FOF周报：股商震荡下行，超额环境偏弱

FOF周报：股商震荡下⾏，超额环境偏弱 ⾦融⼯程组研究员：盛博文从业资格号F03107915投资咨询号Z0021449 孔如玉从业资格号F03108272投资咨询号Z0021459 上周，股商震荡下行。指增超额环境持续处于偏弱状态，CTA趋势策略处于左侧布局区间，债券策略短期有所企稳，震荡行情中的CTA套利和中性策略或有平稳表现。上周，公募基金一级分类中，偏股混合型基金领跌。截至3月14日，朝阳永续私募指数周度表现偏强，指数增强策略领涨。 重点关注：上周，权益市场先涨后跌，上证指数失守3400点关口，赚钱效应转弱。目前A股仍以结构市应对，短期红利因子或相对偏强，大盘优于小盘。从私募策略来看，指增超额环境持续处于偏弱状态，需关注超额回撤的风险；商品市场波动率仍在低位震荡，CTA趋势策略处于左侧布局区间；债券策略短期虽有企稳，后续仍需关注央行操作情况；在震荡行情中，CTA套利和中性策略或有平稳表现。 权益市场表现：上周，上证综指的涨跌幅为-1.6%，创业板指的涨跌幅为-3.34%，上证50的涨跌幅为-2.38%，沪深300的涨跌幅为-2.29%，中证500的涨跌幅为-2.1%，中证1000的涨跌幅为-2.52%。上周中信一级行业指数中，建材、家电表现靠前，计算机、传媒表现靠后。中信风格指数全部下行，其中成长风格领跌，跌幅为3.26%；市场风格指数全部下行，其中大盘成长风格领跌，跌幅为2.89%。 商品市场表现：上周，商品市场震荡偏弱，中证商品期货指数周度下挫0.75%，五大细分板块走势出现分化，贵金属领涨，黑色建材领跌。CTA策略跟踪指标中，中证商品期货指数波动率滚动20日平均波动率低位震荡，持仓因子、动量因子走强，期限结构因子、波动率因子走弱。 公募基⾦表现：上周，公募基金策略多数收跌，其中偏股混合型基金跌幅最大、下跌2.25%，指数型基金跌幅也达到2.93%，仅QDII基金收涨、涨幅为1.14%。 私募基⾦表现：截至3月14日，朝阳永续私募指数周度表现偏强，策略全部上涨；指数增强策略涨幅最大，周度上涨1.51%；CTA趋势策略次之，周度上涨0.7%；CTA套利策略策略表现也较好，周度上涨0.36%。 特⾊策略表现：红利指数择时模型近期显示多头，因子投票策略年化收益率为17.08%，夏普比率为1.10；因子等权策略年化收益率为8.53%，夏普比率为1.38。 ⻛险提⽰：国际地缘政治冲突加剧；宏观经济波动加大。 目录 一、周度重点回顾················································3二、权益市场表现················································3（一）主要市场指数表现情况·········································3（二）行业与风格市场表现情况·······································4三、商品市场表现················································5四、公募基金表现················································6（一）公募基金业绩追踪···········································6（二）主动管理公募持仓跟踪·········································6五、私募基金表现················································7（一）私募基金业绩追踪···········································7（二）私募基金环境指标跟踪·········································8六、特色策略表现················································11 图表目录 图表 1：主要指数市场表现···········································2图表 2：公募基金业绩表现···········································2图表 3：私募基金业绩表现（截至2025/03/14）································2图表 4：主要指数市场表现···········································3图表 5：权益类指数市场表现··········································3图表 6：中信一级行业指数表现········································4图表 7：中信风格指数市场表现········································4图表 8：市场风格指数市场表现········································4图表 9：中证商品指数净值统计········································5图表 10：中证商品指数的波动率········································5图表 11：风格因子净值·············································5图表 12：公募基金业绩表现··········································6图表 13：主动权益型基金周度收益分布····································6图表 