期货研究报告 | 金融工程研究 商品趋势渐起预期下的CTA配置机会 ·研究员-赵嘉瑜 ·13686866941 ·zhaojiayu@cmschina.com.cn ·Z0016776 ·研究员-乔垒 ·15805605265 ·qiaolei1@cmschina.com.cn ·Z0021548 ·研究员- 王昊昇 ·18674061227 ·wanghaosheng@cmschina.com.cn · Z0022940 2025年9月26日 · 核心观点 24年中开始，CTA扭转颓势，近期上涨趋势得到加强，主要来自于波动和流动性的好转（20240611招期 金工专题报告：CTA策略整装再出发；我们认为开启降息就是波动率提升以及CTA增配的时机）。但整体 来说，CTA从24年中以来的上涨略不及预期，主要因为主要经济体在去年开启降息后，后续降息进程并不 十分顺利。 展望未来，长周期（年度）视角，大宗商品市场的趋势性上涨动能正在积聚，波动率的整体提升也是大概 率事件。这一判断基于以下三重驱动因素： 1）成本支撑与低估值：从现实基本面看，商品价格普遍处于历史估值低位，成本支撑坚实，下方空间有 限。 2）政策引导与 ...

Core Viewpoint - The article presents a metaphorical exploration of various investment strategies in the private equity space, likening them to legendary weapons, each with unique strengths and weaknesses, suitable for different market conditions and investor preferences [2][6]. Group 1: Investment Strategies - The first strategy, "Qinglong Yanyue Dao" (Subjective Long), relies heavily on the fund manager's ability to select stocks and time the market, performing well in bullish markets with clear themes [9][10][15]. - The second strategy, "Xuedizi" (Quantitative Long), utilizes complex algorithms to identify stocks based on specific metrics, excelling in active markets with high trading volumes [18][20][23]. - The third strategy, "Zhuge Lian" (Macro Hedging), involves top-down asset allocation across stocks, bonds, and commodities, generally effective in diverse market conditions but can fail during extreme events [26][30][31]. - The fourth strategy, "Fang Tian Hua Ji" (CTA Strategy), focuses on futures markets, capturing trends regardless of price direction, suitable for markets with significant price movements [33][35][39]. - The fifth strategy, "Taiji Shuang Jian" (Market Neutral), aims to generate absolute returns by hedging market risks, effective in bear and volatile markets but may underperform in bull markets [41][45][48]. - The sixth strategy, "Ruan Wei Jia" (Fixed Income +), combines high-quality bonds with a small allocation to riskier assets, providing stability but vulnerable to rising interest rates [50][53][56]. - The seventh strategy, "Xiu Hua Zhen" (Arbitrage), exploits price discrepancies across markets, generating small but cumulative profits, effective in volatile conditions but reliant on market efficiency [58][61][63]. Group 2: Strategy Suitability - Each strategy is designed for specific market conditions, with subjective long strategies thriving in bullish environments, while quantitative strategies excel in active trading scenarios [15][23]. - Macro hedging strategies are versatile but can falter during extreme market events, while CTA strategies benefit from significant price trends [31][39]. - Market neutral strategies provide a buffer against market downturns, whereas fixed income plus strategies are contingent on interest rate movements [48][56]. - Arbitrage strategies are most effective in volatile markets but depend on the quick correction of price discrepancies [63]. Group 3: Conclusion - The article concludes by encouraging investors to choose strategies that align with their risk preferences, highlighting the importance of understanding each strategy's unique attributes and market applicability [67][69].

