The income sources of CTA strategy are diversified. At present, the most familiar thing in the market is to use momentum strategy to earn the difference, and quantitative trend tracking is often synonymous with CTA strategy. In fact, CTA strategy itself has quite a lot of income sources, and all kinds of methods can create real income for the combination.
The research shows that as an investment strategy, CTA strategy can invest in far more targets than commodity futures. Even if the commodity market is in a state of sideways fluctuation for a long time, it can still strive for long-term stable returns through a wide range of investment targets.
What is CTA strategy?
The full name of CTA is commodity trading? Consultants, that is, "commodity trading consultants", are also called managed futures. It refers to a form of fund organization in which professional fund managers use the funds entrusted by customers to invest in futures market and options market, and charge corresponding management fees. As a strategic method of investment, CTA is essentially a set of rules, which are very regular, including many investment categories. CTA is an important way to realize diversified investment in asset allocation, and it is gradually becoming one of the basic asset allocation of mature investment institutions.
Judging from the managed futures Barclays CTA index, CTA strategy has a history of 40 years, and its investment target is not limited to commodity futures, but extended to all futures including interest rate futures, stock index futures and foreign exchange futures.
Judging from the number of international transactions, commodity futures investment in CTA strategy only accounts for 1/4- 1/3, with momentum strategy as the main strategy, while financial derivatives account for more than half of the total transaction volume of CTA strategy, which is related to the rich types of investment and the mature development of derivatives in the international market; On the other hand, in China, investors often equate CTA strategy with commodity investment, mainly because the domestic stock index futures investment is limited and the treasury bond futures market is still in the process of gradual development.
Experts predict that in about three years, with the continuous development of the domestic futures market, the introduction of new varieties such as stock index futures, treasury bonds futures and commodity futures, and the gradual advancement of the option market, the investment targets of CTA in China will continue to increase, and the potential profit opportunities will also increase accordingly, and the domestic investment situation will be closer to that of foreign countries.
Quantitative CTA has gradually become the mainstream.
As far as investment methods are concerned, there are two kinds of CTA funds. One is subjective CTA, that is, the fund manager subjectively judges the trend and decides the trading time according to the fundamentals, research or trading experience; The second type is quantitative CTA, which establishes a quantitative trading strategy model through analysis and makes investment decisions according to the trading signals generated by the model.
Comparatively speaking, using quantitative methods to invest in futures can gain profits and manage risks well. Quantitative CTA can avoid subjective irrationality and stop loss in time when there is loss or retreat, thus effectively avoiding risks. At the same time, quantification of CTA funds can produce scale effect, which is why quantification has gradually become the mainstream trading method of CTA funds at home and abroad.
According to Preqin Hedge's statistics, overseas, in 20 14 years, 80% CTA funds adopted programmed transactions, 9% adopted mixed strategies, and only 1 1% adopted subjective analysis. In China, according to the statistics of futures information network, domestic quantitative CTA accounts for about 50%, and it shows a steady upward trend.
Quantify the characteristics of CTA fund
First, low correlation
CTA funds have low correlation with stocks, bonds, commodities and other hedge funds. On the basis of traditional large-scale asset portfolio allocation, allocating a certain proportion of CTA funds can make the overall asset portfolio achieve the dual effects of enhancing returns and reducing risks. Moreover, CTA funds have the function of making money in both directions. Even if the stock market is adjusted in stages, CTA funds still have strong profitability.
Second, medium and high returns
During eurekahedge 2000/01-2015/07, the cumulative yield of CTA index was 365%, the annualized income was 10.37%, the maximum retracement was 6.34%, and the annualized standard deviation was 6.90%. Compared with overseas mature markets, domestic CTA funds are still in the stage of rapid development. However, it is precisely because of the immaturity of the market that the domestic CTA fund has a higher yield than overseas, and the historical retracement is even smaller.
Third, nonlinearity.
Another notable feature of quantitative CTA fund is nonlinear income. The income mode of CTA fund is reflected in the low winning rate and high profit-loss ratio, that is, 2-3 waves of market a year can realize the annual income, and the rest of the time is in a sideways or retreating state. To put it simply, the income of quantitative CTA has nothing to do with the rise and fall of investment targets, but with the rise and fall of investment targets, that is, it is easy to make profits in a highly volatile market. Using an image metaphor, the volatility of investment target is the ECG of CTA fund profit. A Ma Pingchuan or a small fluctuation can't contribute to the rate of return or even retreat, but CTA can make a lot of money in the frequent ups and downs.
How to choose real high-quality quantitative CTA products
There are many CTA fund products on the market, so how to choose real high-quality quantitative CTA products? Investors are advised to consider the following four aspects:
1, depending on performance
When choosing CTA fund, we should first look at its historical performance and the sustainability of its performance. The longer the time, the higher the income, which means the better the product.
2. Look at this team
When choosing CTA fund, we must deeply study its team composition. A successful and sustainable CTA fund must rely on the strength of the team. A good team can make multi-strategy investment and achieve good return on investment in various market forms, so the professional strength and stability of the team are extremely important.
Step 3 look at the retreat
When choosing CTA funds, we should also pay attention to the characteristics of maximum cash withdrawal; The maximum retracement can judge the degree of risk exposure of CTA fund to a certain extent, and the absolute return under the same risk exposure can better judge the excellent degree of CTA fund.
Step 4 look at the scale
When choosing CTA fund, we should pay attention to its overall scale while studying its performance sustainability. The scale may affect the investment decision of the investment manager. The larger the scale of fund management, the more stable the income.
As a non-mainstream investment tool, CTA fund's ability to disperse market risks and prevent systemic risks in the stock market should be valued by investors who invest in the stock and bond markets in the traditional sense, especially in the context of changing environment, quantitative CTA fund will usher in a period of vigorous development.
Further reading: the classic quantitative trading strategies of stocks/futures are all here! (Policy source code)