今年以来，CTA策略整体创下不错的收益，贵金属在全年提供了丰厚的盈利空间，股指、黑色系、农产品也在不同时期提供趋势性较好的上 涨行情。 不过，当我们把管理人按照长周期和短周期进行分类，我们仍能发现一定程度的业绩分化，结果显示： 平时持仓周期2-3周甚至更长的长周 期CTA产品收益明显领先，而1周以内的短周期策略今年表现相对较弱，为什么会出现这样的分化？今年的商品行情到底更适合哪类CTA？ | | 私募(二级)策略 | 有业绩展示的 | 产品规模合计(万元) | 近1月收益均值 | 近6月收益均值 | | --- | --- | --- | --- | --- | --- | | | | 产品数 | | | | | T | 主观多头 | 2200 | 18425167.09 | -1.33% | 31.01% | | 2 | 重化会并 | 892 | 6996479.77 | 0.94% | 31.87% | | 3 | 复合策略 | 410 | 2987378.50 | 1.12% | 20.02% | | ব | 量化CTA | 400 | 2064918.43 | 1.77% | 10.74% | | 5 ...

Group 1 - The report highlights the ongoing trend of de-dollarization globally, with a resilient domestic economy in China [21][28][29] - The U.S. fiscal deficit continues to rise, with projections indicating a deficit-to-GDP ratio around 5% for 2025-2030, driven by inflexible spending on social security and healthcare [6][9] - Foreign ownership of U.S. Treasury bonds has decreased from 35% in 2015 to approximately 25%, with significant reductions from China and Japan [13][18] Group 2 - The report discusses the increasing interest in quantitative private equity strategies, particularly in the context of the A-share market, where small-cap stocks have shown strong performance [53][45] - The report notes a significant rise in the number and scale of newly registered private equity products, with September 2025 seeing 1,048 new products and a total scale of 5.97 trillion yuan [62][61] - The performance of quantitative strategies has been impacted by market conditions, with small-cap strategies experiencing high excess returns earlier in the year, but facing challenges as large-cap tech stocks gained momentum [53][60] Group 3 - The report emphasizes the importance of macroeconomic factors and the potential for CTA (Commodity Trading Advisor) strategies to return to a favorable environment as market volatility increases [77][80] - It notes that the CTA strategies have shown significant performance differentiation, particularly in response to policy-driven market changes [80][89] - The report suggests that the long-term trend of de-dollarization and geopolitical tensions may create opportunities for gold and other commodities, reinforcing the necessity of holding gold as a hedge [21][28][86]

Core Viewpoint - The article highlights the resurgence of stock strategy products in 2023, marking a significant performance recovery after nearly five years of stagnation, while CTA (Commodity Trading Advisor) strategies, although still yielding decent returns, are losing visibility in the current bullish market [2][5]. Group 1: Performance of CTA Products - CTA strategies are recognized for their ability to navigate through market volatility, showcasing superior long-term returns compared to stock strategies, with a nearly 90% return over the past five years as per the 排排网 CTA优选指数 [2][5]. - As of the end of October, among private equity firms with over 5 billion in assets, 79 CTA products reported an average return of 10.54% this year, with a five-year average return of 89.62% [5][6]. Group 2: Top Performing CTA Products - The top three CTA products in the 50 billion and above category are managed by 均成资产, 宁水资本, and 宏锡基金, with their respective five-year returns being ***% [6][7]. - In the 20-50 billion category, the leading product is 草本投资's "草本致远1号B类份额," achieving a five-year return of ***% and a strong performance this year [8][9]. - For the 10-20 billion category, 共青城广聚星合私募's "广聚星合禾荃1号" leads with a five-year return of ***% [12][13]. - In the 5-10 billion category, 华澄私募's "华澄二号" tops the list with a five-year return of ***% [15][16]. - Among firms with less than 5 billion, 固利资产's "量磁群英1号" stands out with a five-year return of ***% [18][19]. Group 3: Fund Managers and Strategies - The fund manager for 均成资产, 司维, has a strong background in data analysis and investment management, contributing to the product's diversified strategy [7]. - 邓飞 from 宁水资本 specializes in macro investment and bond trading, focusing on government bond futures [7]. - 刘智勇 from 草本投资 has extensive experience in the oilseed market, enhancing the product's performance through industry knowledge [10][11]. - 李婷 from 共青城广聚星合 has a decade of experience in futures and commodity strategies, leading to the product's strong performance [13][14]. - 颜学阶 from 华澄私募 has been dedicated to quantitative investment for over a decade, refining multi-strategy approaches [17].

