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].

量化多头策略是利用数学模型和计算机算法，基于大量历史数据筛选出预期收益高的股票进行做多的一种投资策略。 本文首发于公众号"私募排排网"。 （点击↑↑ 上图查看详情 ） 私募产品业绩在某一阶段内表现突出，并非难事，但要想在多个区间内都领先，则非常考验基金经理的投研水平和策略的持续迭代能力。因为资 本市场的变化非常快，以A股为例，无论是市场风格还是领涨赛道，都是阶段性的轮动。 2023年以来，全球资本市场面临的环境是非常复杂的，股市、债市、商品期货等均有较大的波动。A股自2023年以来走出了熊转牛行情。在这样 的市场背景下，能做到自2023年以来每年收益都排名居前，就显得难能可贵。 为了给读者提供一些参考，笔者根据私募排排网数据，分策略（主观多头、量化多头、CTA、多资产）梳理出了在 "2023年、2024年、2025年 1-11月"收益排名都居上游 的私募产品。 （公司规模在5亿元以上； 同一基金经理管理多只相同策略产品的，仅选2023年以来累计收益最高的产 品参与排名 ） 0 1 量化多头： 16 只产品排名持续居上游，明汯、茂源、翰荣均有份！ 截至2025年11月底，5亿以上规模私募中，在私募排排网有今年1 ...

Group 1 - The "Fenghuo Cup" private equity selection event organized by Changcheng Securities has attracted over 600 private equity institutions and more than 1,600 products since its launch in October 2025, covering seven core strategies including stock, index enhancement, neutral, arbitrage, CTA, bond, and combination strategies [1] - The event aims to provide ample time for participating institutions to showcase their investment capabilities, with registration open until June 2026 [1] - The initiative is part of Changcheng Securities' effort to create a supportive ecosystem for quality private equity growth, offering diverse resources and platforms for trading execution, investment support, and financing solutions [1] Group 2 - In the macroeconomic context, the current economic cycle is perceived to be in a relatively early stage, with policies aimed at supply-side reform generating positive expectations, although actual progress remains to be verified [2] - The consensus among fund managers is that there are still reasonably valued targets in the market, such as the food and beverage index's price-to-earnings ratio and the Hang Seng Index's price-to-book ratio, both at historical lows [2] - Investment opportunities in the technology sector are highlighted, particularly in AI, with a focus on hardware that has reasonable valuations and is part of new major industry chains [2] Group 3 - Looking ahead to 2026, it is anticipated that more aggressive monetary and fiscal policies will be implemented, with potential further declines in risk-free interest rates and an increase in the value of credit bond allocations [3] - The stock market outlook favors relatively undervalued sectors such as banking, food and beverage, and consumer electronics, alongside technology leaders in AI chips, semiconductor equipment, and computing power [3] - The difficulty of stock selection and timing is expected to increase, making industry ETFs a more cost-effective option for investment [3]

以下文章来源于风云君的研究笔记 ，作者专注于私募研究的 之前跟很多投资人聊天，一聊到CTA，不少人都比较偏负向，无非这么几点原因： 1、策略看不懂。本身期货交易机制灵活，可多可空、可T+0，可上杠杆，信号多、交易方式复 杂，难理解。 2、配置价值不大。市场普遍认为CTA策略就是危机Alpha，只有在危机时股债表现不行的时候， 商品赚钱，CTA策略才表现好，而现在不是危机的时候，自然也没什么配置价值。 风云君的研究笔记 . 深耕私募行业多年，专注私募基金各个策略以及资产配置，希望能分享给大家更深入、更专业的私募那 些事。 最近遇到一个很有意思的事。 俱乐部一位新朋友看了我们的分享后，私信咨询："为什么这个产品底层明明交易的都是期货，名 字却叫'××宏观策略×号'，它不应该属于是CTA策略吗？" 风云君就趁此机会又去梳理一下市面上主流的CTA策略，尤其是今年表现比较好的。 然后我发现 ，现在的CTA或许早不是大家认识的那个"CTA"策略了。 3、产品分化大。好的产品能几个月翻倍，不好的也能短时间腰斩，担心选错干脆也不碰了。 但实际上这些问题更多还是一些传统CTA策略可能存在的。 啥叫传统CTA？ 主要还是商品为主 ...

Core Insights - The overall performance of CTA strategies has been strong this year, with precious metals providing significant profit opportunities, while stock indices, black commodities, and agricultural products have also shown favorable upward trends at different times [2] Group 1: Performance Analysis - The average return for short-cycle CTA managers this year is 12.99%, with the highest standard leveraged product achieving a year-to-date return of 42.25%. In contrast, long-cycle CTA managers have an average return of 28.15%, with the highest standard leveraged product reaching 67.96% [6][9] - Long-cycle CTA strategies have shown a clear advantage since the second quarter of this year, attributed to the favorable market conditions for longer-term models [6][9] Group 2: Market Trends - The core reason for the superior performance of long-cycle CTAs this year is that the commodity trend structure is more suited to the characteristics of long-cycle models. This includes stronger trend persistence and a more favorable volatility structure [10][11] - Macro factors, such as the global interest rate cycle being in a downward trend and changes in energy supply and demand, have made this year's commodity market more aligned with mid-term trends rather than short-term fluctuations [11] Group 3: Strategic Value of CTA - Despite the better performance of long-cycle CTAs this year, short-cycle CTAs still hold value. The strategic value of CTAs lies in their ability to provide high annualized returns and low correlation with equity assets, as well as offering defense and hedging during significant market downturns [13]

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].