2024年中國(guó)CTA和衍生品策略年報(bào)

2024-01-222024-01-22重要提示：本報(bào)告非期貨交易咨詢(xún)業(yè)務(wù)項(xiàng)下服務(wù)，其中的觀點(diǎn)和信息僅作參考之用，不構(gòu)成對(duì)任何人投資建議。我司不會(huì)因?yàn)殛P(guān)注、收到或閱讀本報(bào)告內(nèi)容而視相關(guān)人員為客戶(hù)；市場(chǎng)有風(fēng)險(xiǎn)，投資需謹(jǐn)慎。Thisreportisnotaserviceunderthefuturestradingconsultingbusiness,andtheopinionsandinformationprovidedareforreferenceonlyanddonotconstituteinvestmentadvicetoanyone.Ourcompanywillnotconsiderrelevantpersonnelascustomersduetotheirattention,receipt,orreadingofthecontentofthisreport;Therearerisksinthemarket,andinvestmentneedstobecautious.ChinaCTAandderivativestrategiesannualreport證監(jiān)許可【2012】669號(hào)展望2024年，我們對(duì)CTA和指增中性策略都持中性偏多觀點(diǎn)。權(quán)益Beta端看好四底共振熊鷹帶來(lái)的經(jīng)濟(jì)及市場(chǎng)信心復(fù)蘇，Alpha端看低對(duì)沖成本及市場(chǎng)回暖帶來(lái)的機(jī)會(huì)。商品端看好從業(yè)資格號(hào)F3075662CTA的配置價(jià)值，及品種分化帶來(lái)的套利機(jī)會(huì)。投資咨詢(xún)號(hào)Z0018946XiongYingQualificationNo:F3075662ConsultingNo:Z0018946In2024,weholdaneutraltobullishattitudeonChinaCTAandequityindexneutralstrategies.Ontheequitybetaside,wearecautiouslyoptimisticabouttheeconomicandEmail:Xiongying@marketconfidencerecoverybroughtbytheresonanceoffourbottoms.Onthealphaside,桂晨曦CFAPhDweseeopportunitiesarisingfromlowhedgingcostsandawarmingmarket.Onthecommoditiesfront,wefavortheallocationvalueofCTAandthearbitrageopportunities投資咨詢(xún)號(hào)：Z0013632GuiChenxiCFAPhDbroughtbythedifferentiationofcommodities.QualificationNo.：F3023159ConsultingNo.：Z0013632Email:Guichenxi@ 1 5 5 5 6 9 6 6 6 6 8 8 8 8 RelativeStrengthofLarge-Capvs. Thereturnofdifferen Thevolatilityofcommodit Thevolatilityofcommodityind Thetradingvalueamountandop Thecorrelationofcommodityinthe 20 20 21 22 23 24 24 24 24 24Privateequityindexenhancement 24 24Privateequityindexenhan 24 25Mutualfundmarket-neutralsamples 25 25Privateequitymarke 25 26 28 28 28 28 29 29 29 29 TheproportionofCITIC Changesintheprop 2023年，在我國(guó)經(jīng)濟(jì)復(fù)蘇經(jīng)歷多次預(yù)期調(diào)整、海外主要經(jīng)濟(jì)體增長(zhǎng)逐漸放緩等內(nèi)外部因素影響下，中國(guó)權(quán)益市場(chǎng)先揚(yáng)后抑。年初，國(guó)內(nèi)疫情管控放開(kāi)，經(jīng)濟(jì)預(yù)期快速修復(fù)，提振A股共振上行。后續(xù)國(guó)內(nèi)經(jīng)濟(jì)恢復(fù)低于預(yù)期，美歐銀行業(yè)風(fēng)險(xiǎn)爆發(fā)，股票先起后落，風(fēng)格分化增大。7月，中央政治局會(huì)議定調(diào)積極經(jīng)濟(jì)政策，加大宏觀調(diào)控力度;投資者信心提升，但可觀測(cè)效果暫時(shí)有限，A股短期反彈后再度回落。10月，國(guó)內(nèi)政策組合逐步落地，北上資金流出緩和，A股迎來(lái)修復(fù)，價(jià)值優(yōu)于成長(zhǎng)。12月，外部沖擊、監(jiān)管趨嚴(yán)等環(huán)境變化，導(dǎo)致不確定性增加，指數(shù)表現(xiàn)回落。