Core Insights - The article discusses the performance of various private equity strategies, particularly focusing on CTA (Commodity Trading Advisor) strategies, which have shown resilience in the current market environment compared to traditional equity strategies [2][3]. Performance Overview - As of October 2025, the A-share market indices exhibited mixed performance, with subjective long-only private equity products showing an average return of -1.33% over the past month, while quantitative long products achieved an average return of 0.94% [2]. - In contrast, subjective CTA and quantitative CTA products reported average returns of 2.84% and 1.77% respectively over the same period, highlighting their strong performance within the private equity secondary strategies [2]. Private Equity Strategy Breakdown - The article provides a detailed breakdown of various private equity strategies, including: - Subjective Long: 2200 products, total scale of approximately 184.25 billion CNY, with a 1-month return of -1.33% and a 6-month return of 31.01% [3]. - Quantitative Long: 400 products, total scale of approximately 20.65 billion CNY, with a 1-month return of 1.77% and a 6-month return of 10.74% [3]. - Subjective CTA: 185 products, total scale of approximately 1.08 billion CNY, with a 1-month return of 2.84% and a 6-month return of 14.92% [3]. - Other strategies such as macro strategies, FOF, and arbitrage strategies also showed varying performance metrics [3]. Top Performing Private Equity Firms - The article identifies top-performing private equity firms based on their CTA product performance: - For firms with assets over 2 billion CNY, 洛书投资 (Luoshu Investment) ranked first with a 6-month return of ***% [4][5]. - In the 5-20 billion CNY category, 华澄私募 (Huacheng Private Equity) led with a 6-month return of ***% [6][7]. - For firms with assets under 5 billion CNY, 系综（上海）私募 (Xizong Shanghai Private Equity) topped the list with a 6-month return of ***% [8][9]. Investment Strategy Insights - The article emphasizes the importance of understanding the differences in strategy logic and risk control among various private equity managers, which can lead to significant performance disparities [4][5]. - It highlights that while CTA strategies theoretically offer superior performance, actual results can vary widely based on the management approach and execution [4].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - After the "Jiusan" consensus was fulfilled, the market entered a moderately shrinking rotation phase, with broad - based index gains narrowing. The basis showed significant two - way fluctuations, weakly correlated with daily index movements, and the divergence at the 1 - minute level increased, indicating weak and disordered risk sentiment in the futures market. The changes in neutral and CTA strategy products also reflected this. In the short term, the two - way basis fluctuations may continue, and in the long run, if the policy of reducing volatility is implemented, the central level of stock index futures discounts may narrow [5][15]. 3. Summary According to the Directory 3.1 Recent Basis Review - Market Conditions: After the "Jiusan" consensus was fulfilled, the market entered a moderately shrinking rotation phase. The ChiNext and STAR Market indices led the gains in September, while the gains of other indices narrowed, and the small - cap index declined. Domestic policies were relatively quiet, with a focus on "anti - involution" and potential future volatility - reduction policies. Overseas, the Fed cut interest rates by 25bp, and the A - share market reacted calmly to the Sino - US Madrid talks. Daily trading volume gradually decreased to around 2.2 trillion yuan [6]. - Basis Changes: At the beginning of September, the basis of each variety weakened with the index decline. Subsequently, it fluctuated up and down during the index recovery. By the end of the month, the basis of IF, IC, and IM strengthened. Overall, the basis of IH and IF decreased compared to the end of August, while that of IC and IM increased. As of September 30, the annualized basis rates of the four varieties' quarterly contracts had recovered to around the 20th percentile in the past three years. The daily - level basis changes were weakly correlated with index changes, and there was significant divergence at the 1 - minute level, indicating weak risk appetite [9]. - Product - end Performance: Index - related product scale was stable with a slight decline, and the number of newly issued public - offering index - enhanced products reached a new monthly high. The net value curve of neutral strategies flattened in the past two months, with a median annual return of around 5.5%, and both long and short positions decreased in September. The CTA strategy's leverage ratio for stock indices remained stable, but the net long position fluctuated significantly, reflecting disordered market sentiment [14]. 3.2 Performance Review of Long - Position Rollover - The annualized excess returns of the long - position rollover strategy for IF, IH, IC, and IM in the past 250 trading days were - 2.7%, 0.2%, 1.2%, and - 3.0% respectively. The benchmark portfolio was set as a weighted combination based on the previous trading day's contract positions, without considering transaction costs, and the trading price was the TWAP price in the first half - hour of trading [5][22]. 3.3 Performance Review of Short - Position Rollover - The annualized excess returns of the short - position rollover strategy for IF, IH, IC, and IM in the past 250 trading days were - 0.5%, - 0.3%, 2.2%, and 0.6% respectively [5][25].

