Subdivision And Advantages And Disadvantages Analysis Of Management Futures Strategy

On the classification of management futures strategy, it can be divided into subjective strategy and procedural strategy.

Subjective futures strategy, as the name implies, is mainly determined by people's subjective judgment of investment opportunities.

The programmed futures strategy will make the investment logic into a model, and then identify the investment opportunities and invest pactions through computers.

According to the financial statistics on the grid, as at the end of April,

The average profit this year is 4.52%, and the performance of programmed futures has reached 5.25% this year.

From a global perspective, according to the management scale, more than 90% of the managed futures strategy Funds adopt a procedural strategy. However, in the domestic futures private placement funds, the majority of the private placement funds still use subjective pactions. The financial data show that the number of subjective futures products in the current futures private placement fund accounts for more than 63%.

According to the financial management on the grid, for the subjective strategic futures fund, because of the limited investment power of private managers, the strategy is difficult to achieve full variety coverage, so its performance is highly correlated with the market of concern.

For example, Kai Feng mainly focused on subjective commodities in its early stage of investment.

It has obvious investment advantages in the related products of agricultural products and black industry chain. In the later stage, because of the gradual expansion of management scale, the company began to enrich its product strategy. At present, most of its funds are macro hedge funds.

The procedural futures strategy can generally achieve full variety coverage, and can grasp many kinds of investment opportunities.

According to the understanding of financial management on the grid, the CTA fund of Fu Shan investment has completed the full coverage of the domestic futures varieties, and the black wing assets also cover the vast majority of futures in line with its procedural investment logic.

In addition, on the grid

It is found that because of the investment in the signals issued by the model pactions and the diversification of investment types, the volatility of the products is generally smaller than that of the subjective futures.

The arbitrage strategy is to buy and sell the two more closely related assets at the same price, and to earn the difference between the first two prices.

Arbitrage strategy is mainly to track the difference between the assets with high correlation. When the difference between the two prices deviates from the normal price difference, the investment is carried out, and the reverse operation is carried out until the price difference returns to normal.

The case study shows that the risk of arbitrage strategy is relatively small, and the trend of product net value is relatively stable. However, because of the limited chance of deviation and limited deviation, the profitability of the strategy is greatly influenced by the market and capital size.

At present, futures arbitrage strategy mainly includes intertemporal arbitrage, cross variety arbitrage and cross market arbitrage.

For example, there are arbitrage strategies under the investment of Yi Tian Ge and Sheng Guan da.

According to the understanding of financial management, the arbitrage strategy of Yi Tian Ge investment covers various arbitrage strategies such as cross boundary, cross variety, cross market and so on, while Sheng Guan Da's arbitrage strategy is mainly intertemporal arbitrage and cross variety arbitrage.

The trend strategy is the tracking of market trend.

Compared with the stock market, commodity futures can be traded in a two-way manner, so the trend strategy can be used to track the profits of the rising trend and to track the profit of the downward trend.

On the grid financial research found that the trend strategy in the market in a unilateral rise or fall in the market when the profit margin is larger; if the market shows a small concussion for a long time, the strategy has limited profitability, or even a small loss.