In2023,affectedbyexpectationadjustmentsofChina’seconomicrecovery,andtheslowdownofmajoroverseaseconomies,Chinaequitymarketstartedstrongbutthenweakened.Atthebeginningoftheyear,asdomesticpandemiccontrolrestrictionswereeased,theeconomyrecoveryexpectationliftedthebroadequityindex.Afterwards,withtheoutbreakofbankcrisisinUSandEurope,andChinaeconomicrecoveryfellshortofexpectations,equityindexfellanddifferentiationinmarketstylesbecamemoreobvious.InJuly,ChinaCentralPoliticalBureaumeetingsetatoneforproactiveeconomicpolicies,whichboostedinvestorconfidence.However,duetolimitedobservableeffect,theequitymarketonlyriseforashortperiod.SinceOctober,withthegradualimplementationofpolicies,northboundcapitaloutflowtrendhaseased.Equityindexreboundagain,withvaluestyleoutperformedthegrowthstyle.InDecember,externalshocksandtighteningregulationsleadtoheighteneduncertaintyaboutthefuture,equityindexfellagain.Small-CapStyleValue-StyleGrowth-StyleBalancedStyleMid-CapStyleLarge-CapStyle1.101.051.000.950.900.850.80或仍維持一段時(shí)間的相對(duì)強(qiáng)勢(shì)，傳統(tǒng)基本面投資可能加速向“基本面+量化”轉(zhuǎn)移。factorsandweakfinancintheshorttomediumterm.Ttowardsa“fundamentals+quant”athecurrentratioandequitymultiplierfactorsperfo表現(xiàn)突出，到年末呈現(xiàn)最佳負(fù)向能力。低波動(dòng)和低換手Quantitativefactors:In2023exceededthatoffinancialfactors.Themomentumsuchasmid-cap,beta,andsizeshowedaflLiquidityandvolatilityfactolowturnoverachievedexcellentexcessreturns,amongwhichthfactoroutperformedtheresdifferentiationoftimeseriesandcross-sectionalfactors.Thesamefshownfluctuatingperformanceovertime,whiledifferentfactorssubstantialchallengesformedium-tolong-termfactorstrategieBasicEarningsPerShareYoYGrowthRate(EPS%)BookValuePerShareYoYGrowthRate(BPS%) TotalAssetReturnRateReturnonEquity TotalAssetTurnoverNetProfitMarginonSales CurrentRatioInventoryTurnoverRate CashFlowfromOperatingActivitiesPerShareYoYGrowthRateEquityMultiplier210-1-2023/01/032023/02/032023/03/032023/04/032023/05/032023/06/032023/07/032023/08/032023/09/032023/10/0320232betaliquiditymomentumsizemidcapvolatility20-2-4-6-8-10-12-142023-01-032023-02-212023-04-042023-05-222023-07-052023-08-162023-09-27OntheAlphaside,inourself-developedExcessReturnEnviportfoliocharacteristics,andtradingfrequthesourcesofexcessreturns.These2)StockReturnDisper3)IndustryRotat6)FactorStability:In2023,theoverallmarketenvironmentgenerallyfavorable.Manyindicatorswereinsecond,andfourthq RelativestrengthofLarge-capVs.small-capstocks(MA4RelativestrengthofLarge-capVs.small-capstocksindustryindustryrotationindicatorMA4industryrotationindicatorvalue-GrowthRelativestrengthRelativeStrengthofLarge- andthenon-ferrousmetalsindexexperiencedasignificantdeccommodity_indexagriculture_indexferrous_me1precious_metals_indexenergy&chemicals_index 收益較為平穩(wěn)，后者上升勢(shì)頭相對(duì)較好；而動(dòng)量和期In2023,attributingtstructure,positioning,anpatternofinitialsuppression,followedbyarifactorofmomentumfactoroftermstructurefactorofpositionfacMomentumfactor:Momentumfactorisconstructedfromtimeserieswereprimarilyduetovarietiessuchasrstarch,andPVC.Theaveragedailyport反轉(zhuǎn)和震蕩行情是時(shí)序動(dòng)量因子最不利環(huán)境。