Group 1 - The U.S. stock market has entered a phase of consolidation since mid-August, showing signs of a peak correction, particularly in the technology and AI sectors, which had previously driven market gains [1] - As of September 3, the S&P 500 index remains near historical highs with a year-to-date increase of 9.88%, while the Nasdaq index, heavily weighted in tech stocks, has risen over 11.5% this year [1] - Analysts warn that despite strong earnings from tech stocks and higher-than-expected capital expenditures from tech giants, multiple indicators suggest a lack of supportive cash flow for the market in September, alongside risks of "stagflation" in the U.S. economy [1][2] Group 2 - Goldman Sachs indicates that if the market enters a downward trend in the coming week, CTA models could sell $22.25 billion in global equities, including $4.84 billion in U.S. stocks; if the market declines significantly over the next month, forced sales could reach $217.92 billion globally, with $73.69 billion in U.S. stocks [2] - The correlation between CTA positions and market momentum is significant, as CTA funds follow systematic trading strategies that tend to amplify market trends [2] - Historical data shows that September typically sees increased market volatility and weaker stock performance, which may trigger concentrated liquidation by CTA strategies [2] Group 3 - The Federal Reserve's stance on future interest rate cuts remains a key risk for the U.S. stock market, despite the market pricing in a potential rate cut in September [2][3] - The Fed's recent economic survey indicates price increases related to tariff policies, with many American households experiencing wage growth that fails to keep pace with rising prices, leading to stagnant or declining consumer spending [2] - Analysts highlight that the U.S. is facing a "stagflation" scenario, with weakening economic indicators across various sectors, and inflationary pressures that may complicate the Fed's decision to resume rate cuts [3]

Core Viewpoint - The private equity fund industry has seen significant growth over the past decade, with its management scale increasing from 1.73 trillion to over 3 times that amount, indicating a strong demand and interest in this investment category [2]. Group 1: Growth of Private Equity - Ten years ago, there were only 21 private equity firms with over 10 billion in assets, while today that number has increased to 81 [4]. - Despite the high entry barriers for ordinary investors, private equity continues to attract attention and favor due to its flexibility [6]. Group 2: Flexibility of Private Equity - Private equity funds are highly flexible, catering to diverse and personalized investment needs, contrasting with public funds which are more standardized [8]. - The flexibility of private equity is attributed to several key "superpowers" [13]. Group 3: Key Advantages of Private Equity - **Flexible Positioning**: Unlike public funds, which have strict position limits (minimum 80% in stocks), private equity funds can adjust their positions freely, allowing for better performance in volatile or bear markets [15]. - **Broader Investment Scope**: Private equity funds can invest in a wider range of assets, including commodities and foreign exchange, beyond just stocks and bonds [19]. - **Use of Financial Derivatives**: Private equity funds can utilize various financial derivatives, which are often restricted for public funds, allowing for more complex strategies such as hedging and short selling [23]. - **Leverage Investment**: Private equity funds commonly use leverage, enhancing capital efficiency by borrowing to invest, which is less common in public funds [32].

Core Viewpoint - The article emphasizes the importance of focusing on the health of investment portfolios rather than specific investment strategies during market fluctuations, especially in a bullish market [6][14]. Market Environment Analysis - From 2019 to 2021, a liquidity-driven bull market led to significant gains for subjective long-only fund managers who concentrated on blue-chip stocks, outperforming other strategies [7]. - In 2022, external factors such as the Russia-Ukraine conflict and U.S. Federal Reserve interest rate hikes caused a market downturn, impacting subjective long strategies while benefiting CTA strategies that capitalized on commodity trends [7]. - In 2023, the market saw a recovery in small-cap valuations, with quantitative strategies performing well due to increased liquidity for small and micro enterprises [8]. - By 2024, macro strategies began to excel due to structural market changes and external economic conditions, while quantitative strategies faced challenges [8]. - In 2025, a resurgence of quantitative strategies occurred as liquidity policies favored small-cap stocks, despite macro strategies facing headwinds from geopolitical tensions [8]. Investment Strategy Recommendations - The article advocates for a diversified investment approach, suggesting that investors should not overly concentrate on a single strategy but rather build a multi-faceted portfolio to mitigate risks and balance returns [14][23]. - Diversification can be achieved through asset classes, strategies, and sub-strategies, allowing investors to capture varied sources of returns [15][19]. - The article highlights the importance of understanding the core return sources of different asset classes: equities benefit from corporate earnings growth, commodities from supply-demand imbalances, and bonds from fixed interest and declining rates [18]. Strategy Implementation - Investors are encouraged to combine low-volatility and high-volatility strategies to enhance stability and potential returns, achieving a balanced risk-reward profile [23]. - The integration of subjective and quantitative strategies can complement each other, leveraging fundamental research for long-term value and systematic approaches for short-term market inefficiencies [23]. - Cross-market strategies can reduce systemic risks and capture differentiated growth opportunities across various economic cycles [23].

