以下文章来源于风云君的研究笔记 ，作者专注私募研究的 风云君在后台也收到了不少私信，其中有个听起来很小白，却很值得仔细研究的问题：量化指增 ，到底是怎么做增强的？ 先说结论，风云君认为增强主要来自两方面： 一是选股增强，二是交易增强。 选股增强 指数增强策略是在被动跟踪成分股的基础上叠加主动管理，力争获取超越指数的收益。 风云君的研究笔记 . 专注私募研究，洞察私募行业热点，私募策略、单品全面分析解析。更有高端专业的私募圈子-厚雪长 坡俱乐部(严格筛选，永久免费，知己同行) 不少管理人路演时，会拿出"每年能跑赢指数xx%"，作为佐证自家策略有效性的有利数据。 相较于对标指数，产品多挣的所谓"阿尔法收益"，最能体现各家管理人的核心竞争力。 随着今年来指增产品净值屡破新高，大家对指增策略的好奇度也越来越浓。 其中最为常见的选股模型是"多因子选股模型"。听起来很拗口，但其实用大白话来说，就是给股 票建立一套打分系统。 这套打分系统里存在很多考核标准，比如市盈率、股息率——叫做价值因子，比如成交量、收益 率——归类为量价因子，此外还有一些另类因子，比如新闻舆论、热搜榜单等等。 （图源网络） 从选股角度来看，实现增强的 ...

Core Viewpoint - The article emphasizes the importance of asset allocation as a crucial strategy for investors to manage risks and achieve stable returns in fluctuating markets [4][20][46]. Group 1: Understanding Asset Allocation - Asset allocation is described as the art of distributing investment funds across different asset classes, such as stocks, bonds, commodities, and cash, to minimize risk [5][6]. - The concept of "not putting all eggs in one basket" is highlighted, indicating that merely buying multiple funds is insufficient; true diversification requires spreading investments across various asset types [5][6]. - Benjamin Graham's 50-50 investment strategy is introduced, suggesting a balanced approach of allocating 50% to stocks for growth and 50% to bonds for stability, which serves as a safety net during market volatility [6][20]. Group 2: Performance Analysis of Different Strategies - A backtest of three investment strategies shows that the 50-50 allocation outperformed both all-stock and all-bond portfolios over a five-year period, with a cumulative return of +18.38% compared to -4.66% for the stock index [9][18]. - The all-stock portfolio exhibited high volatility, with a maximum drawdown exceeding 35%, while the 50-50 portfolio maintained lower volatility and drawdown levels [13][18]. - The all-bond portfolio, while initially underperforming, eventually surpassed the all-stock strategy due to its lower risk profile and quicker recovery from downturns [15][18]. Group 3: Advanced Asset Allocation Strategies - The article discusses modern asset allocation strategies, such as Ray Dalio's All Weather Portfolio, which aims for consistent performance across various economic conditions by diversifying into low-correlation assets [20][21]. - Harry Browne's Permanent Portfolio is also mentioned, advocating for an equal distribution of assets across stocks, bonds, gold, and cash to ensure stability regardless of economic fluctuations [21][22]. Group 4: Practical Implementation of Asset Allocation - The article outlines a practical approach for constructing a diversified fund portfolio, emphasizing the need to assess risk tolerance and investment goals before allocation [28][29]. - It suggests a three-part allocation strategy, including 15% in bonds, 70% in stocks, and 15% in commodities like gold, to balance growth and stability [25][26]. - Regular rebalancing of the portfolio is recommended to maintain the desired risk-return profile, ensuring that no single asset class dominates the portfolio [29][30]. Group 5: Advantages and Limitations of the Proposed Strategies - The diversified investment approach is praised for its ability to reduce risk and provide resilience during economic downturns, making it suitable for various market conditions [40][41]. - However, limitations such as regulatory constraints on QDII investments and the inherent volatility of A-shares are acknowledged, which may require investors to exercise discipline [41][42]. - The article concludes that while asset allocation may not yield overnight wealth, it serves as a reliable compass in the unpredictable investment landscape, promoting steady growth over time [46][47].

