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In November, the South China Commodity Index rose 091%, the macro expectations and market sentiment of the commodity market have improved, and the quantitative CTA strategy has a significant money-making effect.
This month, commodities have been sharply split at home and abroad, stimulated by trillions of treasury bonds and real estate policies, macro expectations and market sentiment have improved, and the black sector led the rise of 5 this month5%；The problem of surplus at the end of the non-ferrous sector has caused a large increase of 3%;A number of U.S. macroeconomic data showed weakness, and expectations that the Federal Reserve would not raise interest rates again, **sharply at the end of the month**, and Shanghai Gold broke through the annual record high. For the whole month, commodities closed up 09%, the market corrected the commodity forwards, the premium structure converged sharply, and the quantitative CTA strategy made a large profit.
From the point of view of the inventory cycleAccording to the data, PMI raw material inventory and finished product inventory in November were respectively. 2%, down from the previous month. 3%, the process of replenishment is relatively slow, and the overall situation shows that the short-term demand side is still not high, and the game mainly revolves around macro expectations. It is common sense that the growth rate of PPI in the current month and the growth rate of finished product inventory of enterprises have fluctuated after rebounding for two consecutive months, and enterprises are still in the initial stage of passive destocking to active replenishment.
Black index this monthLeading the gains,The bullish bullish at the macro level is the direct inducement. The Ministry of Finance issued part of the new local ** debt quota in 2024 in advance and the frequent policies to stabilize real estate, which further boosted the market's expectation of good steel terminal demand. In November, coal mine safety accidents occurred frequently, safety supervision was tightened, and coking coal became the largest increase in the black series. In the future, we can also look forward to the ** economic work conference in mid-to-late December to see if there will be incremental macro policies.
Index for the month**The overall tone of the Federal Reserve's November interest rate meeting was slightly biased**, and the US non-farm payrolls report and US ISM manufacturing and services data both showed a slowdown in the US economy, which pushed gold prices briefly at the beginning of the month**. However, with the normalization of the Kazakh-Israeli conflict, the Shanghai and Gold Summit, which had risen in the early stage driven by risk aversion, fell back at the beginning of the month. In addition, a number of Fed ** made slightly hawkish speeches, which was also the main driving force for the downward trend of gold prices. Beginning on November 14, gold prices went out unilaterally and all indicators of the US CPI fell more than expected, and after the data was released, the market expected that the current round of interest rate hike cycle has ended. The continued decline in U.S. Treasury rates is also one of the main drivers of gold prices**.
Nonferrous index of the monthLead the decline,**。Under the concern of overseas economic prospects and the pressure of the domestic economy, non-ferrous metals have gradually digested the favorable domestic policies, and the overall trend has been rising and falling. Copper is relatively strong, while aluminum-zinc is weak. Lithium carbonate was 30% in the whole month, the downstream demand was sluggish and the cost side support was insufficient, the market pessimistic expectations were strong, and the futures and spots were synchronized.
AgriculturalproductsExponentsThis month**U.S. beans showed a trend of rising and falling, and the focus of market attention shifted sharply from domestic demand in the United States to soybean planting and growth in the core producing areas of Brazil, with soybean two and soybean rapeseed meal closing down. In terms of oils and fats, they are stronger than meals, and the three major oils and fats collectively closed up. Pig ***935%, the pressure of slaughter at the end of the year is greater, the demand improvement is not as good as the short-term supply concentrated release, the breeding end continues to lose, and the market has insufficient confidence in seasonal demand.
Energy index this monthOn the oil side, worries about the decline in global demand for petroleum products at the beginning of the month drove oil prices to continue to decline, leading the declineIn the second half of the month, the market mainly traded around the expectation of the OPEC+ meeting at the end of the month, and oil prices remained ranged**. The OPEC+ meeting was postponed to November 30 due to internal disagreements, and there were no obvious highlights in the final meeting. The petrochemical industry follows the weakening of oil and refined oil, while the coal chemical industry is mainly based on the operation of the first grade. Soda ash and glass bucked the trend. In the context of low inventory of heavy alkali, superimposed changes such as Qinghai reduction and Jinshan maintenance, soda ash **39%. The sector as a whole still needs to be clearly directed by oil prices.
The financial sector of the monthThere is a stylistic divergence. Under weak expectations, the large tickets of the stock index weakened and closed down, and the small tickets rose and fell. Treasury bonds stabilized and rebounded at the beginning of the month;However, with the strengthening of the RMB exchange rate, ** continued to fall in the middle of the month;At the end of the month, the PMI announced that it continued to fall, the market's expectations for easing policy re-heated up, and the bulls drove the bond period to close up, and the 30-year treasury bond rose sharply.
Figure 1 Trend of the South China Commodity ** Index (21.)12.31-23.11.30）
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Fig. 2 Trend of South China Commodity ** Index (23.)10.31-23.11.30）
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Figure 3 The rise and fall of major commodities** varieties this month.
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Figure 4 The rise and fall of varieties in the non-ferrous sector this month.
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Figure 5 The rise and fall of varieties in the black sector this month.
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Figure 6 The rise and fall of varieties in the energy sector this month.
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Figure 7 The rise and fall of varieties in the chemical sector this month.
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Figure 8 The rise and fall of varieties in the agricultural sector this month.
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Figure 9 The rise and fall of oil and oil varieties this month.
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Figure 10 The rise and fall of the stock index** variety this month.
Figure 11 Treasury bonds rose and fell this month.
Figure 12 The continuous price curve of the stock index in the current month (2021.)12.31 - 2023.11.30）
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Figure 13 Monthly change in stock index** and stock index.