Core Insights - The Chinese futures market is experiencing simultaneous "scale expansion and quality improvement" driven by the implementation of the Futures and Derivatives Law and accelerated internationalization, with a total trading volume increasing by 17.82% year-on-year to 339.73 trillion yuan, and a trading value growth of 20.68% [1] - Ruida Futures reported a total revenue of 1.047 billion yuan, a year-on-year increase of 4.49%, and a net profit attributable to shareholders of 228 million yuan, surging 66.49%, significantly outperforming the industry average growth rate of 32% [1] Business Structure and Performance - Ruida Futures operates a three-dimensional business system, with futures brokerage as the foundation and risk management and asset management as dual wings, creating a balanced growth model [2] - The risk management segment is a strategic core, with its subsidiary Ruida Xinkong serving 173 enterprises and facilitating a nominal principal of 22.299 billion yuan in derivative transactions, earning multiple industry awards [2] - The asset management segment, focusing on CTA strategies, saw revenue soar by 223.83% to 121 million yuan, with assets under management growing by 36.5% [3] - The brokerage business achieved revenue of 24.4 million yuan, with a 11.22% increase in commission income, supported by a strategy of deepening institutional client relationships [3] Competitive Advantages - Ruida Futures has established a competitive edge through four core advantages: brand, technology, network, and risk control, positioning itself as a leader in the industry [4] - The company is recognized as the first futures listed company on the Shenzhen Stock Exchange and one of only two futures institutions with public fund management subsidiaries [4] - The company has invested in a data center meeting domestic and international standards, enhancing its digital transformation and information security capabilities [4] Regional Strategy and Client Engagement - The company has a strategic focus on "rooted in Fujian, radiating nationwide," with 43 branches forming a three-tier service system to cater to regional market needs [5] - Ruida Futures conducted over 30 investor education activities, reaching 13,000 participants, which has improved client engagement [5] Risk Management - The company has established a comprehensive risk control system, with a net capital to risk capital ratio of 205.97%, significantly exceeding regulatory standards [6] - A self-developed risk control system enables dynamic monitoring and stress testing, ensuring no major risk events occurred in the first half of the year [6] Globalization and Social Responsibility - Ruida International (Hong Kong) reported revenue of 17.348 million yuan, a 62.90% increase, and is expanding its global footprint with multiple licenses and QFII products [7] - The company is actively participating in social responsibility initiatives, including "insurance + futures" projects in rural areas, benefiting local farmers and contributing to rural revitalization [7] - Future plans include leveraging AI in trading and risk management, exploring risk management solutions in the green economy, and transitioning to a comprehensive financial service provider [7]

Group 1 - The overall commodity market is on a downward trend, with specific indices showing varied performance: precious metals index up by 2.94%, black index up by 1.76%, and energy index down by 2.11% [2][6] - The CTA strategies have shown slight increases, with the short-term strategy index up by 0.16% and the long-term strategy index up by 0.09% [2][34] - The report indicates that the CTA allocation window is gradually opening, driven by expectations of interest rate cuts by the Federal Reserve and a potential shift in domestic policies [2][39] Group 2 - The market environment for short-term strategies is neutral to favorable, with high intraday liquidity and a decrease in volatility [39][40] - The long-term strategy environment is also neutral to favorable, with a high trend smoothness but a rise in volatility [39][44] - The majority of style factors have shown positive returns, particularly in agricultural products and black metals [47][51] Group 3 - The average trading volume in the commodity futures market is at 1.84 trillion yuan, indicating a decrease, while the average open interest remains stable at 2.33 trillion yuan [12][10] - In the stock index futures market, the average trading volume is 0.46 trillion yuan, also showing a decrease, with the average open interest at 1.11 trillion yuan [19][17] - The bond futures market shows a slight increase in net value and volatility, with the average trading volume at 0.38 trillion yuan [28][23]

