编者按 丙午马年，资本市场是否会迎来奔腾之势？面对利率下行、存款"搬家"的宏观背景，以及A股震荡、商 品波动的复杂局面，投资者如何布局？"策马点金"栏目邀请友山基金首席投资官金焰、上海旭诺资产管 理有限公司投资经理户涛、上海大墉资产管理有限公司创始人兼基金经理鲍瑞海，从宏观配置、衍生工 具、实物资产等不同维度，为投资者奉上马年财富管理的专业参考。 周期股与商品期货的"双重表达" 在利率持续走低的背景下，居民存款向资本市场转移已成为确定性趋势。 金焰介绍，2025年非银机构存款余额显著增加6.4万亿元，银行理财产品规模突破33万亿元，较2024年 年末增加3.3万亿元，其中97%以上为固收类产品。"在利率下行的背景下，单纯的固收类资产难以满足 投资者的收益需求，增配权益类资产来提升整体回报已成为必然选择。预计'固收+'策略将凭借稳健与 增强收益的特性，成为广大投资者资产配置的主流选择。"他说。 他进一步表示，"固收"部分以中短久期、高等级信用债为主，获取稳健票息收益，并充当"安全 垫"；"+"部分则通过可转债、ETF、精选个股以及CTA策略等工具实现收益增强。配置比例需严格依据 资金风险收益目标动态校准，控制在 ...

Core Insights - The recent performance of CTA strategies, particularly those based on commodity futures, has experienced significant volatility, with some funds reporting net value declines of nearly 50% [1][2][8] - The fluctuations are attributed to rapid price reversals in commodities like gold and silver, which have been at high levels, leading to substantial net value changes for trend-following CTA strategies [1][4][11] Performance Analysis - On February 2, the "Giant Bear Golden Dragon No. 1" private equity fund, a subjective CTA strategy product, reported a net value decline of 47.98% [2][9] - As of February 4, this fund had a year-to-date return in negative territory, with a maximum drawdown of 54.73% [4][11] - Other funds, such as "ZTE Steady No. 1" and "Shark Deep Sea Quantitative Fund," also reported significant declines of 33% and 19.78% respectively on the same day [4][11] Market Context - The volatility in CTA strategies is primarily driven by the rapid correction in precious metals after a strong upward trend, influenced by market concerns over potential changes in interest rate policies [4][11] - The market's reaction to news regarding potential appointments at the Federal Reserve has altered interest rate expectations, contributing to increased volatility in commodity prices [4][11] Long-term Value Proposition - Despite recent performance challenges, industry experts believe that CTA strategies still hold significant asset allocation value due to their low correlation with traditional stock and bond assets [6][12] - Factors such as the anticipated easing of global liquidity and domestic policy changes are expected to enhance the overall activity in the commodity market, supporting the long-term viability of CTA strategies [6][12] Investor Guidance - Investors are advised to view CTA strategies as a means to enhance portfolio stability rather than seeking high returns, suggesting a cautious approach to allocation [7][13] - It is recommended that investors maintain a long-term perspective and not react impulsively to short-term performance fluctuations, as the true value of CTA strategies is realized over complete market cycles [7][14]

以下文章来源于画不多说 ，作者懂私募的灵魂画手 画不多说 . 话不多说，画多说。用最通俗易懂的方式，讲述私募的故事。 去年CTA策略的整体表现很不错，平均收益有19%。 但细心的朋友肯定发现了，同样是CTA，有的策略赚得盆满钵满，有的却不赚钱。 其实不光是去年，几乎每一年，不同的CTA策略表现都像是盲盒，业绩好坏相差甚远。这是为 啥？ 想解决这个问题，咱得先搞清CTA策略的分类。 CTA是一个大家族，分类方式多样。 第一，看谁来投。 要么是人，要么是机器。 主观CTA持仓集中，有望实现高收益，但波动也相对较大。 量化CTA相反，会在多个品种、多个周期上进行分散配置，走势更平滑。 牛市 、 熊市 由于有明显趋势， 趋势策略 都容易赚钱。 震荡市就不适用了，因为判断不出趋势，价格来回打脸。 第二，要投多久。 中短周期，主要看的是量价等高频数据，对市场短期波动敏感，交易频繁。 长周期策略则更侧重于结合宏观与基本面分析，基于周线、月线等长期指标决策。捕捉的都是大 趋势，能"过滤"一些市场短期杂音。 第三，以什么方式投。 最主流的就两种，趋势和截面。 趋势策略 ：涨了就做多，跌了就做空，相信趋势会延续。 截面策略 ：在 ...

