国内CTA产品四季度盈利比例较高 ： 广发证券资深金工分析师 张超 SAC: S0260514070002 zhangchao@gf.com.cn 广发证券首席金工分析师 安宁宁 SAC: S0260512020003 anningning@gf.com.cn 广发金工安宁宁陈原文团队 摘要 截至2025年12月底，根据Wind管理期货投资策略类私募基金的数据，2025年四季度新发行CTA产品57只（由于数据公布存在延迟，统计 数量可能存在缺失），发行数量保持平稳。 A股四季度高位窄幅震荡，趋势类CTA盈利能力较弱。目前股指整体估值水平偏高，但在资金和市场情绪推动下，上行趋势仍未结束。箱体 震荡结束前，预计波动率维持较低水平，股指总体等待突破与新趋势的出现。 国债静待区间突破： 一、CTA产品回顾 国债到期收益率目前整体处于历史低位，利率下行空间有限，而上行空间又受制于国内通胀水平，国债期货价格后期判断仍以震荡为主。与 股指类似，2026年，静待国债期货出现价格趋势突破。 （一） 2025年四季度CTA产品发行情况 商品短期重点关注金属： 根据Wind统计数据，2025年四季度新发行CTA产品57只。从近一年 ...

Core Viewpoint - The article emphasizes the importance of finding a suitable asset allocation strategy rather than chasing after high-performing investment products, highlighting that a well-structured portfolio can yield better results than focusing solely on individual product performance [20][44]. Group 1: Investment Strategies - The article references the legendary trader Jesse Livermore, who experienced both immense wealth and significant losses throughout his life, illustrating the volatility of investment strategies [5][7]. - It contrasts Livermore's approach with that of Ray Dalio, who has successfully navigated market cycles through a diversified "All Weather" strategy, which includes cross-asset, cross-country, and cross-industry allocations [9][48]. - The narrative suggests that most investors, like Livermore, often spend excessive energy searching for the next big investment opportunity, which can lead to poor timing and decisions [12][18]. Group 2: Asset Allocation Importance - The article argues that asset allocation is more critical than selecting individual products, stating that even average-performing products can yield satisfactory results when combined effectively [20][45]. - It provides a mathematical example showing that a balanced portfolio of three average-performing strategies could achieve a return of nearly 60% over three years, despite individual products experiencing significant drawdowns [32][35]. - The text emphasizes that the maximum drawdown of a well-allocated portfolio can be significantly lower than that of individual high-performing products, which can lead to better overall investment experiences [39][41]. Group 3: Tailoring Asset Allocation - The article outlines the importance of aligning asset allocation with individual risk tolerance, return expectations, and liquidity needs, providing examples of different investor profiles [51][56]. - It suggests that a well-considered asset allocation strategy is akin to a balanced diet, where the focus should be on the overall structure rather than specific components [58][60].

"对于没有公募牌照的券商资管来说，'参公大集合'产品的流失，意味着利润盘失去了重要一环。"一家 来自券商资管的业内人士对中国证券报记者表示。 近期，伴随"参公大集合"的最后期限临近，券商资管旗下大批存量大集合产品转移至母公司旗下参股或 控股的公募基金，或者选择清盘。 对于公募机构来说，承接券商资管的大集合产品，一方面丰富了产品线，另一方面也承接了更多资金规 模。这其中，货币型集合产品和规模较大的权益集合产品，成为公募青睐的方向。 "最后期限"已至 2018年资管新规（即《证券公司大集合资产管理业务适用操作指引》）要求，券商"参公大集合"需在 2025年底前完成公募化改造。这意味着，留给券商存量大集合产品的时间已不足两周。 将大集合产品托付给"血缘关系"亲近的公募机构，成为产品转型的重要渠道。例如，光大保德信基金承 接了光大证券资管旗下的部分大集合产品，华富基金承接了华安证券资管旗下的部分大集合产品，鹏华 基金承接了国信证券资管旗下的部分大集合产品。此外，11月以来，还有上海证券、中金公司等多家机 构旗下的部分参公大集合产品完成管理人变更。 还有部分券商资管将产品转移到了与自身没有股权关系的公募机构旗下。11月 ...