Group 1 - The hedge fund industry had a strong start in the first half of 2025, with portfolio managers successfully navigating market volatility to achieve stable returns [2] - The average return for hedge funds in the first half of 2025 was 5.1%, which is still lower than the nearly 9% return of a 60/40 investment portfolio [3] - Long-term annualized returns for hedge funds since 2020 reached 9.4%, outperforming the 6.5% return of a 60/40 portfolio [4] Group 2 - Quantitative strategies outperformed in the first half of the year, with significant inflows of capital, while stock long/short strategies benefited from market rebounds in recent months [5][6] - CTA and systematic macro strategies performed poorly, with the average return being negative, highlighting the challenges faced by trend-following strategies in a volatile market [7][8] Group 3 - There was a notable increase in interest from investors to increase their exposure to hedge funds, with a net inflow equivalent to 1.3% of assets under management in the first half of 2025 [9][24] - The demand for active long-term stock investment strategies has risen, while interest in passive long-term strategies has decreased significantly [18][19] Group 4 - The biotechnology sector faced significant challenges, with a drastic decline in investor demand and performance, marking it as the worst-performing sector in the first half of the year [14][15] - The healthcare and biotechnology industries are experiencing a period of turmoil, influenced by regulatory changes and market dynamics, leading to a substantial drop in investor interest [15][16] Group 5 - The TMT sub-industry performed well within stock long/short strategies, achieving an average return of 7.0% in the first half of 2025, driven by the ongoing AI boom [22][23] - Investors are increasingly cautious about geopolitical tensions and their impact on market stability, leading to a preference for traditional macro strategies that can hedge against market risks [12]