Report Title - CTA Strategies Show Small Profits, Gradually Increase Allocation - Weekly Tracking Report on CTA Market by China Merchants Futures (September 22 - September 26, 2025) [1] Report Industry Investment Rating - Not provided in the report Core Views - The commodity index rose 0.43% this week, indicating an overall upward trend in the commodity market. Precious metals and non - ferrous metals indices increased, while energy and chemical, industrial products, agricultural products, and black metal indices declined. Crude oil and gold indices also rose [2][6]. - All types of CTA strategies showed small profits this week. The short - and medium - term strategy index, long - term strategy index, and quantitative arbitrage strategy index of China Merchants Futures CTA all increased to varying degrees [2]. - In the real - world scenario, the profits of most commodities are at relatively low levels. In the expected scenario, prices have basically bottomed out. Policy support and demand recovery will boost inflation. Globally, the economy is entering a synchronous expansion cycle. Therefore, the long - term trend of the commodity market is taking shape, and volatility is expected to rise, enhancing the profit expectations of CTA strategies [2]. - The intraday liquidity of the short - and medium - term strategy environment continues to recover, and volatility remains high. The long - term strategy environment shows continuous improvement in trend smoothness and a slight recovery in volatility at the bottom [2]. - Most mainstream style factors declined this week, with dispersed factor return contributions at both the sector and variety levels. Precious metals contributed positive returns, while energy and chemicals mostly contributed negative returns [2]. Summary by Directory 1. Market Review - **Commodity Futures Index**: The commodity index rose 0.43% this week. Precious metals index rose 4.48%, non - ferrous metals index rose 0.73%, energy and chemical index fell 0.06%, industrial products index fell 0.10%, agricultural products index fell 1.23%, and black metal index fell 1.95%. Crude oil index rose 0.89%, and gold index rose 3.07% [6]. - **Commodity Futures Market Plate**: The net value of most commodity sector indices declined, and volatility mostly increased. The 20 - day volatility of the commodity index was 8.74% (a marginal increase of 1.30% week - on - week) [8]. - **Commodity Futures Market Transaction and Position**: As of September 26, 2025, the average daily trading volume of commodity futures was 1.97 trillion yuan (a marginal increase of 0.11 trillion yuan week - on - week), the average open interest was 2.39 trillion yuan (no marginal change), and the average trading - to - position ratio was 0.83 (a marginal increase of 0.05), at the 37.54% level of the past three years, within the normal range [12]. - **Stock Index Futures Market Plate**: Most stock index futures indices rose, and half of the volatility increased. IC index rose 1.37%, IF index rose 1.36%, IH index rose 1.06%, and IM index fell 0.02%. The 20 - day volatility of IC index was 28.75% (a marginal increase of 1.25% week - on - week) [16]. - **Stock Index Futures Market Transaction and Position**: As of September 26, 2025, the average daily trading volume of stock index futures was 0.82 trillion yuan (a marginal decrease of 0.16 trillion yuan week - on - week), the average open interest was 1.33 trillion yuan (a marginal decrease of 0.04 trillion yuan), and the average trading - to - position ratio was 0.61 (a marginal decrease of 0.10), at the 82.09% level of the past three years, in a relatively high range [20]. - **Treasury Bond Futures Market Plate**: The net value of treasury bond futures indices generally declined, and most volatility decreased. TS index fell 0.02%, TF index fell 0.13%, T index fell 0.14%, and TL index fell 0.53%. The 20 - day volatility of TF index was 1.56% (a marginal increase of 0.05% week - on - week) [23]. - **Treasury Bond Futures Market Transaction and Position**: As of September 26, 2025, the average daily trading volume of treasury bond futures was 0.43 trillion yuan (a marginal decrease of 0.04 trillion yuan week - on - week), the average open interest was 0.77 trillion yuan (a marginal increase of 0.01 trillion yuan), and the average trading - to - position ratio was 0.56 (a marginal decrease of 0.06), at the 67.70% level of the past three years, within the normal range [27]. - **Quantitative CTA Tracking by Track Dimension**: More than 50% of the quantitative CTA strategy returns were positive this week [28]. - **CTA Strategy Index Performance**: All types of CTA strategies showed small profits. For example, the short - and medium - term strategy index of China Merchants Futures CTA rose 0.06%, and the long - term strategy index rose 0.36% [2][37]. 2. Strategy Market Environment - **Short - and Medium - Term Strategy Market Environment**: Intraday liquidity continues to recover, and volatility remains high. The historical quantile of intraday liquidity is around 0.7, and the historical quantile of intraday volatility is around 0.9 [2]. - **Long - Term Strategy Market Environment**: The trend smoothness continues to improve, and volatility recovers from the bottom. The variety trend smoothness is around 0.8, and the proportion of varieties with smooth trends is around 0.7. The variety volatility is around 0.1, and the proportion of high - volatility varieties is around 0.2 [2]. 