金融工程报告 · 跟踪研究 量化基金周报 2026 年 1 月 12 日 核心观点（20260109）： 分析师 吴俊鹏 ：010-8092-7631 ：wujunpeng@chinastock.com.cn 分析师登记编码：S0130517090001 相关研究 www.chinastock.com.cn 证券研究报告 请务必阅读正文最后的中国银河证券股份有限公司免责声明 1 沪深 300 指数增强基金表现较好。本周沪深 300 指数增强基金超额收益中 位数为-0.05%，中证 500 指数增强基金超额收益中位数为-1.77%，中证 1000 指数增强基金 超额收益 中位 数为-0.73%。其它指 数增强 基金本周收益 中位数 为 0.28%；绝对收益（对冲）类型基金本周收益中位数为-0.11%；其它主动量 化类型基金本周收益中位数为 4.41%。 其它策略基金表现。本周定增主题基金收益中位数为 2.91%；提取业绩报酬 的 基 金 本 周 收 益 中 位 数 为 2.91%； 行 业 主 题 轮 动 基 金 本 周 收 益 中 位 数 为 4.48%；多因子类型的基金本周收益中位数为 5.54%；大数据驱 ...

金工量化周报 开年首周，500 指增平均超额回撤逾 1% 量化基金业绩跟踪周报（2026.01.05-2026.01.09） 核心结论 周度业绩：本周（2026.01.05-2026.01.09），公募沪深 300 指增平均超额收 益-0.10%，实现正超额收益的基金占比 45.45%；公募中证 A500 指增平均 超额收益-0.35%，实现正超额收益的基金占比 19.12%；公募中证 500 指增 平均超额收益-1.79%，实现正超额收益的基金占比 0.00%；公募中证 1000 指增平均超额收益-0.79%，实现正超额收益的基金占比 8.70%；公募主动量 化基金平均收益 4.17%，实现正收益的基金占比 98.81%；公募股票市场中 性基金平均收益-0.07%，实现正收益的基金占比 36.36%。 月度业绩：2026 年 1 月（截至 2026.01.09），公募沪深 300 指增平均超额 收益-0.10%，实现正超额收益的基金占比 45.45%；公募中证 A500 指增平 均超额收益-0.35%，实现正超额收益的基金占比 19.12%；公募中证 500 指 增平均超额收益-1.79%，实现正超额收益的 ...

| 序号 | 交易营业部名称 | | 买入金额(万) | 占总成交比例 | | --- | --- | --- | --- | --- | | 1 | 沪股通专用 | 540次 49.07% (7) | | | | 2 | 瑞银证券有限责任公司上海花园石桥路证券营业部 | 405次 46.42% | | | | 3 | 高盛(中国)证券有限责任公司上海浦东新区世纪大道证券营业部 | 516次 41.86% | | | | 4 | 国泰海通证券股份有限公司北京知春路证券营业部 | 51次 52.94% | | | | 5 | 国泰海通证券股份有限公司宜昌沿江大道证券营业部 | 22次 81.82% | | | | | (买入前5名与卖出前5名)总合计: | | 41629.03 | 21.96% | 鲁信创投(600783.SH)今日涨停，换手率11.29%，成交额18.96亿元。龙虎榜数据显示，游资"陈小群"位列买一席位，买入2.02亿元；"量化基金"位列买三、 买五席位，买入9356万元。上榜席位全天买入4.16亿元，卖出1.73亿元，合计净买入2.43亿元。(格隆汇) | 买入金额最大的前5名 | | - ...