1. Report Industry Investment Rating There is no information provided regarding the report industry investment rating in the given content. 2. Core Views of the Report - **Market Review**: The commodity market declined overall. The agricultural products index fell by 1.05%, the precious metals index by 2.54%, the non - ferrous metals index by 3.37%, the industrial products index by 3.75%, the energy and chemical index by 4.15%, and the black index by 4.93%. The crude oil index rose by 2.92%, and the gold index fell by 0.85%. Most CTA strategies declined. The China Merchants Futures CTA short - and medium - term strategy index rose by 0.05%, with 44% of products in the pool rising; the medium - and long - term strategy index fell by 0.79%, with 30% of products rising; the quantitative arbitrage strategy index rose by 0.08%, with 54% of products rising; the time - series price - volume short - and medium - term strategy index fell by 0.34%, and the medium - and long - term strategy index fell by 1.50% [2]. - **Future Outlook**: The window for CTA allocation is gradually opening. Anti - involution will remain the main long - term logic in the commodity market. With the gradual stabilization and recovery of the domestic economy, the increasing expectation of interest rate cuts in the US, and the support of liquidity, the sentiment in the equity market can radiate to the commodity market to some extent. The long - term trend of the commodity market is emerging, and overall volatility is expected to gradually increase. In the short term, a balanced cycle is preferred, but long - term positions can be gradually increased [2]. - **Strategy Environment**: The short - and medium - term strategy environment is moderately favorable. Intraday liquidity continued to rise, approaching historical highs; intraday volatility declined, with a historical quantile of around 0.4; trend smoothness declined from a high level, with a historical quantile of 0.9. The medium - and long - term strategy environment is moderately favorable. The daily trend smoothness continued to increase, with the smoothness of varieties around 0.8 and the proportion of smoothly trending varieties around 0.9; daily volatility continued to recover from the bottom, with the volatility of varieties around 0.3 and the proportion of high - volatility varieties around 0.7 [2]. - **Style Factors**: Most mainstream factors retreated, with only the cross - sectional term structure factor showing positive returns. The contribution of returns was concentrated at the sector and variety levels. New energy metals all had negative return contributions and accounted for a large proportion, while black raw materials and energy - chemical building materials had relatively large return contributions. The volatility of factors changed differently, with the volatility of short - term momentum continuing to decline and that of medium - and long - term momentum continuing to rise [2]. 3. Summary by Directory 3.1 Market Review - **Commodity Market**: The commodity market declined overall, with the commodity index falling by 2.46%. Most commodity futures sector indexes declined, and volatility generally increased. The average daily trading volume of commodity futures was 2.51 trillion yuan (a marginal decrease of 0.32 trillion yuan), the average daily open interest was 2.33 trillion yuan (a marginal decrease of 0.10 trillion yuan), and the average trading - to - open - interest ratio was 1.08 (a marginal decrease of 0.09), at the 82.46% level in the past three years, remaining at a relatively high level [6][8][12]. - **Stock Index Futures Market**: Stock index futures indexes generally declined, and volatility generally increased. The average daily trading volume of stock index futures was 0.60 trillion yuan (a marginal increase of 0.06 trillion yuan), the average daily open interest was 1.13 trillion yuan (a marginal increase of 0.02 trillion yuan), and the average trading - to - open - interest ratio was 0.53 (a marginal increase of 0.05), at the 71.90% level in the past three years, remaining in the normal range [14][15][19]. - **Treasury Bond Futures Market**: Treasury bond futures indexes and volatility generally increased. The average daily trading volume of treasury bond futures was 0.44 trillion yuan (a marginal decrease of 0.04 trillion yuan), the average daily open interest was 0.88 trillion yuan (a marginal decrease of 0.03 trillion yuan), and the average trading - to - open - interest ratio was 0.50 (a marginal decrease of 0.03), at the 59.07% level in the past three years, remaining in the normal range [21][22][26]. - **Quantitative CTA**: The median returns of most quantitative CTA strategies were negative this week. Most CTA strategy indexes retreated, with only a few showing positive returns [27][33][36]. 3.2 Strategy Market Environment - **Macro Environment**: Monetary liquidity has recovered from the bottom [39]. - **Short - and Medium - Term Strategy Environment**: Intraday liquidity continued to rise, while volatility declined [41]. - **Medium - and Long - Term Strategy Environment**: Trend smoothness continued to increase, and volatility recovered from the bottom [44]. 3.3 CTA Style Factors - **Recent Returns**: Most mainstream factors retreated, with only the cross - sectional term structure factor showing positive returns [50]. - **This Week's Return Sources**: New energy metals all had negative return contributions and accounted for a large proportion, while black raw materials and energy - chemical building materials had relatively large return contributions. At the variety level, coking coal and lithium carbonate had large negative return contributions [51]. - **Factor Correlation and Volatility**: The correlation between factors varied, and the volatility of factors changed differently, with the volatility of short - term momentum continuing to decline and that of medium - and long - term momentum continuing to rise [67]. 3.4 CTA Risk Monitoring - **Risk Factor Exposure**: Quantified trends had a large exposure to the 5 - day time - series momentum factor; quantified multi - strategies had a large exposure to the 30% long - short variety roll - over factor; and quantified arbitrage had a relatively small overall exposure to risk factors [70]. - **Return Decomposition**: For the past three months, the total return of the quantified trend strategy was 3.33%, with a purified alpha return of 6.46% and a style factor beta return of - 3.13%; the total return of the quantified arbitrage strategy was 0.79%, with a purified alpha return of 1.40% and a style factor beta return of - 0.61%; and the total return of the quantified multi - strategy was 1.98%, with a purified alpha return of 3.30% and a style factor beta return of - 1.32% [71].

与高盛的谨慎不同，摩根大通交易员对美股的态度更为乐观。 据报道，摩根大通交易员预计随着CTA策略激活、股票回购加速等因素推动，标普500指数将先冲击6000点，并勾勒出具体路 线图。 截止5月5日收盘，标普500指数报5650点，距离摩根大通预计的6000点还有不到10%的上行空间。 与此同时，摩根大通还警告称，如果标普500指数冲击6000点，可能代表近期峰值，之后他们对中期前景持悲观态度。 摩根大通给出的理由是，虽然贸易战的言论不会加剧，但是关税谈判仍然进行中，但关税仍保持高位，贸易协议仍在谈判 中，其并勾勒出跌至5000点的具体路线图。 摩根大通：标普可能先冲击6000点 摩根大通交易员描绘了标普500指数达到6000点的可能路径： 当前牛市假设持续推进→随后出现空头挤压，罗素2000、零售商和高贝塔周期股表现优异→美元继续走强→导致 新兴市场和发达国际市场表现不佳，资金回流美国→推动科技、媒体和电信板块走高 摩根大通表示，如果上述事件发生，随着CTA策略激活和股票回购加速，以及散户投资者买入，标普500指数可能会超过 5800点，同时对冲基金被迫入场，推动标普500指数冲击6000点。 一些投资者一直 ...