Core Viewpoint - The transition of large collective products to public fund management has reached a critical phase, with many asset management companies facing significant challenges due to regulatory changes and market dynamics [1][2][4]. Group 1: Industry Changes - The number of fund managers in the public fund department of companies has decreased from a peak of twenty to around seven or eight, indicating a contraction in the workforce [1]. - The final name of a broker's asset management company, "Guojin Asset Management," has been removed from the list of applicants for public fund management qualifications, signaling the end of the "public fund rush" among broker asset management firms [1]. - The deadline for transforming large collective products into public funds is approaching, with many firms either transferring products to affiliated public funds or opting for liquidation [1][2]. Group 2: Product Transition - Several asset management companies have successfully transferred their large collective products to public fund institutions with "blood relationship," such as Everbright Fund taking over products from Everbright Securities Asset Management [2]. - Some firms have also transferred products to public institutions without direct ownership ties, as seen with Wanlian Securities transferring its money market fund to Ping An Fund [2]. - Many broker asset management firms are choosing to convert non-compliant or smaller products into private asset management plans or liquidate them, with liquidation becoming a common outcome [2][3]. Group 3: Profitability and Future Strategies - The loss of large collective products represents a significant profit loss for broker asset management firms, which need to explore new profit growth points [3]. - Broker asset management firms are focusing on developing multi-strategy investments and creating quantitative products to provide a more stable investment experience [3]. - The competitive landscape is shifting, with licensed institutions leveraging their comprehensive resources to create differentiated offerings, while unlicensed firms may focus on private and customized solutions to build niche brands [4].

Core Viewpoint - The article emphasizes the importance of controlling drawdowns in investment, especially in the context of recent market fluctuations, highlighting that achieving low drawdowns alongside high returns is a challenging goal for investors [2]. A-share Market Performance - As of October 2025, the A-share market has experienced varying levels of drawdown, with the Shanghai Composite Index showing the smallest drawdown of nearly 10%, while the ChiNext Index faced a maximum drawdown of approximately 21% [2]. - The performance of major A-share indices from January to October 2025 is as follows: - Shanghai Composite Index: +17.99% with a maximum drawdown of 9.71% - Shenzhen Component Index: +28.46% with a maximum drawdown of 14.98% - ChiNext Index: +48.84% with a maximum drawdown of 20.79% [3]. Private Fund Performance - In the "quantitative long" category, 27 products ranked in the top 30% for both returns and drawdown control, with a total of 825 products analyzed [4]. - The top five performing products in the quantitative long category for the year are from Jiuming Investment, Shengguanda, Evolutionary Asset, Beijing Guanghua Private Equity, and Qianhai Xuhui Asset [4]. - In the "subjective long" category, 29 products ranked in the top 20% for returns and drawdown control, out of 2156 products analyzed [9]. - The top five performing products in the subjective long category are from Junzhou Private Equity, Liangli Private Equity, Shanghai Ruixin Investment, Meigang Capital, and Fengyu Investment [9]. CTA Strategy Performance - In the CTA (Commodity Trading Advisor) category, 22 products ranked in the top 30% for returns and drawdown control, from a total of 557 products analyzed [13]. - The top five performing products in the CTA category are from Hangjingxinghe Asset, Yidao Asset, Zhixin Rongke, Fubeng Investment, and Alpha Private Equity [13]. Multi-Asset Strategy Performance - In the multi-asset strategy category, 29 products ranked in the top 20% for returns and drawdown control, from a total of 710 products analyzed [16]. - The top five performing products in the multi-asset category are from Guoyuan Xinda, Yiqiao Asset, Xiamen Zhendao Private Equity, Shanghai Congrong Investment, and Qianming Asset [16].