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In terms of commodity volatility, the volatility of the South China Commodity Index fell sharply at the beginning of this month, from 1486%** to 836%；In late November, although volatility was smaller**, it recovered to 1081%, but it continues to be at a historical low level, which is not conducive to quantitative strategy performance. In terms of sub-sector statistics, except for the *** sector, which was expected to be revised by overseas monetary policy, which boosted the volatility, the volatility of all sectors declined, and the black monthly volatility fell significantly.
From the perspective of overnight jumping, the overall jump opening range this month is low, which has little impact on short-term strategies. From the perspective of sub-sectors, the phenomenon of high opening of the black series is relatively frequent.
From the perspective of intraday amplitude, the amplitude this month has increased compared with the previous month, but the overall position is still low. In terms of sub-sectors, nickel and lithium carbonate in the non-ferrous plates;Raw material ends within black plates as well as stainless steel;Soda ash, glass and ** in the energy plate;Soybean meal and hogs in the agricultural sector, the increased intraday amplitude of these varieties provide a good profit contribution to the short-cycle CTA strategy.
In terms of stock index volatility, the overall IV of the whole month fell slightly. After the continuous start of the second half of the year, the market returned to tidying up, and the sentiment also fell.
Figure 14 Annualized volatility of rolling 20-day returns of the South China Commodity Index (2021.)12.31 - 2023.11.30）
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Figure 15 Annualized volatility of the rolling 20-day earnings of the South China Commodity Index this month.
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Figure 16 Annualized volatility of the South China Commodity Index.
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Figure 17 **Market amplitude (turnover weighted) (2021.)12.31 - 2023.11.30）
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Fig. 18 Amplitude by sector (weighted by turnover) (2021.)12.31 - 2023.11.30）
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Figure 19 **Market jumped open overnight (2021.)12.31 - 2023.10.31）
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Figure 20: Changes in implied volatility in the non-ferrous sector this month.
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Figure 21: Changes in implied volatility in the black sector this month.
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Figure 22: Changes in the implied volatility of the energy sector this month.
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Figure 23: Changes in implied volatility in the agricultural sector this month.
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Figure 24: Changes in implied volatility in the financial sector this month.
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Figure 25 Rolling return volatility (annualized) of the stock index** in the current month
*: From the perspective of commodity market turnover and holdings: this month's turnover and position have rebounded compared with the previous month. The ratio of commodity ** trading positions has not changed much and continues to be at a low level. The trading volume of the stock index** fell back after rising significantly to normal levels in the delivery week, and the overall volume remained at a historical low.
Figure 26 Commodity market turnover (unit: 10 billion yuan).
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Figure 27 Commodity market holdings (unit: 10 billion yuan).
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Figure 28 Ratio of open interest in the commodity market.
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Figure 29 Commodity trading volume (unilateral) (10,000 lots) this month
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Figure 30 Monthly turnover of commodities** sector (100 million yuan).
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Figure 31 Monthly Commodities** Sector Turnover (100 million yuan).
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Figure 32 SSE 50 spot turnover (unit: 100 million yuan).
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Figure 33 Spot turnover of CSI 300 futures (unit: 100 million yuan).
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Figure 34 Spot turnover of CSI 500 futures (unit: 100 million yuan).
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From the perspective of factors, the overall performance of momentum factors was strong this month, and the performance of different cycles was differentiated. The long-term time-series momentum factor is strong, which is bullish for the medium- and long-term trend following strategy. Both the short-term time series and the short-term cross-sectional momentum factor are loss-making, and the short-term cross-sectional momentum loss is greater than the short-term time-series momentum, which has a negative impact on the short-term strategy. The performance of cross-sectional factors is excellent, and the strength and weakness of multi-factor hedging strategies and mixed strategies are positive. In addition to the strong performance of the cross-sectional momentum factor, the rollover yield and value factor of the term structure class are even more profitable, and the basis momentum factor is slightly lossy. Among the volume and price factors, except for the loss of the skewness factor, the other factors achieved small profits this month, which is beneficial to high-frequency and short-term CTA strategies. The fundamental style factors are all loss-making, and the overall negative fundamental quantitative strategy.
From the perspective of CTA strategy index returns, except for the subjective ** strategy, the rest of the strategies have achieved profits, among which the multi-factor strength and weakness hedging strategy has the highest increase. The basis has converged significantly this month, with the term structure contributing to the main profit**. Specifically, the term structure strategy holds long ** is high discount iron ore, soda ash, glass, coking coal, coke and other varieties, short is high premium pigs, ferrosilicon, rubber and other varieties, this month these varieties are out of the basis convergence **, contributing very high returns. In terms of short cycles, managers who have added new varieties have achieved good results, and lithium carbonate, shipping index and other varieties have come out of the smooth ** within the day. On the trend, iron ore, cotton, pigs, peanuts, soda ash, nickel, lithium carbonate, and ** all have a large unilateral trend**.
Judging from the performance of investment advisors in the Huofu Niu CTA observation pool, the returns of managers under the quantitative segmentation strategy this month are similar, and most of the cross-sectional, time-series, medium and high-frequency managers have achieved positive returnsThere is a large difference in the profitability of managers under the subjective and hybrid categories.
Figure 35 CTA style factor trend (momentum).
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Fig. 36 CTA style factor trend (term structure class).
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Figure 37 CTA style factor trend (volume and price).
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Figure 38 CTA style factor trend (fundamental).
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Figure 39 Huofu Niu CTA observes the manager's returns.
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Figure 40 Revenue trend of mixed equilibrium products (Group 1).
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Note: CTA hybrid strategy product links: **a, **b, **c, **d, **e, **f, **g
Table 1 **Performance of mixed products (Group 1).
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