Core Viewpoint - Meituan aims to maintain a market share of 70% at all costs, but recent developments indicate a significant challenge to this goal as competitors like Alibaba and JD.com are rapidly increasing their market presence [2][11]. Market Dynamics - Alibaba's Taobao Flash Purchase and Ele.me have reported daily orders exceeding 90 million for two consecutive weekends, indicating a strong upward trend in order volume [2][8]. - The order punctuality rate for Taobao Flash Purchase remained stable at 96%, demonstrating its capability to handle a surge in demand despite adverse weather conditions [6][7]. - Meituan's effective market share may now be below 50%, as it faces stiff competition from Alibaba and JD.com, which together account for a significant portion of the market [8][11]. Competitive Landscape - The market is shifting towards a multi-platform competition model, moving away from a single dominant player, which is a more sustainable and healthy industry structure [11][12]. - Alibaba's strategy focuses on long-term sustainable growth rather than short-term gains, emphasizing effective and sustainable orders over artificial inflation of order numbers [9][15]. - Both Alibaba and Meituan have their strengths and weaknesses, with Alibaba's Taobao Flash Purchase showing rapid growth but lacking in certain operational efficiencies compared to Meituan [12][13]. Future Trends - The takeaway delivery market is undergoing significant transformation, presenting a large growth opportunity for all players involved, with the potential for a doubling of overall order volume [14][15]. - The competition is not merely a zero-sum game; rather, it is about enhancing service quality for consumers and merchants, which ultimately drives market growth [15].

Core Viewpoint - The article emphasizes the importance of both selecting the right company and buying at the right price in investment decisions, with a stronger focus on the reliability of the company first and then the price being reasonable [3]. Group 1: Investment Philosophy - Value investing is fundamentally about finding a price that offers a margin of safety compared to the intrinsic value of a company, making price a critical factor in investment decisions [4][5]. - The concept of "reasonable price" is often misunderstood; it is not about absolute numbers but rather the relationship between current money and future earnings [4][8]. - Buffett's investment decisions are not influenced by short-term market variables like index movements or economic cycles; instead, he focuses on whether the price is attractive relative to the company's intrinsic value [5][6]. Group 2: Historical Examples - Historical investments by Buffett, such as in Washington Post and GEICO, illustrate his strategy of buying when prices are low relative to intrinsic value, regardless of market conditions [6][7]. - Buffett's approach includes revisiting previous investments to determine if they are worth adding to, based on current pricing [6][7]. Group 3: Investment Mindset - The essence of investing is to find opportunities where the price is significantly lower than the intrinsic value, exemplified by the saying "buying $1 for $0.40" [8]. - Many investors focus on short-term price movements rather than the distance between current prices and intrinsic values, which can lead to missed opportunities [8][9]. - Buffett advocates for purchasing high-quality companies at reasonable prices rather than low-quality companies at low prices, as the former will likely appreciate in value over time [9].

Market Overview - The three major indices showed mixed results, with the Shanghai Composite Index up 0.17%, the Shenzhen Component down 0.77%, and the ChiNext Index down 1.62%. The total market turnover was 1.871 trillion yuan, an increase of 41.7 billion yuan from the previous day, with over 3,500 stocks declining [1]. Company Highlights Giant Star Legend and Yushutech Partnership - Giant Star Legend's stock surged by 30% in early trading, reaching a peak increase of 36%, and has risen 185% since July [2][3]. - The company announced a partnership with Yushutech to develop consumer-grade robots with strong IP attributes, focusing on four-legged robotic dogs or robots [5][8]. - Giant Star Legend plans to allocate approximately 38.2% (around 124 million HKD) of its recent fundraising to expand its retail channel network, including vending machines and smart mechanical devices [8]. Happiness Blue Sea's Box Office Success - The film production company Happiness Blue Sea saw its stock hit the daily limit of 20%, marking a 113% increase over five days, effectively doubling its stock price [9][10]. - The film "Nanjing Photo Studio," produced by Happiness Blue Sea, has grossed over 6.61 billion yuan in its first six days, with over 18 million viewers, breaking the record for the highest single-day box office in the past three years for the summer season [10][12]. Industrial Fulian's Stock Movement - Industrial Fulian's stock rose by 6.7% after reaching a peak increase of 9.81%, following announcements from its parent company, Hon Hai Precision, regarding significant news pending disclosure [13][14]. - There are market speculations about a potential important cooperation or acquisition plan between Hon Hai Precision and another major player, Dongyuan Electric, after their stocks were suspended from trading [15].

