stock index futures expected to remain volatile in Q3 [2][40] - The average daily trading volume for major index futures contracts showed a decline compared to the previous quarter [12] Group 3: Government Bond Futures Outlook - The yield levels for medium to long-term government bonds are at historically low levels, limiting downward potential [3][51] - Economic weakness and insufficient demand are suppressing the upward movement of interest rates, leading to a forecast of a primarily oscillating market for government bond futures in Q3 [3][51] - The performance of government bond CTA strategies is expected to be negatively impacted by low volatility in the absence of extraordinary market events [3][51] Group 4: Commodity Market Insights - Commodity volatility is currently low, with significant price movements in precious metals and energy sectors during Q2, followed by a return to oscillation [4][65] - The overall lack of trading signals in the commodity market is attributed to ongoing deflation in China and slow interest rate cuts in the U.S., leading to a wait-and-see approach for CTA strategies [4][65] - The average return for commodity trend-following strategies was -1.5% in Q2, indicating underperformance across major commodities [64]

Group 1: Company Overview - COFCO Capital is a holding company involved in various sectors including life insurance, futures, trust, and banking, providing comprehensive financial support to its parent company COFCO Group and a diverse client base [1] - In 2024, COFCO Capital achieved total operating revenue of CNY 25.25 billion, a year-on-year increase of 13.32%, and net profit attributable to shareholders of CNY 1.21 billion, up 18.55% [1] - In Q1 2025, COFCO Capital reported operating revenue of CNY 2.35 billion and net profit of CNY 392 million, maintaining healthy cash assets [1] Group 2: Trust Business Development - COFCO Trust is focusing on the core of trust services, adhering to the service of the real economy and the main responsibilities of the group [3] - The company is advancing structural optimization and risk management to ensure steady growth in its main business [3] - COFCO Trust has developed a comprehensive asset management product system, including cash management, pure debt, and yield-enhancing products [3] Group 3: Futures Business Development - COFCO Futures aims to be a leading domestic provider of industry-specific derivative financial services, focusing on market-oriented, professional, and product-driven principles [4] - The company is enhancing its integrated operational capabilities and providing tailored services to clients in the agricultural sector [5] - COFCO Futures is also expanding its international business and risk management services, adapting to market fluctuations and competitive pressures [5]

Group 1 - The issuance of domestic CTA products significantly increased in Q1 2025, with 73 new products launched, showing a notable rise compared to previous quarters in 2024 [5][6] - The median annualized return for the reported CTA products was 12.40%, with a median Sharpe Ratio of 1.03 and a median maximum drawdown of -5.18%, indicating a healthy performance overall [6][7] - The overall profitability ratio of CTA products in Q1 was 66.0%, suggesting a majority of products generated positive returns [6] Group 2 - The expected returns for stock index CTA strategies are declining due to wide fluctuations in major indices, with small-cap indices performing relatively better [2][34] - A short-term downward price trend is anticipated, particularly in April when annual reports are disclosed, which historically leads to weaker market performance [2][34] - The uncertainty surrounding short-term tariff policies is likely to contribute to a predominantly volatile market in Q2 [2][34] Group 3 - The outlook for government bond CTA strategies is weak, as significant declines were observed in Q1, ending a two-year streak of quarterly gains [3][46] - The yield to maturity (YTM) for government bonds was at historical lows at the beginning of the year, indicating a potential for reversal in market conditions [3][46] - External factors, such as increased global tariff policies, may lead to rising inflation, further impacting the bond market negatively [3][46] Group 4 - The commodity market showed a strong upward trend in Q1, with inflationary signs emerging, although there was internal differentiation among sectors [4][55] - Agricultural products began to rebound, indicating potential for further price increases, while metals, despite leading gains, are at historically high price levels [4][55] - The overall positive trend in commodity prices is expected to enhance the profitability of commodity CTA strategies in Q2 [4][55]