(Source: China Securities Co., Ltd. Wealth Management) In the context of global economic uncertainty and increasing volatility in traditional stock and bond markets, how can investors construct a more resilient portfolio? This requires stepping outside traditional thinking to seek "alternative" strategies that can effectively diversify risk and capture opportunities across different market environments. Among these, quantitative CTA strategies are gaining traction among a growing number of investors. Observing from the perspective of rolling annual volatility, commodity indices have shown a distinct three-year cyclical pattern since 2010. Currently, the ongoing downward volatility cycle has lasted for about three years, with absolute volatility levels at historical lows. This indicates that CTA strategies are entering a favorable investment window, warranting significant attention from investors.

01 What are CTA Strategies? CTA, which stands for Commodity Trading Advisor, is commonly referred to as "managed futures" strategies in the market. Despite the inclusion of "commodity" in the name, its investment scope extends far beyond that, covering futures and options markets across stock indices, government bonds, foreign exchange, interest rates, and various commodities (such as energy, metals, and agricultural products). Essentially, any publicly traded futures variety could potentially be an investment target for CTA strategies.

02 Why Focus on CTA? In an era marked by rapid shifts in market styles and frequent black swan events, traditional investments in stocks and bonds, which rely on economic growth, face significant challenges. In contrast, quantitative CTA strategies exhibit remarkable adaptability and diversification value through their unique mechanisms. 01 Unique Risk Diversification Value (Low Correlation) CTA strategies demonstrate a very low or even negative correlation with traditional stock and bond markets. This implies that when equity or bond markets decline due to poor macroeconomic conditions, CTA strategies may thrive by capitalizing on trends in commodities, foreign exchange, and other markets, thus serving as a hedge against overall portfolio risk and effectively smoothing overall fluctuations. This capability to potentially offer positive returns during market crises is esteemed by professional investors as "crisis Alpha," representing one of its most core allocation values.

02 Flexibility to Go Long or Short Unlike conventional investments that can only profit from rising asset prices, CTA strategies leverage the "long/short trading" mechanism of futures contracts, allowing them to profit whether prices rise or fall. This breaks the limitations of traditional assets (like stocks or bonds), thereby broadening the sources of returns, which is particularly valuable in downtrending or persistently volatile markets.

03 Broad Investment Domains The investment range of CTA strategies is extensive, encompassing commodity futures and financial futures across various sectors. This wide investment diversification avoids concentration of risks in a single asset category, achieving the goal of "not putting all eggs in one basket," and further enhancing the strategies' robustness. Additionally, it enables the identification of profit opportunities across diverse market conditions, demonstrating strong adaptability.

03 Professional Management: China Securities Co., Ltd. Futures Founded in 1993, China Securities Co., Ltd. Futures is a wholly-owned subsidiary of China Securities Co., Ltd. The company operates across a broad spectrum of business areas and holds membership in all six major domestic futures exchanges, leveraging a strong shareholder background and a nationwide operational network to solidly support its asset management business. Note: China Securities Co., Ltd. Futures is a 100% owned subsidiary of China Securities Co., Ltd., operating under a business isolation system from its parent company.

As the manager of CTA products, the Asset Management Department has established a stringent closed-loop process for risk control, research, allocation, trading, and attribution. Additionally, it closely collaborates with the company's Research and Development Department, which boasts nearly 40 analysts, providing substantial fundamental and quantitative research support for strategy development and forming an efficient internal collaboration mechanism.

Source: China Securities Co., Ltd. Futures In terms of risk control, China Securities Co., Ltd. Futures employs purely quantitative decision-making for its CTA strategies, eliminating subjective emotional interference, and has created a comprehensive risk management system throughout all phases—before, during, and after. Furthermore, clear risk control indicators are established at both product and strategy levels, such as net directional exposure, single product margin utilization, and automatic position reduction in case of strategy drawdown, thereby constructing a multilayered risk firewall.

03 Product Strategy and Advantages The core of China Securities Co., Ltd. Futures' CTA strategy lies in its meticulously constructed "Three-More" system, which employs a multi-factor strategy framework to model and analyze price influencers from various dimensions, striving to grasp market opportunities while controlling portfolio risk through a "multi-variety, multi-cycle, multi-strategy" approach.

Source: China Securities Co., Ltd. Futures 01 Sector Dimension Commodity All-Variety Strategy: Utilizes universal factors and parameters to capture common patterns across the entire commodity market via time-series and cross-sectional modeling. Commodity Sector Strategy: Independently models major sectors such as non-ferrous metals, black metals, energy, agricultural products, and precious metals to analyze unique pricing factors, achieving more refined management. Government Bond Futures Strategy: This strategy is less correlated with commodity futures and incorporates nine macro dimensions related to price and volume fundamentals, aiding in smoothing overall portfolio fluctuations across different economic cycles.

02 Factor Dimension Price-Volume Factors: Combines time-series (tracking historical trends) and cross-sectional (comparing different varieties) modeling, covering various classic and innovative factors including trends, reversals, price patterns, and volatility. Fundamental Factors: Based on the strong research capabilities of the futures company's research institute, quantifies fundamental data such as basis, inventory, warehouse receipts, industry profits, and macroeconomic indicators, constructing factors with solid economic logic. Alternative Factors: Actively explores non-traditional data sources like member positioning structures and seasonal patterns to continuously seek new sources of return that have low correlation with mainstream strategies.

Based on the above strategy system, China Securities Co., Ltd. Futures' CTA strategies have four core characteristics aimed at ensuring the long-term stable operation of the strategy: strong economic logic, substantial capital capacity, balanced allocation, and comprehensive risk control.

Source: China Securities Co., Ltd. Futures 04 Conclusion CTA strategies offer investors a powerful tool for navigating market cycles, characterized by their unique low correlation, flexibility to go long or short, and systematic trading discipline. In this ever-changing era, incorporating CTA strategies into asset allocation is a direction worthy of significant attention from investors.