FOF Weekly Report: CTA performance is expected

Key review: Last week, the equity market continued to exert strength, with excessive environmental shocks, indicating that the weekly growth performance was better than neutral; The commodity market rose as a whole, the nonferrous metal sector rose significantly, and the weekly performance of CTA trend strategy was relatively good.

    Equity market: Among the main indexes in the market last week, the Shanghai Composite Index rose or fell by - 0.02%, the Hang Seng Index by 3.11%, the Nasdaq by 2.11%, the CSI commodity by 2.02%, and the CSI bond by 0.13%. In the CITIC first level industry index, the performance of real estate and building materials is at the top, while that of coal and medicine is at the bottom. The CITIC Style Index partially rose, with financial style leading the way, up 2.95%; The market style index rose partially, led by the market value style, with an increase of 1.54%.

    Fund products: among public funds, stock funds, hybrid funds, bond funds, commodity ETFs, quantitative hedge funds and QDII funds are up and down by - 0.13%, - 0.11%, 0.08%, 1.39%, - 0.03% and 1.79% respectively. Among private funds, as of May 10, 2024, the stock long strategy index rose 1.81%; The stock neutral strategy index rose 0.59%; The managed futures strategy index rose 0.66%; The macro strategy index rose 1.46%; The bond strategy index rose 0.43%; The multi strategy index rose 1.57%; The private equity market wide index rose 1.45%.

    Indicator tracking: hedging costs of IC and IF contracts increased in the current month and quarter, while hedging costs of IM contracts decreased in the current month and quarter. Among the environmental tracking indicators of the increase in excess, the turnover of the two markets has strengthened, the volatility of the whole A-section has weakened, the industry momentum indicator has strengthened, the super expected factor has weakened, and the style factor instability indicator has declined. Among the tracking indicators of the CTA strategy, the average volatility of the CSI commodity futures index in the 20 day rolling period fell back, and the volatility factor, term structure factor, momentum factor, and position factor strengthened. The industries with a high proportion of public funds are electric equipment, new energy, food and beverage, and the industries with a low proportion are construction, commercial retail.