私募基金2022年10月业绩速览及投资前瞻

22022 10-4.82%7.70%10资料来源：，国金证券研究所9资料来源：，国金证券研究所10.68%-11.65%5%-12.55%4.29%-13.87%资料来源：，国金证券研究所1012.31%-12% -17%10资料来源：，国金证券研究所78资料来源：，国金证券研究所10资料来源：，国金证券研究所↓↓↓↑2022 10500-12.04%-7.78%1.63%50 30012.38% 9.84% 8.40%CTA资料来源：，国金证券研究所1010资料来源：，国金证券研究所1210资料来源：朝阳永续，国金证券研究所产品管理人近一月近三月近六月近一年近两年近三年最大回撤今年以来策略标签本利达利磐期货量化壹号本利达资产4.94%9.49%16.97%16.72%--12.37%19.21%短周期宏锡2号宏锡基金2.16%-3.11%6.99%13.16%28.04%67.53%15.66%16.40%中周期信弘罄宜1号信宏天禾资产2.14%-4.10%-3.16%---8.83%2.62%短周期象限1号象限资产1.77%0.60%5.50%14.11%38.23%104.42%3.42%17.64%中周期蒙玺纯达二期蒙玺投资1.75%0.07%-3.95%4.87%15.13%34.69%7.56%7.56%短周期SAP智龙3号智龙资本1.65%6.73%-0.32%-5.13%5.77%18.22%13.06%0.57%短周期量道CTA精选1号量道投资1.49%-9.35%-16.35%1.17%26.64%123.10%19.31%1.80%中周期宽投常晴宽投资产0.59%1.13%0.59%5.10%14.85%34.51%6.26%5.98%中周期中舍钱江一号CTA中舍资产0.36%-0.81%0.44%6.54%31.11%-2.87%6.74%中周期宽投量化三号宽投资产0.25%0.28%-0.49%1.19%15.40%46.15%5.53%1.34%中周期九坤量化CTA私募1号九坤投资0.23%-1.41%-5.31%-3.10%10.27%36.34%7.61%-1.18%短周期均成CTA1号均成资产0.22%-2.27%-6.78%26.07%61.55%167.79%22.47%26.90%中周期涵德盈冲量化CTA1号涵德投资0.10%-0.14%-6.40%2.67%28.02%82.62%7.44%1.37%短周期鼎一兑弈量化鼎一私募0.08%-3.41%7.29%18.69%39.45%67.04%9.99%18.69%短周期华澄1期华澄投资0.06%-4.05%-10.77%-5.87%-6.58%20.49%13.50%-4.51%短周期宣夜投资CTA稳流一期宣夜投资-0.31%-0.48%-2.94%-3.63%21.11%-5.27%-1.93%中周期思勰投资-思新四十七号思勰投资-0.39%0.53%3.87%17.87%29.99%52.24%12.56%18.51%中周期皓邦尊享CTA1号德贝私募-0.39%-2.54%-7.20%---8.05%5.41%中周期致远CTA精选2期富善投资-0.59%-1.11%1.06%4.97%31.71%94.67%8.23%5.09%中周期傲创铂林3号傲创资产-0.69%-1.14%-1.08%30.69%74.87%-3.39%24.86%短周期鸣熙夸克二号鸣熙资产-0.99%-1.59%-6.90%1.48%4.57%9.22%12.20%1.76%短周期量客中宇一号量客投资-1.17%-9.52%-12.49%4.30%--15.46%3.61%中周期道微乘风破浪量化进取1号道微投资-1.19%-0.70%7.86%6.91%31.16%-8.43%11.74%短周期思博量道十五号思勰投资-1.49%0.23%0.22%1.58%7.01%19.90%5.58%1.70%短周期芷瀚量化CTA激进一号芷瀚资产-1.51%-2.45%2.07%14.31%38.47%71.43%6.25%14.55%中周期会世元丰CTA1号会世资产-1.65%-3.99%-7.85%4.67%23.36%49.13%9.31%4.36%中周期毓颜言商1号毓颜投资-2.25%-3.96%2.55%4.70%25.14%97.14%11.76%5.32%中