第三方机构最新数据显示，国内私募CTA策略在2025年交出了亮眼的成绩单。根据私募排排网监测， 2025年度有业绩记录的1305只CTA策略产品平均收益率为17.09%，其中85.06%的产品实现正收益，两 项数据较2024年的12.31%、78.71%，均有显著提升。得益于市场的结构性趋势性行情及宏观高波动环 境，CTA策略在2025年迎来了业绩与关注度的双重提升。业内人士表示，部分品种价格已处于历史高 位，商品作为资产配置"稳定器"的价值，在复杂宏观背景下愈发凸显。另外，随着行业的持续进化与分 化，更系统的专业能力成为长期致胜关键。 ● 本报记者王辉 趋势与波动成就业绩"大年" 2025年，商品市场为CTA策略运作提供了丰厚的土壤。全年来看，以黄金、白银、铜为代表的贵金属及 有色金属板块走出了波澜壮阔的趋势性行情，成为推动CTA策略整体收益率上行的核心引擎，也显著提 升了该策略在投资端的吸引力。 拓展能力边界应对非线性挑战 业绩的背后，是CTA策略为适应日益复杂的市场环境所进行的持续迭代与进化。2025年的市场不仅给予 了机会，也对CTA策略的实盘运作带来了严峻挑战。业内人士称，这主要集中在"反内卷"政策 ...

Multi-Strategy Performance - A-share equity strategies and commodity CTA strategies are currently dominant, with A-share equity strategies showing continued opportunities for allocation[7] - The index enhancement strategy has seen a rebound, with the median excess return for public funds turning positive[10] - Private CTA strategies remain strong, benefiting from trends in precious metals like gold and silver, as well as increased volatility in non-ferrous metals[29] Bank Wealth Management Performance - Overall, bank wealth management products have positive returns, with significant gains in commodity and equity products, but overall scale has not expanded[32] - Cash management products increased by 0.02%, while fixed income products rose by 0.06%, and mixed products saw a 0.24% increase, indicating strong performance relative to historical data[33] - The scale of cash management products decreased by 0.09%, and fixed income products saw a reduction of 0.04%, reflecting a general trend of declining scale across most categories[39] Risk Considerations - Extreme risk events, such as US-China relations and unexpected global geopolitical events, could disrupt historical statistical patterns[4] - The risk of quantitative indicators failing, as historical data may not effectively guide future performance, is a concern[4]

Group 1 - The core viewpoint of the article highlights the significant rise in commodity prices, particularly gold and silver, since 2025, driven by macroeconomic expectations and changes in supply-demand dynamics for industrial metals like copper and aluminum [1][2]. - The article discusses the resurgence of private CTA (Commodity Trading Advisor) strategies, with many private funds capitalizing on opportunities in gold and silver, leading to a notable increase in the net value curves of CTA strategy products [2][3]. Group 2 - CTA strategies are defined as investment approaches that utilize futures, options, and other derivatives rather than direct investments in stocks or bonds, aiming for absolute returns regardless of market conditions [4]. - The main types of CTA strategies include subjective and quantitative approaches, with subjective strategies relying on the fund manager's experience and fundamental analysis, while quantitative strategies leverage computer models to identify price trends and arbitrage opportunities [5]. - CTA strategies can be categorized into trend-following and statistical arbitrage, with trend-following strategies capturing single-direction market movements and statistical arbitrage exploiting price discrepancies between different contracts or markets [6][10]. Group 3 - The profitability logic of CTA strategies includes capturing opportunities in both rising and falling markets, providing potential positive returns even during stock market downturns [11]. - CTA strategies exhibit low correlation with traditional assets like stocks and bonds, particularly during extreme market events, thus offering diversification benefits [12]. - The flexibility of trading and risk management in CTA strategies allows for rapid responses to market changes through leverage, stop-loss orders, and diversified positions [13]. Group 4 - Despite their advantages, CTA strategies are not without risks, including potential losses in choppy markets where trends are unclear, leading to false signals and drawdowns [14]. - The inherent leverage in futures trading can amplify losses if risk management is inadequate, particularly during extreme market events [15]. - The risk of strategy homogeneity arises when many CTAs employ similar trend models, potentially leading to collective market movements that can adversely affect performance [16]. Group 5 - The article emphasizes the importance of understanding the sources of returns from CTA strategies, which thrive on identifiable trends or arbitrage opportunities, and the need to consider strategy types and risk management before investing [19]. - CTA strategies are particularly suitable for high-net-worth individuals or institutions seeking diversified asset allocation, investors sensitive to market volatility, and those with a certain risk tolerance [20]. - Looking ahead to 2026, the article suggests that CTA strategies remain valuable due to ongoing global supply chain changes and the expansion of domestic financial derivatives, although caution is advised regarding potential market volatility post-bull market [21].