Core Viewpoint - The article emphasizes the importance of a diversified asset allocation strategy, particularly through the "three-part method," which has yielded a cumulative return of 9.32% this year, outperforming the benchmark index of 7.85% and the CSI 300's return of 5.11% [3][5]. Group 1: Performance Comparison - The use of the CSI 300 as a performance benchmark is deemed unfair for diversified portfolios, as the CSI 300 primarily represents large-cap stocks in traditional sectors like banking and energy [7][12]. - A multi-asset strategy, which includes stocks, bonds, and commodities, has shown superior performance over the past seven years, with a cumulative return of nearly 100% and an annualized return exceeding 10%, compared to the CSI 300's cumulative return of only 3.96% [14][16]. - The article highlights that during periods of market volatility, a diversified approach tends to outperform the CSI 300, while in strong bull markets, single-asset strategies may yield higher returns [15][21]. Group 2: Investment Methodology - Investors are encouraged to understand the risk-return characteristics of different strategies through performance benchmarks, which can help them identify suitable investment methodologies [19][20]. - The article notes that the CSI 300 has an annualized return of approximately 8% over the last 20 years, but with a maximum drawdown exceeding 70%, indicating a high-risk profile [20]. - A diversified asset allocation strategy can mitigate risks associated with market downturns while still achieving reasonable returns, suggesting a more favorable risk-return ratio compared to concentrated investments in the CSI 300 [21]. Group 3: Three-Part Method for Asset Allocation - The "three-part method" allows investors to customize their asset allocation based on their risk tolerance and return expectations, with a typical allocation being 60% stocks, 30% bonds, and 10% commodities [22][24]. - The article provides a detailed example of a diversified portfolio, including specific fund allocations, which aims to balance risk and return effectively [30]. - The three-part method promotes long-term investment through diversification across different asset classes, markets, and timing, thereby enhancing the potential for returns while reducing overall risk [30].

Core Viewpoint - The article discusses the recent bull market in the A-share market, emphasizing the importance of understanding market trends and investor psychology during periods of volatility [4][10]. Market Performance - The recent bull market lasted from the end of 2018 to the end of 2021, with the Wande All A index experiencing a maximum increase of 87.14% and a maximum drawdown of -16.4% due to the pandemic [4]. - There were 11 instances of drawdowns exceeding 5%, with an average recovery time of 38 days, and missing these recoveries could result in an average loss of 41% in potential gains [7][8]. Investor Sentiment - Investors have become more sensitive to drawdowns due to the prolonged bear market over the past three years, which has been compounded by economic downturns and declining incomes [8]. - The article suggests that to benefit from a bull market, investors must be mentally prepared to accept drawdowns, as avoiding them could lead to missed opportunities for gains [8][10]. Market Outlook - The long-term outlook remains positive, with the belief that any short-term pullbacks are likely part of the ongoing bull market rather than the start of a new bear market [10]. - The market is currently in an upward trend, supported by a positive cycle of increasing investment and market confidence [11]. Valuation and Comparison - As of July 25, the Wande All A index had a price-to-book ratio of 1.7, which is within a reasonable range compared to historical data [13]. - A-shares are relatively undervalued compared to other global indices, indicating potential for growth [15]. Policy Support - Continuous policy support from regulatory bodies is expected to maintain market stability and growth [18]. - The China Securities Regulatory Commission has expressed commitment to consolidating the positive market trend [18]. Capital Flow - The market is experiencing ample liquidity, with significant potential for incremental capital inflow as household savings remain high and interest rates decline [19]. - Foreign institutional investors are currently underweight in A-shares, suggesting room for increased investment from abroad [19]. Conclusion - The article concludes that in a bull market, short-term trading can be risky, and investors should maintain a long-term perspective and not exit the market prematurely [20].