3. CTA Style Factors - **Style Factor Recent Returns**: Most mainstream factors declined. For example, the 5 - day time - series momentum factor fell 0.59%, and the 20 - day time - series momentum factor rose 0.14% [53]. - **Style Factor This Week's Return Source**: Precious metals all contributed positive returns, while energy and chemicals mostly contributed negative returns. At the variety level, the return contributions were also dispersed [2][54]. 4. CTA Risk Monitoring - **Risk Factor Exposure**: CTA time - series price and volume strategies have a large exposure to the 20 - day time - series momentum factor; CTA cross - sectional long - short strategies also have a large exposure to the 20 - day time - series momentum factor; CTA mixed time - series and cross - sectional strategies have a small exposure to style factors [73]. - **Strategy Return Decomposition**: As of September 26, 2025, the total return of CTA time - series price and volume strategies since this year was 7.26%, including a purified Alpha return of 7.17% and a style factor Beta return of 0.09%. The total return of CTA cross - sectional long - short strategies was 1.43%, including a purified Alpha return of - 1.71% and a style factor Beta return of 3.14%. The total return of CTA mixed time - series and cross - sectional strategies was 5.54%, including a purified Alpha return of 3.18% and a style factor Beta return of 2.36% [74].

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 2.857 billion yuan at the end of 2024 to 4.042 billion yuan by July 2025 [1] Group 1: Regulatory Changes and Market 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 [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 [2] Group 2: Company Strategies and Product Development - 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, to better engage clients in precious metal investments while controlling volatility [3] - CITIC Futures has emphasized the unique characteristics of futures asset management, creating innovative "fixed income +" products that enhance asset allocation options for investors and fill market gaps [4]

Core Viewpoint - Guoyuan Futures has evolved from a nascent entity into a prominent player in China's futures industry over the past fifteen years, focusing on serving the real economy and enhancing comprehensive services through professionalism and innovation [1] Group 1: Business Development - Guoyuan Futures has expanded its business landscape and upgraded service capabilities, establishing a "multi-dimensional collaborative" business structure that provides comprehensive derivative services for the real economy and financial markets [2] - The core engine of the company, the futures brokerage business, has transitioned from "traditional service" to "comprehensive service," marking a strategic leap from "scale-driven" to "value-led" [2][3] Group 2: Asset Management - Since obtaining asset management qualifications in 2014, Guoyuan Futures has adhered to an absolute return investment philosophy, creating a virtuous cycle of "distinctive investment, growth in scale, and team expansion" [4] - The asset management business has developed a diverse product system, including options trading strategies, CTA strategies, FOF strategies, and fixed income strategies, aiming to become an "all-weather service provider for wealth management" [4] Group 3: Risk Management - Guoyuan Futures' risk management subsidiary has focused on supporting the real economy by providing services such as basis trading, warehouse receipt services, and over-the-counter derivatives since its establishment in 2015 [5][6] - The company has actively engaged in projects that align with national rural revitalization strategies, expanding its "insurance + futures" model across 15 provinces and completing over 300 projects [6] Group 4: Core Support Capabilities - The company has established five core support capabilities: information technology, compliance and risk control, human resources, operational services, and research consulting, which are essential for high-quality business development [7][9] - Information technology has been upgraded to lead the digital transformation of the financial industry, significantly enhancing business response speed and service innovation [8] - The human resources strategy has evolved to focus on team building, resulting in a professional team of over 340 members, optimizing talent structure across various fields [8] Group 5: Future Outlook - Guoyuan Futures has received multiple accolades, including the "2021-2023 Capital Civilization Unit" award, reflecting its commitment to serving the real economy [10] - The company aims to continue its mission with a focus on risk control, market orientation, and customer-centricity, contributing to the construction of a strong financial nation [10]