Core Insights - The company achieved a total profit of 1.843 million in 2025, with a return rate of 33.89% [1][14] - The company primarily operates three investment accounts: on-exchange ETF account, off-exchange fund account, and advisory portfolio account [1] On-Exchange ETF Account - The on-exchange ETF account reported a profit of 438,046.77, with a return rate of 39.01% for 2025 [4] - The account's core holdings include Hong Kong innovation drug ETF, Hong Kong technology ETF, and Hong Kong consumer ETF, focusing on the Hong Kong market [4][5] - The account has shown stability, with 9 out of 12 months being profitable, indicating a monthly win rate of 75% [4] Off-Exchange Fund Account - The off-exchange fund account has assets of 5.4 million, with a profit of 1.325 million and a return rate of 33.89% [3][8] - The account's main holdings are in resource and technology funds, with significant contributions from resource funds [9] - The account has also shown stability, with 8 out of 12 months being profitable, resulting in a monthly win rate of over 66% [9] Advisory Portfolio Account - The advisory portfolio account has assets exceeding 1.2 million, with a cumulative profit of around 80,000 [13] - The portfolio focuses on long-term investments, with holdings in various funds, including medical and consumer sectors [13] - The account's strategy includes maintaining a maximum position of 15% in any single sector to manage risk [12][13] Market Outlook for 2026 - The company plans to adopt a more defensive strategy in 2026 due to high valuations in the A-share market, while the Hong Kong market remains relatively reasonable [17][18] - The company aims to reduce its overall position to around 60% if the market continues to rise, focusing on undervalued sectors with potential [21] - Key sectors for 2026 include Hong Kong technology, defense industry, and innovative pharmaceuticals, which together represent 50% of the overall portfolio [26][27]

今年以来，债券基金发行占比明显回落，股票型基金强势登上"C位"。 数据显示，今年以来，公募基金新发数量创近四年新高。其中，股票型基金新发规模超过4000亿份，超越2021年创下的历史纪录。 公募基金新发数量创近四年新高 数据显示，截至12月22日，今年以来已有1469只新基金成立（仅统计初始份额），发行数量创近四年新高，合计发行份额达11358.88亿份。 | | | | 新成立基金 | | | --- | --- | --- | --- | --- | | 截止日期 | 总数 | 发行份额(亿份) | 平均发行份额(亿份) | 截止日份额(亿份) | | 2025年 | 1,469 | 11,358.88 | 7.73 | 8,500.29 | | 2024年 | 1,135 | 11,838.33 | 10.46 | 10,045.15 | | 2023年 | 1,272 | 11,495.60 | 9.08 | 11.349.62 | | 2022年 | 1,457 | 14,927.91 | 10.32 | 13,841.50 | | 2021年 | 1,907 | 29,468.69 | 15.59 ...

| 序号 | | 交易营业部名称 | | | 买入金额(万) | 占总成交比例 | | --- | --- | --- | --- | --- | --- | --- | | 1 | 机构专用 | | 1562次 40.91% | 2 | 9330.30 | 3.43% | | 2 | 机构专用 | Castmoney.com | 1562次 40.91% | ▲ | 7223.17 | 2.66% | | 3 | 机构专用 | | 1562次 40.91% | ▲ | 7085.19 | 2.60% | | 4 | 机构专用 | | 1562次 40.91% | ▶ | 5658.45 | 2.08% | | 5 | 中国银河证券股份有限公司宜昌新世纪证券营业部 | | 16次 37.50% | A | 4984.07 | 1.83% | | | 卖出金额最大的前5名 | | | | | | | 序号 | | 交易营业部名称 | | | 买入金额(万) | 占总成交比例 | | 1 | 机构专田 | | 1562 7 10 010/ | | 0320 30 | 2 120/ | | | 机构专用 | 156 ...

年度业绩：2025YTD（截至 2025.12.12），公募沪深 300 指增平均超额收益 -0.24%，实现正超额收益的基金占比 40.68%；公募中证 A500 指增平均超 额收益 1.04%，实现正超额收益的基金占比 75.00%；公募中证 500 指增平 均超额收益 0.64%，实现正超额收益的基金占比 58.46%；公募中证 1000 指增平均超额收益 7.52%，实现正超额收益的基金占比 89.13%；公募主动 量化基金平均收益 26.64%，实现正收益的基金占比 97.51%；公募股票市场 中性基金平均收益 1.03%，实现正收益的基金占比 59.09%。 金工量化周报 大盘指增和中小盘指增超额收益出现分化 量化基金业绩跟踪周报（2025.12.08-2025.12.12） 核心结论 周度业绩：本周（2025.12.08-2025.12.12），公募沪深 300 指增平均超额收 益 0.21%，实现正超额收益的基金占比 71.62%；公募中证 A500 指增平均 超额收益-0.04%，实现正超额收益的基金占比 45.59%；公募中证 500 指增 平均超额收益-0.44%，实现正超额收益的基金占 ...

