Without the Black Swan incident, CTA Foundation won the 20 16 private placement strategy list with a high probability. This year's commodity market is surging. In the first quarter, the prices of commodities represented by the "black system" continued to rise, which opened the prelude to the bull market of commodities. In the second and third quarters, the "black series" commodities continued to exert their strength after the callback, and the prices of metals, chemicals, agricultural products and other varieties rose in turn. At the same time, the strong rise of commodities in the spot market laid the foundation for the rise of futures. At the beginning of the fourth quarter, many commodity futures such as plastics, methanol and nonferrous metals began to hit new highs one after another, and the price of coke unexpectedly hit a new high in the past three years!
The market is so hot that the corresponding strategic products are natural. Relevant data verify that as of the end of September, the average rate of return of domestic CTA funds has ranked first among the major private placement strategies this year. Coupled with this upward trend since 10, there is little suspense for 20 16 to win the championship.
But this does not mean that CTA strategy will also rise when the market rises. There are also two types of CTA strategic 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. This CTA is greatly influenced by the market; The other is that the CTA strategy used by most institutions at present, such as the CTA strategy of Broadcom Investment, is carried out by quantitative means, that is, a quantitative trading strategy model is established through analysis, and investment decisions are made by the trading signals generated by the model.
The income and investment target of quantitative CTA are related to the increase or decrease of investment target, that is, it is easy to make profits in the volatile market. In other words, when the market goes up, strategic products may not necessarily go up. However, if the market volatility increases and keeps increasing or decreasing, then the performance of strategic products is worth looking forward to.
The volatility of investment target is the ECG of CTA fund's profit. A Ma Pingchuan or a small fluctuation can't lead to a rate of return or even a retreat, but CTA can make a lot of money when the peaks and valleys fluctuate frequently.
In a word, the summary of the image, "investment is like an electrocardiogram. A Ma Pingchuan means it is dead. "
(Information from Broadcom Investment Guan Wei)
The quantitative investment team of Broadcom Investment explained that there are two quantitative CTA strategies, one is "trend tracking strategy" and the other is "mean recovery" strategy.
In the practice of quantitative CTA, the two strategies are not carried out independently, and sometimes they are combined according to market conditions. And these two strategies also have their own advantages and disadvantages.
For example, CTA trend tracking strategy is characterized by losing small money and making big money. That's great, the loss is a small loss, and the profit is a big profit! This strategy pays great attention to volatility. When there is a big directional fluctuation in the market, there will be a big profit, but the winning rate of big profits needs to wait. Sometimes it will be relatively difficult to "wait for the wind", but the profit-loss ratio of each transaction will make you feel that waiting is worthwhile.
The core of this strategy is that the market is inefficient, and the influence of events will lead to the rapid rise of the value of the subject matter in a short time, but its price will take some time to rise, which will lead to the market trend; The most important thing for trend traders is stop loss. Not every transaction can be profitable, but the trading goal is to stop losses quickly, "make big profits and make small losses" and make overall profits.
(Information from Broadcom Investment Guan Wei)