Report Summary 1. Report Industry Investment Ratings - Index Enhancement Strategy: Recommended for allocation as the excess environment is expected to be relatively strong [3] - CTA Trend Strategy: Recommended for allocation as the market environment is expected to be moderately strong [3] - CTA Arbitrage Strategy: Recommended for allocation as the market environment is expected to be moderately strong [3] 2. Core Views - Index Enhancement Strategy: Three indicators under Alpha significance and two indicators under Alpha stability are strengthening, and the indicator resonance intensity is in an upward range; the excess environment is expected to be relatively strong [3] - CTA Trend Strategy: In July, the investment win - rate is about 74% with a profit - loss ratio of about 2.8, higher than the historical average; 2 macro - environment factors and 3 commodity market factors are favorable [3] - CTA Arbitrage Strategy: In July, the investment win - rate is about 75% with a profit - loss ratio of about 3.0, higher than the historical average; 3 macro - environment factors and 2 commodity market factors are favorable [3] 3. Summary by Related Catalogs Index Enhancement Strategy - Strategy Environment: Relatively strong [5] - Monitoring Framework: Under Alpha significance, trading volume is favorable; under Alpha stability, specific factors are not clearly marked as favorable or unfavorable [5] CTA Trend Strategy - Strategy Environment: Moderately strong, with a favorable factor ratio of 63% [5] - Monitoring Framework: Among macro - environment factors, export value (month - on - month growth rate) is favorable; among commodity market factors, market trend strength, market speculation degree, market rotation speed, and trading concentration are favorable [5] CTA Arbitrage Strategy - Strategy Environment: Moderately strong, with a favorable factor ratio of 63% [5] - Monitoring Framework: Among macro - environment factors, PPI year - on - year growth rate change rate, manufacturing PMI new order index, social financing scale stock year - on - year growth rate are favorable; among commodity market factors, market basis momentum, cross - variety spread change rate, and market spot - futures spread are favorable [5]

【本周商品市场整体下行，CTA趋势策略净值修复】本周商品指数下跌 1.01%，分板块来看，贵金属指 数上涨 0.07%，能化指数下跌 0.40%，农产品指数下跌 0.91%，工业品指数下跌 1.34%，有色金属指数 下跌 1.62%，黑色金属指数下跌 4.25%。分品种来看，原油指数上涨 2.95%，黄金指数上涨 1.47%。本 周趋势策略净值修复，CTA 中短周期策略指数上涨 0.25%，产品池中上涨产品占比 68%，CTA 中长周 期策略指数上涨 0.32%，产品池中上涨产品占比 72%。CTA 量化套利策略指数上涨 0.05%，产品池中上 涨产品占比 38%。后续商品市场分化料将持续，各板块走势可能改变，有色强势或继续保持，黑色趋 势下行可能中止，原油企稳带动能化板块有所企稳但全面向上还需进一步信号，农产品内部继续分化， CTA 策略全面增配可能还需等待，且内部分化可能增大。中短周期策略环境中性偏差，日内流动性回 升，历史分位数在 0.7 左右；日内波动性回落，历史分位数 0.1 左右；趋势流畅性回落，接近历史最低 值。中长周期策略环境中性偏差，市场的趋势流畅性小幅回升，品种趋势流畅性在 0.4 左右， ...