中金2026年展望 | 量化策略：随“集”应变（要点版）

Core Viewpoint - The report explores whether the advantages of quantitative investment strategies can be sustained in the A-share market environment of 2026, emphasizing the importance of market mode shifts between "consensus" and "divergence" markets in determining the effectiveness of different strategies [2]. Market Outlook - The company maintains a mid-term optimistic outlook for the A-share market in 2026, supported by various quantitative timing systems and technical indicators pointing to a healthy market environment [3][20]. - The style preference has shifted towards large-cap stocks, indicating a systemic change in the indicators affecting style returns [3][20]. Market Mode Shifts - The A-share market has shown distinct cyclical characteristics, alternating between "consensus" and "divergence" markets, which is crucial for assessing future strategy effectiveness [6]. - In the "consensus" phase (2017 and 2019-2021), investment strategies relied on deep research to identify core sectors and leading companies, favoring active management strategies [6]. - The "divergence" phase (2022 to mid-2025) saw a lack of consensus, leading to high-frequency switching among sectors, where quantitative strategies with systematic and diversified characteristics thrived [7]. Alpha Sources Transition - The evolution of market modes is accompanied by a shift in sources of excess returns (Alpha). In divergence markets, "trading Alpha" is predominant, focusing on capturing short-term pricing inefficiencies [11][12]. - In consensus markets, "cognitive Alpha" becomes more significant, emphasizing accurate predictions of future fundamentals and deep understanding of industry trends [12]. Market Concentration as an Indicator - Market concentration is identified as a key indicator for measuring market mode evolution and Alpha source transitions. Low concentration corresponds to divergence markets, rewarding breadth, while high concentration aligns with consensus markets, rewarding depth [13][14]. - The report predicts a return to a "central uplift platform period" for market concentration in 2026, following a recovery from historical lows [17][18]. Future Market Dynamics - The first phase of market concentration evolution is expected to see a return to historical median levels as AI themes gain acceptance, benefiting expert-driven active funds [17]. - The second phase is anticipated to enter a "weak equilibrium" platform oscillation in 2026, characterized by a dual-driven growth pattern from technology and traditional industries, which may limit rapid increases in institutional concentration [18]. Quantitative Strategy Advantages - In the anticipated "central uplift platform period," the complexity of the market may favor advanced quantitative strategies that can integrate depth (understanding main lines) and breadth (capturing rotations) [19].