2022年以來(lái)因子收益的幾次較大下跌都發(fā)生在商品市場(chǎng)反轉(zhuǎn)和震蕩階段。行情反轉(zhuǎn)Reversalandrangeboundmarketaretheseriesmomentumfactorsstruggletoalosses.Intherangeboundmarkets,timeseriandexits,therebyincurring2.期限結(jié)構(gòu)因子:因子從時(shí)序構(gòu)造。因子值was0.003times.yield.Termstructurefactorlongcommodshortcommoditieswithcontangostructure,Therefore,thecontinuouspositivefacstructure;ifthefuturescurveshapeshift,thef3.持倉(cāng)因子：因子從截面構(gòu)造。做多因子前十合約，做空Shanghaizinc,andhot-rolledcoil,whiletheglycol.Thelongportfoltheshortportfoliohadanaverageda該因子邏輯認(rèn)為：高持倉(cāng)機(jī)構(gòu)存在一定信息這也是因子收益不高的主要原因。目前該因子價(jià)值更多viceversaforshortselling.Therefore,thefactorfollowstheirtradingbehavHowever,currentlylargeinstitutiosuggeststhatthepositiondisturbancesinmajorfutureswaVolatilityfactor:VolatiIn2023,theperformanceofthisfactorwasmediocreicommoditiessuchasglass,corn,soyaveragedailyrebalancingof0.120t該因子在期貨市場(chǎng)和股票市場(chǎng)上的做法相反。在期貨市場(chǎng)的構(gòu)成邏輯認(rèn)為：作為一個(gè)輔助因子與動(dòng)量因子共同使用。greaterriskcompensationinthefuture.Thespecifictimes.Therefore,incross-sectionalfactorfactorisusuallyusedinconjunctio 但四季度波動(dòng)率再度回落。單從波動(dòng)率這一點(diǎn)來(lái)看，2023年商品市場(chǎng)并不是long-termvolatilityreboundbetweenJunetoAugust2023,volatilitydroppedagaininthefourthquarter.Therefore,ThevolatilityofcommodityThevolatilityofcommoditrolling_windows_5rolling_windows_20 rolling_windows_600.0350.0300.0250.0200.0150.0100.0050.000rolling_windows_5rolling_windows_20 rolling_windows_6086420 Thetradingvalueamo2.852.351.851.350.85amount(trillion)amount_ma20(trillion)position(trillion)position_ma20(trillion)andferrousmetalsexhibitedahighdegreeofcorrelationamonmoderatefluctuations.Non-ferrousmetalswasrelativeThecorrelationofcommodityinth0.90.80.70.60.50.40.30.20.1commoditynon-ferrousagriculturesenergy&chemicalsferrousmetalspreciousmetals solelyontheirnames.Therefodiligenceprocessofprivatefunds.Althoughthisapproachlimiactiveandinactive,encompassingallcommoditytrading-focusedprowegeneratearelikelytooutperfor2022/1/22022/2/22022/3/22022/4/22022/5/22022/6/22022/7/22022/8/22022/9/22022/10/22022/11/22022/12/22023/1/22023/2/22023/3/22023/4/22023/5/22023/6/22023/7/22023/8/22023/9/22023/10/22023/11/22023/12/2profitmarginsforthesestrategieshav2022/1/22022/2/22022/3/22022/4/22022/5/22022/6/22022/7/22022/8/22022/9/22022/10/22022/11/22022/12/22023/1/22023/2/22023/3/22023/4/22023/5/22023/6/22023/7/22023/8/22023/9/22023/10/22023/11/22023/12/2fourdimensions:Quantitative&Discretionary&Co0.98CTA 1.Quantitativevs.Discretionaryvs.Ar2022,bothDiscretionaryaenvironment,andinvestorscanchooseaccordingtotheirovaluetrend,althoughthereturnreversalandvolatilemarkets.3)Discretion1.201.151.101.051.000.95cta_quantitativecta_subjectivecommodity_arbitrage2022/1/22022/2/22022/3/22022/4/22022/5/22022/6/22022/7/22022/8/22022/9/22022/10/22022/11/22022/12/22023/1/22023/2/22023/3/22023/4/22023/5/22023/6/22023/7/22023/8/22023/9/22023/10/22023/11/22023/12/2 純量化產(chǎn)品以量?jī)r(jià)數(shù)據(jù)為主，邏輯更偏向數(shù)理模型；而在面對(duì)不利行情時(shí)表現(xiàn)較為疲軟，但在面對(duì)有利環(huán)境時(shí)能迅速回暖，彈性較大。