Review of Macroeconomy and Futures and Options Market in April 2024
In April 2024, some sectors of the commodity market will rebound sharply, and there will be mid cycle trend opportunities in the time series, but in the long term, it will show a reversal of the early decline trend. The volatility of the stock market gradually stabilized, and the hidden wave trend of different options appeared differentiation.
Summary of private placement performance of futures macro strategy and option strategy in April 2024: the mid cycle CTA benefits from the recovery of momentum effect. We continue to follow the performance of some futures macro strategy private placement funds, and take them as representatives to observe the recent performance changes of each subdivision strategy. In April 2024, we observed that the average yield of 80 products in the pool was 0.37%. The income differentiation degree of the products in the observation pool in April was relatively lower than that in March, and the monthly returns of most products were distributed in the range of - 1% to 2%, while the monthly returns of a few products reached the level of more than 5%. In April, the dispersion of CTA return rate increased significantly, and even under the same sub strategy classification, the performance of products is also different.
In terms of molecular strategies, only short-term, subjective CTA and quantitative fundamental strategies are negative returns among the seven sub strategies of the macro futures strategy category, and the average monthly returns are -0.66%, -1.37% and -3.79%, respectively. The macro strategy also benefited from the recovery of the equity market and the rise of black and non-ferrous varieties. The performance rebounded strongly, with an average monthly return of 1.16%. The medium cycle CTA strategy and the long cycle CTA strategy benefit from the momentum effect of the market, and their performance has improved significantly. However, this round of rising market can be regarded as the reversal of the declining market in March, so the medium cycle CTA performance is slightly better than the long cycle strategy, with average monthly returns of 2.22% and 1.45% respectively.
Market environment outlook and futures macro private placement perspective: the market sustainability needs to be verified, the structural focus section strategy commodity futures market sustainability needs to be verified, and the main influencing factors of the later market still have obvious policy nature. Domestically, with the rapid destocking in April and the subsequent production increase stimulus policy, the black sector rebounded rapidly. However, whether this round of rise can be supported by solid demand still needs further observation. However, under the low inventory level, the future fluctuations of the black sector may be easily driven by policies. Overseas, the US inflation data fell slowly, the core CPI year-on-year data was still high, and the PMI data fell below the boom and bust line. The expectation of interest rate cut in the United States is gradually warming up. In combination with the intensification of geopolitical conflicts, precious metals are rising again after a small adjustment, and nonferrous metals are also rising sharply. However, due to the fact that the demand data has not seen a significant improvement, the warehouse receipts have also soared, and the sustainability of the nonferrous metals sector is also worrying.
On the whole, the current economic data of China and the United States cannot support the overall upward trend of the commodity market, and the subsequent market may turn to shock or callback, so the right side opportunity of CTA from the macro perspective has not been verified, and the timing strategy may have volatility risk in the short term. However, due to the differences in the main driving factors between different sectors, including domestic and foreign policy drivers, different inventory levels, and different relative valuations, the market may be structurally differentiated in the coming months. Therefore, within the CTA sub strategy, we are relatively optimistic about cross-sectional strategies. On the other hand, the roll back strategy has taken place since February, and the roll back was postponed in April. Due to the convergence of the term structure, we can focus on the recent investment opportunities of products with a high proportion of term structure strategies.
This report introduces the CTA strategy of Yirui Private Placement.
Risk warning
Geopolitics triggered sharp fluctuations, low liquidity risk and sustained low volatility risk.
Fund related information and data are only used for research, not as fundraising materials or promotional materials.
The historical performance of all funds involved in this paper does not represent future performance.