Core Viewpoint - The article discusses the increasing prominence of CTA (Commodity Trading Advisor) strategies in the context of global supply chain restructuring, geopolitical conflicts, and energy transitions, highlighting their ability to generate absolute returns in volatile markets [6][11]. Group 1: CTA Strategy Overview - CTA strategies do not rely on overall market uptrends and can seek profit opportunities through long or short positions in futures and options, making them attractive during periods of high market uncertainty [6][11]. - In 2025, commodities are expected to experience significant price movements, particularly in precious metals and agricultural products, providing trend-following opportunities for CTA strategies [6][11]. Group 2: Performance Metrics - As of December 31, 2025, the average annual returns for subjective and quantitative CTA products were 34.55% and 20.21%, respectively, with subjective CTA ranking third overall [6][11]. - The top-performing CTAs for the second half of 2025 included companies like Holding Win Private Fund, Jingying Zhito, and Huacheng Private Fund, with the average return for the top 10 CTAs being notably high [8][12]. Group 3: Performance Rankings - In the second half of 2025, the top 10 private funds had an average return of ***%, with a significant number of funds managing under 5 billion [8][12]. - For the entire year of 2025, Jingying Zhito achieved the highest average return among CTAs, followed by Huacheng Private Fund and Jiaxin Rongcheng [12][13]. Group 4: Long-term Performance - Over the past three years, Xurian Investment led the rankings, with a notable average return, while Huacheng Private Fund consistently ranked among the top three [20][21]. - In the last five years, Huacheng Private Fund has been a top performer, achieving high average returns and demonstrating a strong operational strategy [28][29].

Core Viewpoint - Since 2025, commodities like gold and silver have surged to historical highs, with industrial metals such as copper and aluminum also showing strong trends due to macroeconomic expectations and supply-demand changes. The CTA (Commodity Trading Advisor) strategy has gained popularity among private equity firms, capitalizing on these opportunities to achieve significant net value increases in their products [2]. Group 1: CTA Strategy Overview - CTA, or Commodity Trading Advisor, originated in the U.S. during the 1970s and 1980s, initially focusing on commodity futures but later expanding to various derivatives including stock index futures, treasury futures, and forex futures. Its core feature is investing in derivatives rather than directly in stocks or bonds, aiming for absolute returns regardless of market conditions [3]. - CTA strategies can be categorized into subjective and quantitative types. Subjective CTAs rely on the fund manager's experience and fundamental analysis, while quantitative CTAs utilize computer models to quickly capture price trends and arbitrage opportunities [3]. Group 2: Types of CTA Strategies - Trend-following strategies are the most common, relying on price momentum to capture trends. They open positions in the direction of a clear price trend and hold until the trend ends or a stop-loss is triggered. Common tools include moving averages and momentum indicators [4]. - Arbitrage and statistical strategies do not depend on single-direction trends but instead exploit price mismatches or statistical deviations. This includes inter-month arbitrage, inter-commodity arbitrage, inter-market arbitrage, and statistical arbitrage based on historical price relationships [7][8]. - Many managers combine both types of strategies to create a "trend + arbitrage" mixed configuration, balancing returns and volatility across different market conditions [10]. Group 3: Profit Logic and Advantages of CTA Strategies - The dual-direction mechanism of the futures market allows CTAs to profit from both rising and falling prices, making them capable of generating positive returns even during stock market downturns [11]. - Empirical data shows that CTA strategies have low correlation with stocks and bonds, particularly during extreme market events, providing diversification benefits and reducing overall portfolio volatility [11]. - Futures trading inherently involves leverage, and CTAs can quickly respond to market changes through stop-loss orders, position control, and diversification [11]. Group 4: Risks and Limitations of CTA Strategies - Trend-following CTAs may face challenges in unclear or frequently fluctuating markets, leading to false signals and potential drawdowns [12]. - The inherent leverage in futures trading can amplify losses if position management and risk control are inadequate, especially during extreme market events [12]. - Strategy homogeneity risk arises when many CTAs use similar trend models, potentially leading to collective liquidation at trend reversals, exacerbating short-term market volatility [12]. - Some niche products or distant contracts may have limited liquidity, affecting execution efficiency for large capital movements [12]. Group 5: Investor Suitability for CTA Strategies - CTA strategies are suitable for high-net-worth individuals or institutions seeking diversified asset allocation, investors sensitive to market volatility, and those with a certain risk tolerance who can accept periodic drawdowns [14]. - They are not recommended for short-term speculative investors or for holding a disproportionately high share in a portfolio [14]. Group 6: Future Outlook for CTA Strategies - The macro environment suggests that high volatility in commodities may become a medium to long-term norm due to global supply chain restructuring, green energy investments, and geopolitical conflicts. The expansion of domestic financial derivatives offers broader opportunities for CTAs [15]. - However, investors should be cautious of potential volatility in the "post-bull market" phase, as commodities like gold and silver may have already priced in optimistic expectations [15]. - CTA should be viewed as a long-term asset allocation tool rather than a short-term profit vehicle, with a focus on understanding its profit logic and risk boundaries for appropriate allocation [15].

