20240523-中信期货-中国CTA产品

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Investment consulting business qualification：

CSRC License [2012] No. 669

This report is not a service under the futures trading consulting business, and the opinions and information provided are for reference only and do not constitute

investment advice to anyone. CITIC Futures do not consider relevant personnel as client due to their attention, receipt, or reading of the content of this report.

中国CTA产品

投资咨询业务资格：证监许可【2012】669号

熊鹰 Xiong Ying 从业资格号 Qualification No. F3075662 投资咨询号 Investment consulting No. Z0018946

重要提示：本报告非期货交易咨询业务项下服务，其中的观点和信息仅作参考之用，不构成对任何人的投资建议。我司不会因为关注、收到或阅读本报告内容，

而视相关人员为客户。市场有风险，投资需谨慎。

China CTA Market

基础介绍 Introduction

桂晨曦 Gui Chenxi 从业资格号 Qualification No.F3023159 投资咨询号 Investment consulting No.Z0013632

Content 目录

This report is not a service under the futures trading consulting business, and the opinions and information provided are for reference only and do not constitute

investment advice to anyone. CITIC Futures do not consider relevant personnel as client due to their attention, receipt, or reading of the content of this report.

2.子策略介绍 Sub-Strategies

3.分类与配置 Categories & Allocation

1. 市场概览 Market Overview

4.市场特征 Market Characters

WUWZoRtPpOqMsNxOoQoMsMbRdN9PmOmMoMqMeRmMnQkPoMmPbRpNtQMYrNuNuOmPpQ

CTA策略定义 CTA Definition

This report is not a service under the futures trading consulting business, and the opinions and information provided are for reference only and do not constitute

investment advice to anyone. CITIC Futures do not consider relevant personnel as client due to their attention, receipt, or reading of the content of this report.

Sources：Suntime, CITIC Futures

Commodity Trading Advisor(CTA) refers to institutions or individuals that earn profits

by providing clients with trading advice on futures and options, or by directly

participating in actual trading through managed futures accounts.

CTA全称为Commodity Trading Advisor，即商品交易顾问，是通过给客户提供期货期权方面的

交易建议或者直接通过受管理的期货账户参与实际交易来获得收益的机构或个人。

管理期货

CTA

股票策略

Equity Strategy

债券策略

Bond Strategy

套利策略

Arbitrage

Strategy

宏观策略

Macro Strategy

事件驱动

Event-

Driven

多策略

Multi-Strategy

组合基金

Fund of Funds

管理期货 CTA 1.000 0.315 0.340 0.398 0.463 0.060 0.421 0.378

股票策略 Equity Strategy 0.315 1.000 0.801 0.794 0.844 0.603 0.951 0.939

债券策略 Bond Strategy 0.340 0.801 1.000 0.710 0.747 0.505 0.808 0.799

套利策略

Arbitrage Strategy

0.398 0.794 0.710 1.000 0.738 0.537 0.811 0.772

宏观策略 Macro Strategy 0.463 0.844 0.747 0.738 1.000 0.467 0.845 0.852

事件驱动 Event-Driven 0.060 0.603 0.505 0.537 0.467 1.000 0.597 0.547

多策略 Multi-Strategy 0.421 0.951 0.808 0.811 0.845 0.597 1.000 0.944

组合基金 Fund of Funds 0.378 0.939 0.799 0.772 0.852 0.547 0.944 1.000

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标签： #期货

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单击此处编辑母版标题样式Investmentconsultingbusinessqualification：CSRCLicense[2012]No.669Thisreportisnotaserviceunderthefuturestradingconsultingbusiness,andtheopinionsandinformationprovidedareforreferenceonlyanddonotconstituteinvestmentadvicetoanyone.CITICFuturesdonotconsiderrelevantpersonnelasclientduetotheira...

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