Group 1 - The 2025 Global Futures Traders Conference and the 19th National Futures (Options) Real Trading Competition attracted nearly 170,000 traders, with 196 outstanding participants emerging after months of competition [1] - The competition has evolved beyond a simple contest to become a core platform connecting market demand, talent cultivation, and industry ecosystem development, fostering a multi-win ecological value chain [2][3] - The competition serves as a mirror reflecting the dynamics and needs of traders, showcasing the evolution of trading behaviors and the modern risk management market [2][3] Group 2 - The futures industry is tasked with high-quality development and the creation of a specialized talent pool to provide efficient risk management services for the real economy [3] - The competition assists futures companies in grasping market trends and pressures them to innovate in technology and services, acting as a comprehensive stress test for their capabilities [3] - The event is positioned as a historical mission to promote the healthy development of the futures market, with future iterations expected to incorporate financial technology and artificial intelligence [3] Group 3 - The competition is recognized as a significant platform for observing market dynamics and driving industry innovation, having been held for 19 years [4] - The event provides an opportunity for futures companies to showcase their professional service capabilities and attract talented traders, enhancing brand recognition [5] - The competition is seen as a microcosm of the Chinese futures market, facilitating the exchange of diverse trading styles and strategies, and promoting overall improvement in derivative trading levels [6] Group 4 - Gold has become a focal point for traders, with significant central bank actions supporting its price increase, and a structural low allocation in asset management portfolios indicating potential for future growth [7] - The market dynamics suggest that gold's bullish trend is likely to continue unless significant geopolitical or monetary policy changes occur [7] - The recognition of the importance of understanding market logic and personal risk tolerance is emphasized as crucial for successful trading strategies [8] Group 5 - The CTA strategy is characterized by low correlation with traditional assets, providing a diversified source of returns and opportunities in both bull and bear markets [9] - The recent shift from a tightening to a loosening monetary policy environment is favorable for trading strategies, particularly for CTA products [9] - The performance of CTA products has shown a diversification in sources of returns across various sectors, including equities, bonds, and commodities [9]

Summary of Key Points Core Viewpoint - The article discusses the performance and outlook of CTA (Commodity Trading Advisor) products in the third quarter of 2025, highlighting a decline in new issuances, favorable conditions for stock index CTA strategies, opportunities in government bond futures, and trends in commodity markets. Group 1: CTA Product Overview - In Q3 2025, 52 new CTA products were issued, showing a significant decline compared to the previous quarter [5] - Among the 172 CTA products with reported quarterly returns, 72.7% were profitable, with a median annualized return of 7.34% and a median Sharpe Ratio of 1.26 [10] Group 2: Stock Index CTA Strategy Outlook - The A-share market experienced significant growth in Q3, creating a favorable environment for trend-following CTA strategies despite high valuations [2][36] - The high volatility associated with risk assets is conducive to generating profits for CTA strategies [2][36] Group 3: Government Bond Futures - Government bond yields are at historically low levels, with limited room for downward movement, while upward movement is constrained by domestic inflation [3][47] - There are still opportunities for participation in government bond futures CTA strategies during periods of high volatility [3][47] Group 4: Commodity Market Trends - The commodity market saw low volatility in Q3, with precious metals and black commodities leading the market, while other sectors remained stable [4][48] - Precious metals have recently broken historical resistance levels, indicating potential for further gains, while the black commodity sector's performance is contingent on domestic inflation trends [4][60]

Core Insights - The asset management business of futures companies has shown significant growth in 2023, with a total scale of private asset management products reaching 383.97 billion yuan by the end of July 2025, up from 314.32 billion yuan at the end of 2024, marking an increase of 69.65 billion yuan [1] - The number of futures and derivatives products has increased by 364 to 1,730, with a total scale of 130.19 billion yuan, reflecting a growth of approximately 26% in quantity and 29% in scale compared to the end of 2024 [1] - The average management scale of private asset management products by futures companies has risen significantly from 2.86 million yuan at the end of 2024 to 4.04 million yuan by July 2025 [1] Industry Trends - Since the implementation of the new asset management business registration rules on January 17, 2023, the number of futures companies engaged in asset management has decreased from 110 to 94, indicating a tightening of industry standards [2] - The Commodity Trading Advisors (CTA) strategy has gained popularity due to its stable returns and low correlation with stock and bond markets, becoming a key tool for investors to diversify risks and optimize portfolios [2] - The fixed income market has entered a correction phase, leading to a decline in returns on fixed income products, which has further increased the appeal of CTA strategies as a standard allocation rather than an optional one [2] Company Developments - Ruida Futures has focused on active management and research empowerment, achieving a 36.5% growth in asset management equity scale by mid-2025, with CTA product scale increasing by over 40% [3] - CITIC Futures has developed various derivative investment strategies, including a "fixed income + gold options" strategy, aimed at providing clients with better participation in precious metal investments while controlling volatility [3] - CITIC Futures has emphasized the unique characteristics of futures asset management, leveraging its research advantages to create innovative "fixed income +" products, thus filling market gaps and exploring differentiated development paths for futures companies [4]

