市场波动加大 排名居前团队表现稳定
作者:谭亚敏  2018/10/15 22:22:38  来源:原创  浏览:563

  聚焦大商所2018年十大期货投研团队评选



   大商所2018年十大期货投研团队评选开展以来,虽然各品种基本面的变化较大,但不少排名靠前的团队表现较为稳定。
   截至10月12日,鲁证期货1队以39.38分暂居全品种组总成绩第一,锦泰期货1队以38.97分暂居全品种组总成绩第二,光大期货1队以38.97分排在全品种组总成绩第三。期权组方面,银河期货期权队以42.75分暂居第一,中投期货期权队以42.66分位居第二,冠通期货期权队以41.58分暂居第三。
   与2016年和2017年的评选相比,今年评选期间品种波动较大,团队可操作的品种更多,各团队的操作风格迥异,单边的、对冲的,单板块的、全品种的,短线的、中长线的,大家发挥各自优势,展现各自特长,整体表现可圈可点。
   期货日报记者发现,评选赛程近半,参评团队整体可分为激进型和保守型两类。激进型以单边交易为主,而保守型则以合约间套利或者品种间对冲为主。
   “我们团队的模拟交易属于激进型,但仓位会有所控制,主要是做多鸡蛋期货。在前期价格较低、市场趋势比较明朗时建立的头寸比较多,随着价格的上涨,我们的仓位逐渐降低,鸡蛋期货价格的走势和表现基本符合我们预期。”鲁证期货研究所副所长孟宪强对期货日报记者说。
   激进型团队的模拟交易收益率容易出现大幅波动,比如9月焦煤和焦炭等黑色品种价格以下跌为主,做空的团队收益率上升很快,但10月以来这些品种价格又开始大涨,前期做空的团队如果没有平仓,收益率回撤会比较大,同时还会影响夏普指数。而保守型团队虽然收益率上升不是太快,但整体相对稳定,抵御行情大幅波动的能力强,夏普指数自然也会高一些。目前,总成绩暂居前十的团队中,有不少团队收益率不高,但夏普指数较高且回撤较小。
   评选开展以来,不少品种的价格波幅较大,这为参评团队提供了不少操作机会。
   “从品种上看,评选期间豆粕、鸡蛋、焦炭等品种强势上涨,各种操作都有机会。我们除做好自己的研究和操作外,也很关注其他团队的操作情况。我们经常查看收益率前20名团队的持仓,分析和学习他们的操作手法和策略运用。”光大期货1队领队王娜说。
   孟宪强向记者表示,国庆长假后市场波动较大,特别是焦炭等品种多空转换快且幅度大。长假后,他们团队也看多焦炭并提交了策略报告,但价格上涨太快,没有进场的机会。“近期国内外宏观经济面异常复杂,给商品市场带来了很多不确定性,市场行情较前期更难把握,我们团队的策略是抓确定性最高的行情机会,否则宁可等待。因此,我们除一直持有鸡蛋头寸外,目前没有进行其他品种操作。”他说。
   王娜告诉记者,正是基于正确的判断和合理的持仓,他们团队的收益率国庆长假后上升很快。对于焦炭后市,他们依然看多。“短期焦炭期货价格上涨过快,期现基差已大幅收窄,后期要关注焦炭现货价格能不能全面转涨。目前,我们团队考虑以稳健为主,策略上选择多焦炭、空铁矿石的套利操作。”王娜说。
   商品期货价格波幅加大,商品期权收益率排名靠前的团队是如何应对的呢?
   银河期货首席策略分析师沈恩贤介绍,结合团队研发优势,严格控制风险。今年的评选非常注重夏普比率和回撤比例控制,银河期货期权队严格控制这两个指标,在入场时机选择方面更加精准,然后抓住最稳定的那一段行情,只有这样,才能做到既提高收益率又能减少回撤。
   期权的买方风险相对有限,同时有获取较大盈利的可能。据了解,银河期货期权队主要选择作为买方,这样风险较低。国庆长假后,该团队只操作豆粕期权或豆粕期货,目前豆粕期权、豆粕期货的上涨幅度已经很大,继续追高的风险较大,该团队选择进行小波段操作。
   “评选赛程近半,我们期权团队下一步操作仍以稳健为主,然后寻找一些相对把握比较大、逻辑比较合理的机会进行操作。”沈恩贤说。

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