Core Viewpoint - The article emphasizes the importance of multi-asset and multi-strategy investment approaches for achieving stable returns in the private equity sector, especially in the context of market fluctuations and varying performance across different strategies [10][12]. Market Performance - In 2025, the A-share market showed a notable performance with index increases of approximately 30% for both the 500 and 1000 indices, alongside high trading volumes, benefiting both subjective long positions and quantitative strategies [3]. - The commodity market also exhibited strengths, particularly in precious metals and non-ferrous metals, while energy and chemical sectors remained weak. The trend in lithium carbonate, driven by "anti-involution," provided trading opportunities for CTA strategies [3]. Strategy Performance - Despite the overall positive market conditions, not all strategies performed consistently well throughout the year. For instance, quantitative stock strategies faced challenges after August due to concentrated investments in AI technology stocks, leading to a situation where indices rose but individual stocks did not [6]. - Subjective long strategies experienced significant volatility, with extreme reversals in early and April causing many products to miss subsequent rebounds. The frequent rotation of structural market conditions resulted in notable performance differentiation among products [6]. - CTA strategies also displayed considerable performance variance, with many products enduring prolonged periods of low performance during the first half of the year [6]. Investment Outlook for 2026 - The article suggests that for 2026, investors should focus on multi-asset and multi-strategy approaches, which have gained popularity due to their ability to provide diversified income sources and risk mitigation [10][12]. - The demand for such products is evidenced by the rapid sell-out of strategies from leading institutions, such as Bridgewater's all-weather strategy and Man Group's macro strategy, indicating strong market interest [14][12]. Types of Multi-Asset Strategies - Three main types of multi-asset multi-strategy investment approaches are highlighted: 1. **Macro Strategies**: These strategies consider various macroeconomic factors to flexibly allocate across stocks, commodities, and bonds, aiming for stable absolute returns [15]. 2. **CTA Strategies**: These involve using multiple CTA strategies to trade indices, government bonds, and commodity futures, allowing for diversified asset allocation and profit from futures trading [15]. 3. **Multi-Strategy Combinations**: These strategies leverage low correlations between different strategies to achieve diversified returns and smooth overall volatility, exemplified by products like Blackwing's "quantitative + CTA + convertible bonds" combination [17][18]. Conclusion - The article concludes that despite favorable market conditions, volatility is inevitable, which can impact the holding experience and lead to missed long-term compounding returns. Therefore, a focus on multi-asset and multi-strategy private equity is recommended for better investment experiences and more predictable returns [20][21].

Core Viewpoint - The article emphasizes the challenges of consistently outperforming in the private equity market, particularly in the context of the rapidly changing capital market environment since 2023, highlighting the importance of fund managers' research capabilities and strategy adaptation [2]. Summary by Strategy Quantitative Long-Only - A total of 16 quantitative long-only products have consistently ranked in the top tier from January to November 2023, 2024, and 2025, with notable contributions from firms like Minghong, Maoyuan, and Hanrong [2]. - As of November 2025, there are 640, 462, and 325 quantitative long-only products reported for the years 2023, 2024, and 2025 respectively, with only 16 products making it to the top 30% in all three years [3]. - The top five cumulative return products since 2023 are from firms including Huijing Asset, Shanghai Zijie Private Equity, and Abama Investment [3]. Subjective Long-Only - There are 14 subjective long-only products that have maintained top-tier rankings across the same periods, with notable firms like Kaishi Private Equity and Yidian Najin included [7]. - The number of subjective long-only products reported as of November 2025 is 1,089, 979, and 838 for the years 2023, 2024, and 2025 respectively, with only 14 products achieving top 30% rankings in all three years [7]. - The top five cumulative return products since 2023 are from Beiheng Fund, Ding Tai Sifang (Shenzhen), and Guangdong Guangjin [8]. CTA (Commodity Trading Advisor) - A total of 12 CTA products have consistently ranked in the top tier from January to November 2023, 2024, and 2025, with leading products from Guanjing Fund and other firms [13]. - The number of CTA products reported as of November 2025 is 256, 226, and 187 for the years 2023, 2024, and 2025 respectively, with only 12 products making it to the top 40% in all three years [13]. - The top five cumulative return products since 2023 are from Guanjing Fund, Gongqingcheng Guangju Xinghe Private Equity, and Caoben Investment [14]. Multi-Asset - There are 22 multi-asset products that have consistently ranked in the top tier from January to November 2023, 2024, and 2025, with significant contributions from firms like Luyuan and Junfu [18]. - The number of multi-asset products reported as of November 2025 is 414, 337, and 265 for the years 2023, 2024, and 2025 respectively, with only 22 products achieving top 40% rankings in all three years [18]. - The top five cumulative return products since 2023 are from Luyuan Private Equity, Henan Zhi Ying Private Equity, and Junfu Investment [18].