Therefore,wefurtherdivideQuantitativeCTfavorableenvironments,showinggreaterelasticity.alignedwithfundamentalrelatfundamentalquantitativeCTAproductsarerelativelyf1.151.101.051.000.950.90fundamental_quantitative_CTAabsolute_quantitative_CTA2022/1/22022/2/22022/3/22022/4/22022/5/22022/6/22022/7/22022/8/22022/9/22022/10/22022/11/22022/12/22023/1/22023/2/22023/3/22023/4/22023/5/22023/6/22023/7/22023/8/22023/9/22023/10/22023/11/22023/12/2 波動(dòng)較大，回撤程度嚴(yán)重。3.Cross-sectionalvs.productsarepurelyquantitative，wTherefore,wefurthersubdividepurequantitativeproductsintolong-shortproductexhibithigherelastic,whichfluctuationsandmoreseveredrawdowquantitative_cross_CTAquantitative_timing_CTA2022/1/22022/2/22022/3/22022/4/22022/5/22022/6/22022/7/22022/8/22022/9/22022/10/22022/11/22022/12/22023/1/22023/2/22023/3/22023/4/22023/5/22023/6/22023/7/22023/8/22023/9/22023/10/22023/11/22023/12/2但策略彈性強(qiáng)勁，在面對(duì)適當(dāng)行情時(shí)，有提供超強(qiáng)年化收益的潛力。andcross-sectionallosubstantialannualizedreturnsunderfavorablem 0.95ShortTermQuantitativeTimingCTAfundsLongTermQuantitativeTimingCTAfunds2022/1/22022/2/22022/3/22022/4/22022/5/22022/6/22022/7/22022/8/22022/9/22022/10/22022/11/22022/12/22023/1/22023/2/22023/3/22023/4/22023/5/22023/6/22023/7/22023/8/22023/9/22023/10/22023/11/22023/12/2產(chǎn)品或更多體現(xiàn)出配置價(jià)值，而增厚價(jià)值需靜觀宏觀環(huán)境再做決策?？傮w而言，halfof2023weremainlythoseeiteratedtheirstrategylibraricloselyrelatedtotheiterahighlighted,andreturnenhancing 6222222622222222滬深300:-4.14%，中證500:-0.34%，中證1000:3.45%22222滬深300：6.29%，中證500:8.55%，中證1000:12.24%2222222數(shù)據(jù)來(lái)源：朝陽(yáng)永續(xù)中信期貨研究所Sources:SUNTIM Intermsofabsolutereturns,market-neutralstrategiesofperformance;large-scaleproductsPrivateequitymarket-neutralsMarketNeutralMarketNeutral數(shù)據(jù)來(lái)源：朝陽(yáng)永續(xù)中信期貨研究所Sources:SUNTIM市場(chǎng)中性策略需額外考慮對(duì)沖成本影響。2023年三大指數(shù)對(duì)沖成本均處于8月后，三大股指基差再度回歸升水狀態(tài)，中性對(duì)沖strategyhedgingcostsbeing -0.025-0.050-0.0752022-012022-042022-072022-102023-012023-042023-072023-102024-01Consideringtheinfluencesfrommaintainaneutraltosliandtheenvironmentforexcessreindicatorsareshowingstablep