二 〇 二 五 年 度 2025 年 10 月 10 日 股指基差系列： 风偏下行的双向波动可能持续 | 虞堪 | 投资咨询从业资格号：Z0002804 | yukan@gtht.com | | --- | --- | --- | | 李宏磊 | 投资咨询从业资格号：Z0018445 | lihonglei@gtht.com | 报告导读： 国 泰 君 安 期 货 研 究 所 请务必阅读正文之后的免责条款部分 1 期货研究 ◼ "九三"共识兑现过后各板块出现结构性过热后的价值回归，A 股成交温和缩量，单日成交逐 步下滑至 2.2 万亿左右，热点题材的虹吸效应增强，板块轮动加速，宽基指数先下跌后缓慢 修复，多数指数月线涨幅收窄，双创指数月线表现依然强势，涨幅在 10%以上，中小盘受伤较 重，中证 2000 月线转跌。 ◼ 月初调整过后，各品种日度级别的基差变化与指数变动的关联较弱，多数交易日呈现双向波 动，同时日内 1min 级别的基差变化在品种间分歧依然较大，这或许说明当前期货场内风险偏 好并未改善，仍然是相对无序的状态。截至 9 月末，各品种年化基差率回升至近三年以来 20% 分位数附近。 ◼ 产品端来看， ...

期货研究报告 | 金融工程研究 核心观点 CTA各策略小幅盈利，逐步增配 ——招商期货CTA市场跟踪周报 （ 2025年09月22日-2025年09月26日） ·研究员-赵嘉瑜 ·联系电话：13686866941 ·研究员-乔垒 ·联系电话：15805605265 ·zhaojiayu@cmschina.com.cn ·执业资格号: Z0016776 ·qiaolei1@cmschina.com.cn ·执业资格号: Z0021548 2025年10月09日 | | | 本周商品指数上涨0 43% . ， | 商品市场整体上行 | 。 | 分板块来看： | | 贵金属指数上涨4 | 48% 有色金属指数上涨 . ， | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | 商品市场整体上行 | 0 73% 能化指数下跌0 06% . ， . ， | | 工业品指数下跌0 | 10% . ， | 农产品指数下跌1 | . | 23% 黑色指数下跌1 ， . | 95%； 分品 | | | | 种来看： 原油指数上涨0 89% . ...

今年以来，期货公司资管业务持续发力，转型发展效果显现，业务规模显著提升。中国证券投资基金业 协会日前发布的数据显示，截至2025年7月底，期货公司及其资管子公司私募资管产品规模合计3839.7 亿元，占证券期货经营机构私募资管产品总规模的3.08%。这一数据较2024年年底的3143.18亿元增长 696.52亿元。 另外，从存续的证券期货经营机构私募资管产品类型来看，截至2025年7月底，期货和衍生品类产品数 量为1730只，占比为4.58%；产品规模合计1301.92亿元，规模占比1.04%。与2024年年底相比，今年前7 个月期货和衍生品类产品数量增加364只，规模增长293.88亿元，分别增长约26%和29%。 根据中国证券投资基金业协会的统计，截至今年7月，期货公司及其资管子公司平均管理私募资管产品 规模为40.42亿元，管理规模中位数为3.31亿元。2024年年底，期货公司及其资管子公司平均管理私募资 管产品规模为28.57亿元，管理规模中位数为2.49亿元。对比来看，期货公司及其资管子公司管理的私募 资管产品平均规模显著提升。 另外，值得注意的是，自今年1月17日《期货经营机构资产管理业务备案管 ...

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]

Core Viewpoint - The article discusses the recent volatility in the commodity market, highlighting the impact of market sentiment and policy changes on investment strategies, particularly in the context of CTA (Commodity Trading Advisor) strategies [5][23]. Market Environment - The commodity market experienced a reversal due to various factors, including liquidity conditions and economic recovery expectations, leading to a significant price drop in some commodities, with weekly declines reaching up to 20% [5][6]. - The market's recent downturn is seen as a correction of expectations returning to reality, despite underlying support from liquidity and economic factors [5][6]. Investment Strategies - Several CTA strategies are analyzed, showcasing their diverse approaches to capturing market opportunities while managing risks [8][20]. - Strategy A employs a multi-strategy approach with a focus on traditional trend-following and fundamental analysis, maintaining a diversified portfolio across approximately 40 commodities, stock indices, and treasury futures [8][10]. - Strategy B utilizes high-frequency trading with a focus on short-term opportunities, achieving an annualized return of 14.68% since its inception, although it faced challenges in the current low-volatility environment [14][15][17]. - Strategy C, a well-established player, has shown resilience with a 10.2% annualized return since 2017, maintaining a diversified portfolio across over 60 trading instruments [20][21]. Performance Metrics - Strategy A reported an annualized return of 15.73% since March 2023, with a maximum drawdown of 11.52% [12]. - Strategy B's performance was impacted by market conditions, resulting in a return of less than 1% year-to-date, with a recent drawdown of 3.62% due to market reversals [17][18]. - Strategy C achieved an 8.06% return in the current year, demonstrating strong performance amidst market fluctuations [21]. Conclusion - The article concludes that the recent commodity market reversal was primarily driven by emotional trading rather than policy changes, emphasizing the importance of market sentiment in shaping investment outcomes [23].