国内量化私募行业周报：更新至2024年7月26日

Industry Overview - The domestic quantitative private equity industry has significantly increased its share in the domestic private securities investment fund market and now holds a substantial influence on the market [1] - The industry is highly concentrated, with the top quantitative private equity firms managing over 50% of the total quantitative management scale [5] - The main products in the domestic quantitative private equity market include neutral products and index enhancement products [5] Market Performance - The stock market experienced a downturn in the week ending July 26, 2024, with most sectors declining [1] - Major broad-based indices showed negative returns: Shanghai Composite Index (-3.07%), Hang Seng Index (-2.28%), CSI 300 (-3.67%), CSI 500 (-2.78%), and CSI 1000 (-2.48%) [4] Quantitative Private Equity Performance Neutral Products - Performance data for neutral products from July 28, 2023, to July 26, 2024, shows varying returns among different private equity firms, with some firms achieving positive weekly returns while others experienced losses [6][7] Index Enhancement Products CSI 500 Index Enhancement - Absolute returns for CSI 500 index enhancement products were negative across all firms, with weekly returns ranging from -1.42% to -3.55% [9][10] - Excess returns for CSI 500 index enhancement products showed mixed results, with some firms achieving positive weekly excess returns while others had negative returns [11] - The performance trend of CSI 500 index enhancement products over the past year indicates a general decline, with some firms outperforming the benchmark [13] CSI 300 Index Enhancement - Absolute returns for CSI 300 index enhancement products were also negative, with weekly returns ranging from -2.55% to -3.56% [18][19] - Excess returns for CSI 300 index enhancement products were positive for most firms, with weekly excess returns ranging from 0.11% to 1.16% [20] CSI 1000 Index Enhancement - Absolute returns for CSI 1000 index enhancement products were negative, with weekly returns ranging from -1.18% to -3.15% [25][26] - Excess returns for CSI 1000 index enhancement products were positive for most firms, with weekly excess returns ranging from -0.70% to 1.33% [27] Quantitative CTA Products - Quantitative CTA products showed mixed performance, with some firms achieving positive weekly returns (e.g., 1.81% for one firm) while others had negative returns (e.g., -0.35% for another firm) [33][34] Key Firms and Products - The report lists several top quantitative private equity firms with assets under management exceeding 10 billion yuan, including firms like Efang, Qilin, and Jiukun [5] - Performance data for specific products from these firms is provided, highlighting their returns, volatility, and Sharpe ratios [6][7][9][10][11][18][19][20][25][26][27][33][34]