华宝聚合系列科普文章：市场中性策略多头端解析：量化选股模型如何决定你的收益上限

Report Overview - The report is a private equity fund special report focusing on the long - end analysis of market neutral strategies: quantitative stock selection, titled "How the Model Determines Your Return Cap" and is part of the Huabao Aggregation series of popular science articles [1] Core Viewpoint - The market neutral strategy, as an important pillar of the absolute return system, provides investors with a relatively stable return path through a long - short hedging mechanism [11] Section Summaries Market Neutral Strategy Long - end Construction Logic and Operational Characteristics - The long - end of the stock market neutral strategy constructs a stock portfolio with excess return capabilities through a systematic method, using a multi - level screening mechanism including initial screening based on core factors, further identification of targets, and dynamic adjustment to maintain risk balance. The strategy's return comes from the excess return difference between the long portfolio and the hedging instrument, and managers need to monitor key indicators and optimize the portfolio structure. The effectiveness of the quantitative stock - selection model is restricted by the market environment and requires parameter adjustment [5] Domestic Quantitative Model Development History - The development of the stock market neutral strategy's stock - selection method is coordinated with the capital market regulatory system. It has evolved from qualitative fundamental analysis in the early stage to the use of linear multi - factor models, and then to non - linear machine learning models and neural network models, affected by regulatory policies and market events such as the launch of margin trading and short - selling, the abnormal market fluctuations in 2015, and the implementation of registration systems [6] Secrets of Surviving Bull and Bear Markets: Survival Rules and Winning Logic of Neutral Strategies - The construction of quantitative models needs to balance historical rules and real - world changes. Investors should evaluate the strategy's full - cycle adaptability and the manager's ability to control drawdowns in special periods. Managers need to maintain the stability of core factors and establish a fast - response channel for new feature mining [7] How to Evaluate the Long - end of Market Neutral Strategies - Evaluating the long - end of market neutral strategies requires a multi - dimensional analysis framework, including examining the sustainability of returns and the completeness of the risk - control system. Ordinary investors should focus on the verifiability of the strategy's underlying logic, historical maximum drawdown, and the manager's ability to respond to market structure changes [9] Avoiding Three Cognitive Traps for Successful Neutral Strategy Investment - Investors should be aware of three cognitive blind spots: clarifying the essence of stock - selection logic, understanding the value of diversified allocation, and recognizing the inherent risk boundaries of the strategy. They should also check if the manager has a complete extreme stress - testing system [10]