14：主动纯债型基金周度收益分布····································6图表 15：公募基金配置中信一级行业占比···································7图表 16：私募指数净值（截至2025/03/14）··································7图表 17：私募基金业绩表现（截至2025/03/14）·······························8图表 18：指增/中性策略超额环境跟踪指标··································8图表 19：指标共振强度·············································9图表 20：CTA趋势策略环境监测框架······································9图表 21：CTA套利策略环境监测框架······································9图表 22：IC当月合约历年累计对冲成本····································10图表 23：IC当季合约历年累计对冲成本····································10图表 24：IF当月合约历年累计对冲成本····································10图表 25：IF当季合约历年累计对冲成本····································10图表 26：IM当月合约历年累计对冲成本····································10图表 27：IM当季合约历年累计对冲成本····································10图表 28：红利指数择时策略净值········································11图表 29：红利指数择时策略业绩表现·····································11 ⼀、周度重点回顾 上周，权益市场先涨后跌，上证指数失守3400点关口，赚钱效应转弱，A股与美股再现跷跷板效应。市场风格方面，成长因子、高beta因子偏弱，价值因子、低波因子抗跌，目前A股仍以结构市应对，短期红利因子或相对偏强，大盘优于小盘。从私募策略来看，指增超额环境持续处于偏弱状态，需关注超额回撤的风险，短期收益不确定性较大；商品市场波动率仍在低位震荡，CTA趋势策略处于左侧布局区间；债券策略短期虽有企稳，后续仍需关注央行操作情况；在震荡行情中，CTA套利和中性策略或有平稳表现。 上周，两市日均成交额达到1.51万亿，较前期有所下降；国内市场指数方面，A股宽基指数全部下行，创业板指数跌幅最大，达到3.34%。量化股票超额方面，指标共振强度仍在下行区间，超额环境继续处于偏弱状态。私募策略方面，截至3月14日，指增策略周度表现优于中性策略。 上周，商品市场震荡偏弱，中证商品期货指数周度下挫0.75%，五大细分板块走势出现分化，贵金属板块领涨，黑色建材板块领跌。CTA因子方面，持仓因子、动量因子走强，期限结构因子、波动率因子走弱。私募策略方面，截至3月14日，CTA趋势策略周度表现优于CTA套利策略。 ⼆、权益市场表现 （⼀）主要市场指数表现情况 市场主要指数中，上证综指的涨跌幅为-1.6%，由3419.56下跌至3364.83；恒生指数的涨跌幅为-1.13%，由23959.98下跌至23689.72；纳斯达克的涨跌幅为0.17%，由17754.09上涨至17784.05；中证商品的涨跌幅为-0.75%，由1963.82下跌至1949.16；中证全债的涨跌幅为0.01%，由255.32上涨至255.36。 国内权益市场主要指数中，创业板指的涨跌幅为-3.34%，由2226.72下跌至2152.28；上证50的涨跌幅为-2.38%，由2740.51下跌至2675.36；沪深300的涨跌幅为-2.29%，由4006.56下跌至3914.7；中证500的涨跌幅为-2.1%，由6099.98下跌至5971.93；中证1000的涨跌幅为-2.52%，由6571.17下跌至6405.61。 （⼆）⾏业与⻛格市场表现情况 上周中信一级行业指数中，建材、家电、石油石化、电力及公用事业和综合等板块涨幅靠前，涨跌幅分别为1.38%、1.18%、1.05%、0.73%和0.24%，表现靠后的行业有计算机、传媒、电子、食品饮料和商贸零售，涨跌幅分别为-5.61%、-4.64%、-4.22%、-3.99%和-3.84%。中信风格指数全部下行，其中成长风格领跌，跌幅为3.26%；市场风格指数全部下行，其中大盘成长风格领跌，跌幅为2.89%。 三、商品市场表现 上周，商品市场震荡偏弱，中证商品期货指数周度下挫0.75%。五大细分板块走势出现分化：贵金属领衔上涨、周度冲高1.26%，有色金属延续上行、周度上扬0.17%；能源化工微幅波动、周度下探0.02%，农产品周度收益回吐0.8%，黑色建材宽幅下行、周度向下2.68%。CTA策略跟踪指标中，中证商品期货指数波动率滚动20日平均波动率低位震荡，持仓因子、动量因子走强，期限结构因子、波动率因子走弱。 四、公募基⾦表现 （⼀）公募基⾦业绩追踪 上周公募基金中，策略多数收跌，其中偏股混合型基金跌幅最大、下跌2.25%，指数型基金跌幅也达到2.93%，仅QDII基金收涨、涨幅为1.14%。剔除首尾各1%的极端值后，普通股票型、偏股混合型和灵活配置型基金中，周度平均收益率为-2.18%，中位数为-2.0%；短期纯债券型基金和中长期纯债券型基金中，周度平均收益率为0.16%，中位数为0.17%。 （⼆）主动管理公募持仓跟踪 据中信产业分类，对公募基金最近一期持仓数据进行汇总并筛选：1）剔除投资于某一特定产业的基金：2）剔除成立不满3个月