以下文章来源于领航配置 ，作者莱卡 领航配置 . 应对 > 预测，帮认可分散配置理念的私募投资者做好资产配置。 在上一篇 不靠运气，不赌方向，量化基金到底怎么赚的钱？ 我们介绍了量化股票策略到底是怎 么赚钱的，量化赚钱的方法和主观到底有什么本质区别，这一篇我们再来接着介绍一下如何区分 不同的量化基金、量化策略啥时候失灵、量化策略在组合中的作用。 不同量化 基金 之间的区别？ 知道了量化策略到底是怎么赚钱之后，我们就可以更好地从以下几个维度去拆解一只量化基金： 1）收益来源：赚Beta+Alpha，还是纯Alpha？ 最主流的指增策略，赚的就是Beta+Alpha的钱，基金经理会选定一个市场指数作为基准Beta， 模型会复制指数的大部分成分股进行跟踪，再留出一定的仓位用来增强。 既然有Beta+Alpha，那就会有人想要纯Alpha策略，也就是市场中性。它在指增策略的基础上， 会同时做空等值的股指期货，就像左手买入500指增，右手卖出500期货，把大盘的涨跌对冲 掉，只获得Beta之外的Alpha，这部分收益就不会跟随市场Beta的涨跌而上下起伏，成为一种绝 对收益产品。在这里我们先不对中性策略做过多展开，后面 ...

| 序号 | 交易营业部名称 | | | 买入金额(万) | 占总成交比例 | | --- | --- | --- | --- | --- | --- | | 1 | 沪股通专用 | 558次 47.49% | 2 | 24412.45 | 3.85% | | 2 | 国信证券股份有限公司浙江互联网分公司 | 388次 32.47% | A | 7450.25 | 1.17% | | 3 | 中信证券股份有限公司上海分公司 | 326次 45.40% | ▶ | 6159.01 | 0.97% | | 4 | 华泰证券股份有限公司岳阳岳阳大道证券营业部 | 14次 64.29% | A | 5929.70 | 0.93% | | 5 | 华泰证券股份有限公司深圳前海证券营业部 | 38次 36.84% | ▲ | 5844.27 | 0.92% | | | 卖出金额最大的前5名 | | | | | | 序号 | 交易营业部名称 | | | 买入金额(万) | 占总成交比例 | | 1 | 国泰海通证券股份有限公司上海长宁区江苏路证券营业部 | 187次 49.20% | 2 | | | | 2 | 沪股通专用 ...

Core Viewpoint - The article emphasizes the importance of understanding investment strategies and the challenges faced by ordinary investors in selecting stocks and timing their trades, suggesting that asset allocation may provide a more stable approach to investing [7][36]. Group 1: Investment Understanding - There are four levels of investment understanding, with most people mistakenly believing they are at a higher level than they actually are, as only 10% of market participants are profitable [3][5]. - The article summarizes insights from a deep interview with investor Duan Yongping, highlighting his intuitive grasp of business despite acknowledging his own limitations in understanding [4][7]. Group 2: Stock Selection Challenges - Three methods of stock selection are discussed: technical trading, value investing, and copying successful investors, with each method presenting significant challenges [8][28]. - Technical trading is discouraged as it is likened to giving money to quantitative funds that operate with high speed and accuracy [9][10]. - Value investing requires deep understanding of companies, which is difficult for most ordinary investors due to a lack of experience and time [12][20]. - Copying the trades of successful investors can lead to poor outcomes due to information lag and lack of understanding of the underlying investment logic [24][25]. Group 3: Timing the Market - Timing the market is presented as another difficult aspect of investing, with Duan Yongping focusing on "margin of safety" when buying and "opportunity cost" when selling [30][33]. - Most ordinary investors struggle with these concepts as they require a deep understanding of the companies involved [34]. Group 4: Asset Allocation as a Solution - Asset allocation is proposed as a viable alternative to stock selection and timing, as it leverages the natural relationships between different asset classes [36][39]. - By diversifying investments across various asset classes, investors can achieve internal hedging, allowing for stable returns regardless of market conditions [41][44]. - The article highlights that asset allocation does not require precise market timing, making it a more accessible strategy for ordinary investors [46][52]. - Rebalancing strategies can further enhance returns by allowing investors to sell high-performing assets and buy underperforming ones, thus smoothing out the investment curve [55][58].