Summary of the Chinese Quantitative Investment White Paper Industry Overview - The document discusses the **Chinese quantitative investment industry**, highlighting its evolution and challenges faced in 2024, including regulatory changes, market volatility, and technological advancements [13][42]. Key Points and Arguments Market Evolution - The industry experienced significant challenges in 2024, characterized by extreme market conditions and regulatory pressures, leading to a crisis of faith among practitioners [42]. - Major pressures identified include extreme market conditions, regulatory challenges, fundraising difficulties, scale pressures, style shifts, and declining factor effectiveness [42][51]. Regulatory Environment - Regulatory changes are seen as the most critical factor affecting the industry in 2024, with the term "regulation" appearing over 50 times in the data, covering various sub-items such as new private equity regulations and restrictions on algorithmic trading [13]. - The regulatory environment is expected to improve, with a notable increase in positive sentiment towards regulations, rising from 41.31% to 44.50% [13]. Industry Landscape - The quantitative private equity sector is undergoing a contraction in scale, with strong players evolving, new entrants breaking through, and weaker firms exiting the market [14]. - The overall sentiment for the future is cautiously optimistic, with a score of 3.27, reflecting a mix of "technological optimism" and "strategy anxiety" [14]. Alpha Decay - Approximately 70% of quantitative firms believe that excess returns in the A-share market are declining, attributed to increased market efficiency, intensified competition, and regulatory tightening [14]. - The primary reasons for alpha decay include strategy homogenization and supply-demand imbalances, accounting for 42.11% of responses [14]. Methodological Innovations - The industry emphasizes continuous iteration of strategies but faces criticism for strategy homogenization [14]. - A shift towards macro and fundamental analysis is noted, with 25.84% of firms increasing the use of macro data and 31.10% conducting global macro policy research [15]. Strategy and Frequency Shifts - The focus of the quantitative industry is shifting towards mid-to-low frequency strategies, with a notable increase in the use of macro factors and fundamental data [15]. - The integration of different frequency strategies is being explored to enhance trading efficiency [15]. Timing Strategies - Timing strategies are evolving, with 49 firms ranking it among the top three strategic priorities for 2025 [16]. - The most common approach is position control, with only 17.27% of firms indicating they do not engage in timing strategies [16]. Multi-Asset Participation - There is a gradual increase in participation across various asset classes, including stocks, futures, options, and bonds, with notable growth in bond strategies [17]. Global Expansion Plans - About 60% of quantitative firms have plans to expand internationally, but most are still in the exploratory phase [18]. - The primary barriers to international expansion include differences in market rules and data structures, as well as strategy localization challenges [19]. AI Integration - AI is recognized as a crucial area for development, with a significant emphasis on its role in expanding the boundaries of quantitative investment [20]. - The importance of AI in the industry has reached unprecedented levels, with a score of 5.03 in priority rankings for 2025 [20]. Technical Stack - The current technical stack for quantitative firms is dominated by Python, with a 97.12% adoption rate, and self-developed tools play a significant role in key processes [22]. - The industry is also seeing a standardization of infrastructure, with tools like VSCode and MySQL being widely used [23]. Risk Management - The focus on extreme risk management has intensified, with firms adjusting strategies and risk parameters in response to market volatility [27]. - A significant number of firms have tightened their style exposures and are reassessing their risk management frameworks [55]. Other Important Insights - The document highlights the need for firms to adapt to a complex environment characterized by regulatory changes and market dynamics [42]. - The challenges faced in 2024 are expected to lead to a reevaluation of strategies and risk management practices within the industry [55]. This summary encapsulates the critical insights and data from the Chinese Quantitative Investment White Paper, providing a comprehensive overview of the industry's current state and future outlook.

Core Viewpoint - The report from Dongwu Securities highlights that Ruida Futures achieved a net profit of 230 million yuan in the first half of the year, representing a year-on-year increase of 66.5%, with a significant rise in Q2 net profit to 150 million yuan, up 128% year-on-year, showing a marked improvement from Q1's 12% growth [1] Financial Performance - The main business segments of Ruida Futures showed positive profitability, with asset management and risk management businesses performing particularly well [1] - The futures brokerage business experienced active market trading, maintaining a stable business foundation [1] Client Metrics - As of the end of the period, the client margin scale reached 14.325 billion yuan, an increase of 15.6% from the beginning of the year, with institutional clients accounting for 70.4% of this total [1] Asset Management - The company has been focusing on CTA strategy products and actively developing "fixed income +" and other mixed products, achieving excellent investment performance [1] - By the end of June, the asset management equity scale was 3.201 billion yuan, reflecting a growth of 36.5% since the beginning of the year [1] Fund Management - As of mid-2025, Ruida Fund manages three fund products with a total scale of 89.19 million yuan, which is a decrease of 8.2% from the beginning of the year [1] Market Outlook - The company is expected to see continued rapid development in its overseas business against the backdrop of ongoing domestic financial market opening and accelerated internationalization of the futures market [1] - The report maintains a "buy" rating for the company [1]