Weekly observation on private placement: How is the performance of CTA strategy since this year worth continuing to invest?

As of May 17, 2024, the South China Commodity Index has increased by 7.78% in total, and in the stock market over the same period, Wind A has declined slightly by 0.22%. In contrast, performance differentiation of CTA managers is obvious. Among trend strategies, subjective trend strategy managers perform best, while quantitative trend strategy managers are less than expected. Subjective arbitrage and quantitative arbitrage strategies are in line with expectations as a whole.

    From the perspective of volatility, since this year, the overall volatility level of the South China commodity market is still low, and only in precious metals, metals and other sectors, the volatility level is high. Therefore, managers who focus on such sectors will have the opportunity to obtain higher returns, while quantitative tracking strategies are due to the diversification of holdings, As a result, the overall income level is difficult to reach the level of subjective trend managers.

    From the perspective of efficiency coefficient, in January and February this year, the efficiency coefficient of all sectors was at a low level, showing no obvious trend. In March and April, except for the efficiency coefficient of Nanhua precious metals, other sectors did not show a strong trend. After entering May, although the commodity index of Nanhua continued to grow, the efficiency coefficient of all sectors decreased.

    From the perspective of transaction concentration, since late March, the transaction concentration has risen rapidly and reached the extreme value in mid April. The current transaction concentration is still at a high level. From the perspective of segmentation structure, the turnover of commodity market is concentrated in precious metals, nonferrous metals and other sectors, and these sectors have also seen a large increase in recent years.

    Looking ahead, for more aggressive investors, subjective trend strategies still have some allocation value, while quantitative trend strategies, especially those based on short-term or intraday trend prediction, will have more opportunities. For more stable investors, the current trading volume of the commodity market is still high, The arbitrage strategy still has a certain configuration cost performance ratio.

    Risk tip: This report involves private equity funds. If you are not a qualified investor, please do not read this report. The research in this report relies on data reliability, research assumptions and estimation methods, and the results may be biased.

    There are risks in the market, so investment should be cautious.