周期旭诺CTA一号旭诺资产-4.05%-9.71%-2.77%-6.95%18.30%68.26%12.33%-6.05%中周期资料来源：朝阳永续，国金证券研究所产品管理人近一月近三月近六月近一年近两年近三年最大回撤今年以来策略标签从石1号从石私募8.78%8.45%11.13%7.80%55.13%176.04%23.42%6.10%主观期货泓湖稳宏宏观策略泓湖投资1.33%0.48%-1.40%-3.62%131.59%219.41%18.23%-4.23%宏观策略黑翼CTA二号黑翼资产0.81%-1.19%-2.51%---5.62%9.50%长周期凯丰宏观策略9号凯丰投资0.67%-0.26%12.68%-5.87%19.64%47.16%22.92%-6.13%宏观策略浙江白鹭量化CTA一号白鹭资管0.26%-4.99%-5.10%4.24%32.87%92.34%7.83%7.05%长周期富励业长江1号宏观量化富励业私募0.18%2.53%5.88%18.00%--11.68%22.23%长周期杉阳云杉量化1号杉阳投资0.14%3.58%6.40%---0.94%7.90%主观期货珏朔朴道量化CTA稳健一号珏朔资产0.12%-1.25%-2.93%-0.42%17.91%45.27%6.61%1.90%长周期景上源1号景上源投资0.11%0.61%-0.99%0.80%29.47%60.11%12.94%-0.62%主观期货明得浩伦CTA一号明得浩伦投资-0.11%-3.56%-0.59%---8.31%3.06%长周期盛冠达CTA基本面量化1号盛冠达资产-0.19%-0.52%-7.41%-7.70%5.22%32.80%12.81%-6.74%量化基本面鑫岚龙腾1号鑫岚投资-0.41%-4.93%-0.33%-8.12%26.31%91.27%18.41%-5.86%宏观策略千象1期千象资产-0.64%-5.68%-6.83%1.98%19.61%41.64%9.43%4.02%长周期泽源清源CTA一号泽源投资-0.68%-2.98%-2.31%-9.16%--10.19%-7.88%量化基本面量信量化2期量信投资-0.69%-3.86%-18.70%-13.21%12.56%60.85%23.05%-10.63%长周期珺容翔宇CTA2号珺容资产-0.75%-5.92%-15.97%-2.99%22.76%63.62%16.69%-0.15%长周期半夏宏观对冲半夏投资-0.86%-4.67%5.08%4.37%72.98%163.78%12.95%-3.87%宏观策略汇艾资产-稳健1号基金汇艾资产-0.99%0.29%1.15%4.51%21.48%38.04%2.92%3.29%主观期货白鹭商品价值投资1号白鹭资管-1.15%-7.32%-10.44%11.61%--11.65%10.62%量化基本面君拙玉泉二号君拙投资-1.17%-3.05%-6.42%-3.84%-3.88%6.39%10.32%-3.38%量化基本面乐瑞宏观配置基金乐瑞资产-1.54%-2.26%-8.28%-16.90%-8.29%12.78%28.21%-9.27%宏观策略洛书尊享CTA拾壹号洛书投资-2.60%-2.75%-19.13%0.87%32.19%121.28%21.31%-2.43%长周期阳泽泽丰另类量化1号阳泽投资-2.66%-5.26%-4.43%3.98%11.99%54.68%8.24%0.28%量化基本面众壹量合乾坤一号众壹资产-3.00%-9.32%0.96%12.88%29.60%53.79%10.30%6.95%主观期货鸿凯进取5号鸿凯投资-3.11%-2.48%-0.99%-8.57%2.75%73.26%26.72%-3.94%宏观策略元葵天时元葵资产-3.72%-10.09%-1.99%-15.34%12.47%70.56%18.53%-14.10%宏观策略资料来源：朝阳永续，国金证券研究所16波动是CTA策略获取收益的核

分散投资于多种品种和板块，心，无论任何持仓周期、趋势

是CTA风控的核心。当各品种或套利，都依赖策略对应周期、和板块相关性上升，分散投资对应维度的波动，来获取收益。对风险的平滑效果下降。容易使产品回撤。2022CTA↓↓↓18◼◼CTACTA◼12◼19◼CTA地缘政治俄乌局势难料，无论是战事，还是相关地区和国家的贸易政