Part I: review of macro economy and futures option market
In March 2022, China's CPI increased by 1.50% year-on-year, 0.6 percentage points higher than the previous month, 0.00% month on month, and 0.6 percentage points lower than the previous month. PPI grew by 8.30% year-on-year, down 0.5 percentage points from the previous month, with a month on month growth rate of 1.10%, up 0.6 percentage points from the previous month. The manufacturing PMI index recorded 49.50, down 0.7 percentage points from the previous value.
In the first quarter of 2022, the commodity market rose sharply due to the impact of the conflict between Russia and Ukraine. However, the sustainability of the trend began to deteriorate in February and turned into a wide shock in March, and the friendliness to CTA strategy decreased significantly. The rapid decline of the stock market has formed a friendly operating environment for stock index futures, but the sharp jump of volatility in March has posed a great risk control challenge to option strategies.
Part II: review of the performance of futures macro strategy private placement and option strategy private placement
According to our statistics of all 2496 futures macro strategy private equity fund products, the average return of this strategy category was 1.76% in the first quarter of 2022. Among them, the average yield of 1506 quantitative products in the first quarter was 4.91%, and the average yield of 1005 subjective CTA and macro strategy products in the first quarter was - 3.04%. Since this year, the overall performance of quantitative CTA is better than subjective CTA and macro strategy.
In terms of molecular strategy, in the first quarter of 2022, the medium cycle and long-cycle quantitative CTA strategy performed well, and the average rate of return of the product pool we are concerned about came to about 10%. Short cycle quantitative CTA and quantitative fundamentals strategies have made some gains, with an average quarterly return of 3-4%. The returns of subjective futures and macro strategies are low, and the average quarterly return of macro strategies is negative.
Part III: market environment outlook and investment suggestions
Since March, with the development of the situation in Russia and Ukraine and the progress of negotiations between all parties, the relevant varieties and sectors in Russia and Ukraine with strong trend have entered a wide range of volatile market. The fluctuation has obvious event and policy characteristics. CTA is expected to be difficult to maintain the high-yield state in the near term in the corresponding sectors. In other sectors, the market originally expected that the black system would be in a state of weak supply and demand, but recently, the market has stronger expectations for infrastructure demand, which may bring market changes to black Shenzhen Agricultural Products Group Co.Ltd(000061) there are also several major variables that may maintain the high volatility of the market, including low global and Chinese oil stocks, the impact of weather on us bean planting, US bean production increase, etc., which may bring benefit opportunities to CTA. On the whole, we still suggest paying attention to the significance of CTA configuration and maintaining a reasonable proportion of CTA configuration. In the medium and long term, the anti globalization of international relations may push up the fluctuation center of commodity market for a long time, making the allocation of CTA more significant.
It is suggested that investors can rebalance the CTA that has passively increased its proportion due to the sharp rise in this round, but it is not suitable to significantly reduce their positions, and they still need to maintain a reasonable CTA position. In terms of specific sub strategies, it is still recommended that investors with the main purpose of configuration continue to hold high complexity strategies and appropriately capture the fluctuation opportunities of commodity market with high probability. More proactive investors are advised to focus on short-term CTA and subjective CTA investment opportunities.
This report introduces a compound strategy CTA manager, Hangzhou Huishi Asset Management Co., Ltd.
Risk tip: Geopolitics leads to violent fluctuations and low liquidity risk