Core Insights - The asset management business of futures companies has shown significant growth in 2025, with total private asset management product scale reaching 383.97 billion yuan, an increase of 69.65 billion yuan from the end of 2024 [1] - The number of futures and derivatives products has increased by 364 to a total of 1,730, with a scale growth of 29.39 billion yuan compared to the end of 2024 [1] - The average management scale of private asset management products by futures companies has risen to 4.04 billion yuan, up from 2.86 billion yuan at the end of 2024 [1] Group 1: Market Trends - The implementation of the new asset management business registration rules has raised the entry threshold for futures companies, resulting in a decrease in the number of companies engaged in asset management from 110 to 94 [2] - The Commodity Trading Advisors (CTA) strategy has gained popularity due to its stable returns and low correlation with stock and bond markets, becoming a key tool for risk diversification and portfolio optimization [2] Group 2: Company Strategies - Ruida Futures has focused on active management and research empowerment, achieving a 36.5% growth in asset management equity scale, with CTA product scale increasing by over 40% [3] - CITIC Futures has developed various derivative investment strategies, including a "fixed income + gold options" strategy to capitalize on long-term opportunities in gold during interest rate cuts [3] - CITIC Futures has emphasized the unique characteristics of futures asset management, creating innovative "fixed income +" products to provide diverse asset allocation options and fill market gaps [4]

Core Viewpoint - The article discusses the recent volatility in the futures market, particularly focusing on the dramatic price fluctuations of commodities like coal and polysilicon, highlighting the impact of speculative trading and the emotional responses of traders in the context of a "反内卷" (anti-involution) sentiment [2][12]. Group 1: Market Dynamics - The futures market experienced a rapid surge, with polysilicon prices increasing by over 70% in a month, while coking coal hit a rare five consecutive limit-up days [2][3]. - Following the Dalian Commodity Exchange's position limits on coking coal on July 25, prices plummeted, leading to significant losses for many traders and investment firms [3][4]. - The trading environment in Hangzhou is characterized by a strong commodity culture, with numerous trading firms and a high level of engagement from local investors [5][6]. Group 2: Impact on Traders and Firms - Many traders, including those from Hangzhou, faced substantial losses, with reports of some firms losing billions during the market turmoil [3][4]. - The article notes that the Hangzhou trading community, which includes both industrial players and speculative traders, was caught off guard by the rapid market changes, leading to a collective downturn in performance [4][10]. - The volatility has led to a reevaluation of trading strategies, with some firms struggling to adapt to the emotional and speculative nature of the current market [15][20]. Group 3: Structural Insights - The Hangzhou trading scene is dominated by three main types of capital: trading firms, the Yong'an system, and prominent individual investors [6][9]. - Yong'an Futures has played a significant role in shaping the trading landscape, emphasizing a research-driven approach to trading and risk management [9][10]. - The article highlights the interconnectedness of traders in Hangzhou, where many firms operate within a close-knit community, leading to a tendency for similar trading behaviors and strategies [10][12]. Group 4: Future Outlook - The article suggests that the current market dynamics are influenced by a mix of emotional trading and speculative behavior, which may not align with fundamental economic indicators [12][22]. - The future of the market will depend on whether the expectations of demand improvement can translate into actual market realities, as the current sentiment is heavily driven by speculation rather than solid data [22].