Core Viewpoint - The article discusses the current state of the liquor industry, particularly the challenges faced by second and third-tier liquor companies, suggesting that the industry is entering a phase of performance decline, which may lead to significant price drops and a reevaluation of price-to-earnings (PE) ratios [2][3]. Group 1: Industry Performance - The liquor industry is experiencing a significant downturn, with many companies reporting poor mid-year results, leading to speculation about further declines in performance and valuation [2]. - Historical examples indicate that the anticipated phases of "killing performance" and "killing logic" may not occur as expected, as past performance declines have often already reflected negative market sentiment before official poor results are announced [3]. - The article highlights that the market often reacts prematurely to negative news, as seen in the cases of Yili and Dong'e Ejiao, where stock prices did not follow the predicted patterns of further declines after performance issues were revealed [3]. Group 2: Market Perception and Misconceptions - There is a tendency among investors to apply lessons from the real estate sector to the liquor industry, leading to an overly pessimistic outlook on liquor stocks [5]. - The liquor industry operates on a low-leverage model, contrasting with the high-leverage nature of real estate, which can lead to more severe consequences during downturns [5]. - The financial characteristics of real estate differ significantly from those of consumer stocks, as demand for liquor does not vanish in the same way that demand for real estate can during economic downturns [5][6]. Group 3: Supply and Demand Dynamics - The article posits that the liquor market will eventually reach a balance between supply and demand, as poor sales will force smaller producers out of the market, leading to a reduction in supply and a potential recovery in prices [6]. - In contrast, the real estate market faces challenges in reducing supply due to the nature of ownership and the presence of a large number of second-hand properties, complicating the recovery process [6].

Group 1: Market Performance - The three major A-share indices collectively rose, with the Shenzhen Component Index and the ChiNext Index reaching new highs for the year. The Shanghai Composite Index increased by 0.33%, closing above 3600 points, while the Shenzhen Component Index rose by 0.64% and the ChiNext Index by 1.86%. The total trading volume in the Shanghai and Shenzhen markets reached 1.8032 trillion yuan, an increase of 60.9 billion yuan compared to the previous day [1]. Group 2: Innovation Drug Sector - The Hong Kong innovation drug index has more than doubled since the beginning of the year, achieving a growth of over 105% [2][3]. - WuXi AppTec reported a revenue of 20.799 billion yuan for the first half of 2025, a year-on-year increase of 20.64%, with net profit reaching 8.56 billion yuan, marking a 101.92% increase. The company also announced its first-ever interim dividend plan, proposing a cash dividend of 3.5 yuan per 10 shares, totaling approximately 1 billion yuan [5]. - The total amount of outbound licensing for Chinese innovative drugs has surged, with a report indicating that the total amount for the first half of 2025 has approached 66 billion dollars, surpassing the total for the entire year of 2024 [5]. Group 3: CPO Sector - The CPO and computing hardware stocks showed strong performance, with Zhongji Xuchuang rising over 9% and reaching a historical high. The sector has remained active since mid-July, following Nvidia's announcement regarding H20 [6][9]. - Huawei showcased its Ascend 384 super node at the World Artificial Intelligence Conference, which integrates 384 Ascend 910C NPUs and 192 Kunpeng CPUs, achieving a computing power of 300 Pflops, surpassing Nvidia's NVL72 system [9]. Group 4: Maternal and Infant Industry - The maternal and infant industry saw a collective rise, particularly in the dairy sector, following the announcement of a child-rearing subsidy of 3600 yuan per child per year for children under three years old [10][11]. - Although the subsidy does not fully cover the average annual cost of raising a child, which is approximately 25,000 yuan, it signals significant policy support. The estimated fiscal input for 2024 based on projected birth rates is around 30 billion yuan [12]. - The subsidy is expected to boost consumption in the dairy sector, particularly in milk powder, and enhance market confidence as more birth-related policies are implemented [14].

Group 1 - The article emphasizes that ETFs will become the ultimate destination for most retail investors, allowing them to act as their own fund managers [1][4][5] - As of July 25, there are 458 indices tracked by ETFs, with 77 indices showing over 20% returns this year, indicating a bullish market [7][8] - The average return for non-money market ETFs this year is 9.02%, with a median return of 12.52% [9] Group 2 - The article highlights that the Hong Kong stock market has been a significant performer, with 38 out of the 77 bullish indices being Hong Kong indices [10][11] - Key themes in the market include the recovery of Hong Kong stocks, particularly in innovative pharmaceuticals and technology sectors, as well as resource stocks benefiting from demand expectations [11] - The article provides a detailed table of top-performing ETFs, with the Hang Seng Innovation Drug Index showing a return of 90.79% and a net inflow of 6.17 billion [12][13] Group 3 - The article discusses the importance of asset allocation, stating that no asset will always rise, but there will always be assets that are rising [20][21] - It mentions the concept of time diversification, where investors can buy in phases rather than trying to time the market perfectly [36] - The article concludes that the "three-part method" of investment emphasizes long-termism and risk diversification through asset, market, and timing allocation [56]