RegardingAlpha,weanticipatethatexcessretursuggestingthatboththesignificanceandstamaintrend,aidingthespeedofindustryrotationandtheimprovementstabilityindicatorsthesustainabilityofthemanagers’performancewillbeworthyoviewonmarket-neutralstvaluation.Withthegradualrestorationofmarketconfidence,thevolatiledemonstratetheircomparativeadvant2019Q12019Q22019Q32019Q42020Q12020Q22020Q32020Q42021Q12021Q22021Q32021Q42022Q12022Q22022Q32022Q42023Q12023Q22019Q12019Q22019Q32019Q42020Q12020Q22020Q32020Q42021Q12021Q22021Q32021Q42022Q12022Q22022Q32022Q42023Q12023Q22023Q32.3.1權(quán)益類(lèi)產(chǎn)品業(yè)績(jī)表現(xiàn)EquityProductsPerformaIn2023,theperformanceofpublscaleandnewissuesofequisizeofequity-orientedpublicfunds,intermsoftotalnetassetvalue,trillionyuan,adecreaseof3.17%comparedto6.62trillionyuaninQ4of212.47%comparedto8516inQ4of20whichisadecreasefromthepreviouyearamountedto201.48billionyuAUM(billionRMB)AUM(Number)60008000060007000050006000040005000030004000030003000020002000010001000000060050040030020010002019Q12019Q22019Q12019Q22019Q32019Q42020Q12020Q22020Q32020Q42021Q12021Q22021Q32021Q42022Q12022Q22022Q32022Q42023Q12023Q22023Q32023Q4800070006000500040003000200010000基金、3504只偏股混合型基金、2206只靈活配置型-6.52%、-10.71%、-12.94%、-9.1haveoutperformed.Therewere2193passivaveragemonthlyreturnsof-6.52%,-10.71%,-12.94%,and-9.11%,respectively.outperformedin2023.Theannualreturnofsmall-capstylewas0.05%vs.-10.46%.Theannualreturnofvaluestylevs.growths2.14%vs.-14.27%.Growth-StyleBalancedStyleMid-CapGrowth-StyleBalancedStyleMid-CapStyleLarge-CapStyleValue-Style1.101.051.000.950.900.850.80增加幅度較大，電力設(shè)備及新能源、國(guó)防軍工、食品飲料和汽車(chē)減少幅度較大。1.36%1.10%1.04%0.99%0.73%0.70%0.33%0.31%0.15%0.15%0.15%0.03%0.02%concentratedintheindustriesofepharmaceuticals,foodand1.36%1.10%1.04%0.99%0.73%0.70%0.33%0.31%0.15%0.15%0.15%0.03%0.02%aresteel,commercialtradeandretail,conglomerates,lightmanufacturiComparedtotheallocationratioin2022,theholdincreases;whileholdingsinelectricpowerequipmentandnewenergy,CurrentproportionLastyear'sproportionPowerEquipmentPharmaceuticals Food&BeveragesElectronicComponentsHomeAppliancesNationalDefenseComputersMediaAgriculture,Forestry,MachineryCommunicationsBanks NonferrousMetals PetrochemicalTransportation(Combined)Non-bankingFinanceBasicChemicalsRealEstateElectricity&UtilitiesBuildingMaterialsAutomobilesCoalCatering&TravelConstruction Textiles&GarmentsComprehensiveFinanceLightIndustryComprehensiveRetailTradeSteel403%…3.43%3.08%2.95%2.66%11.76%403%…3.43%3.08%2.95%2.66%9.08%829%5.5.62%..3.52%3.49%2.32%2.04%1.95%1.92%1.71%1.49%1.48%1.46%1.30%1.09%0.79%0.51%0.43%0.42%0.38%0.24%0.22%0.19%0%5%10%15%20%4.554.553.35%2.64%2.49%2.41%MediaCommunicationsHomeAppliancesAgriculture,Forestry,Animal…Transportation(Combined)PetrochemicalComputersNon-bankingFinanceMachineryElectronicComponentsComprehensiveFinanceConstruction ComprehensiveTextiles&Garments LightIndustryNonferrousMetalsRetailTradeElectricity&UtilitiesSteelBanksBuildingMaterialsBasicChemicalsCoalCatering&TravelRealEstateAutomobilesFood&Beverages-0.01%-0.02%-0.43%-0.90%-1.58%-1.72%-1.94%-2.20%-2.38%-3.45%NationalDefens-e4.36%-6%-4%-2%0%2%4%6%