Research On The Portfolio Allocation Of CTA Quantitative Investment

In recent years,the scale of asset management in our country has become larger and larger.The scale of asset management in banks,securities companies and trusts has always been the largest,which has an unparalleled advantage in the asset management industry.However,as a subsidiary of the securities company,the asset management scale of the futures company has not full competitive advantage.Since November 2011,18 futures companies in China have been qualified to carry out asset management business.The development of this business has brought opportunities for the development of futures companies in China.However,since the implementation of the asset management business of futures company,the asset management business of the company has always been dominated by channel business,and the asset management plan is also in the form of "one-to-one",which is relatively single and slow to develop.On December 4,2014,the asset management business management rules of futures companies(Trial)was released,and the "one to many" business model of futures companies was formally implemented,which opened a new door for the development of futures companies.With the implementation of the new regulations on asset management,the scale of asset management in China has made a qualitative leap.Banks have also established financial subsidiaries,and securities companies have also made large-scale capital injection to futures subsidiaries,which is a good opportunity for futures companies.However,there are still many deficiencies in the asset management team of futures companies,even compared with private equity institutions.In the asset management business model of futures company,although it has been de channelized for a long time,it is still dominated by channel business.The second is fof products,which are mainly invested in external teams and equipped with excellent fund teams in the market.These businesses are passive investment,not the core competitiveness of the asset management business of futures companies.China Fund Industry Association approved and disclosed the asset management statistics and business ranking of securities companies in the second quarter of 2019.As of June 30,the scale of private asset management business of securities companies and their subsidiaries was 12.53 trillion yuan,and the scale of active management of most securities companies was gradually increasing.Therefore,under the background of "big asset management era",futures companies should also vigorously develop asset management team and implement active investment.The cultivation of asset management team needs to be well configured in all aspects.At present,the asset management team of futures companies mainly focuses on CTA quantitative investment and traditional subjective trading,followed by arbitrage trading.Some futures companies will have their own risk management subsidiaries to hedge the risk of futures companies.The asset management team of the company should first have its own core trading strategy,and do a good job in strict risk control and reasonable position adjustment.In this paper,110 strategies and 13 futures of CTA quantitative investment products of company A are taken as the research objects,and the strategic portfolio optimization scheme and position adjustment opportunity of CTA quantitative investment are analyzed.Based on the risk parity model and Markowitz’s mean variance model,this paper uses the time series analysis method to adjust the risk dynamically and study the optimal time of position adjustment through different time windows and rolling ways of different periods.Finally,the two models and the income curve after dynamic adjustment of risk level are evaluated,and the expected conclusion is drawn.