Group 1 - The core viewpoint of the news is that the number of index-enhanced funds in China has seen explosive growth in 2023, with a year-on-year increase of over 416%, driven by policy support, improved index systems, and rising investor demand [2][3][6] - As of November 27, 2023, 160 new index-enhanced funds have been established this year, raising over 888.47 billion yuan, indicating a significant expansion in the market [3][4] - The majority of these funds are focused on broad-based indices, with 272 products tracking major indices like CSI 300 and CSI 500, accounting for 60.04% of the total [4][5] Group 2 - A total of 97 public fund institutions are now involved in the index-enhanced fund market, with both large and small institutions participating [5][6] - Large institutions tend to adopt a broad approach in their fund strategies, while smaller institutions focus on niche areas and thematic indices to differentiate their products [5][7] - The development of index-enhanced funds presents both opportunities and challenges for public fund institutions, with the potential for long-term growth supported by policy, but increasing competition may compress excess return margins [6][7]

ABSTRACT 摘 要 择时展望： （ 1 ）从信用通胀的宏观角度，估值、风险溢价、情绪等微观视角观察， 2026 年 A 股总 体有望继续迎来慢牛回升。（ 2 ）本轮杠杆率上行主要为债务稳定，产出走弱，不同于以往，在见到 产出走强之前，宽松周期预期将大概率维持，自上而下看，权益市场上行弹性更大。（ 3 ）风险溢价 目前处于均衡区域，创业板指风格估值相对历史总体处于中位数水平。（ 4 ）情绪视角看，股价处于 200 日均线以上的个股占总体的比例，反应市场高低热度，该指标目前处于均衡区域。（ 5 ）使用卷 积神经网络对图表化的价量数据与未来价格进行建模，最新配置主题关注能源、高股息等。 风格与行业配置展望： （ 1 ）积极关注宏观政策环境变化，挖掘利好的方向及板块。我们预计随着宏 观经济环境的不断向好，明年市场宏观环境上可能迎来通胀改善上行趋势。 PPI 筑底上行趋势阶段， 小市值成长风格表现明显占优。小票及成长、消费等板块表现较为占优。按照风格指数表现上看，中信 消费及成长风格指数表现最佳，行业的表现中，靠前的行业分别为社会服务、美容护理、电力设备、医 药生物、电子等。（ 2 ）挖掘目前相对及绝对估值较低且 ...

中金量化 | 智策2026：量化年度展望与择时模型系列 15:30-16:00 嘉宾： 薛军丨中国银河证券党委副书记、总裁 尹艳林丨第十四届全国政协委员 单志广丨国家信息中心信息化和产业发展部主任 章俊丨中国银河证券首席经济学家、研究院院长 张迪丨中国银河证券宏观首席分析师 杨超丨中国银河证券策略首席分析师 01 中国银河证券 | 主论坛 - 2026年度策略报告会 9:00-12:00 核心看点： 向新质生产力转型的关键期，人工智能将如何成为2026年核心驱动力？中国银河证券 年度策略会，宏观经济学者与行业专家将揭示哪些投资主线？AI、新能源、量子科技等前沿领域， 哪些机会值得重点关注？这场思想盛宴会否为您解锁"十五五"开局之年的财富密码？ 扫码预约 02 核心看点： 中金量化及ESG团队将权威解读2026年量化策略展望，前瞻布局。同时聚焦成交数据 中的择时信号与期权波动率的实战应用，分享前沿量化择时模型，助力精准把脉市场节奏。 嘉宾： 陈宜筠丨量化及ESG分析师 郑文才丨中金公司量化及ESG分析师 扫码预约 03 瑞银展望2026：世界准备好迎接10亿台机器人了吗？ 16:00-17:00 核心看点： 一 ...

Core Insights - The article highlights the success of a participant, Shi Zhihao, in the 19th National Futures (Options) Trading Competition, attributing his achievement to a multi-dimensional and systematic execution of quantitative strategies [1] Group 1: Strategy and Execution - Shi Zhihao emphasizes the importance of stable execution and risk control in his trading strategy, stating that there were no "brilliant" trades, but rather a consistent performance from the strategy combination [2] - The strategy involves diversified allocation across different products, cycles, and strategies to mitigate extreme risks associated with single strategies, especially in a volatile market [2] - The trading framework covers approximately 70 products without subjective selection, relying on a quantitative system for opportunity identification [2] Group 2: Experience and Adaptation - Shi Zhihao's journey into quantitative trading began in 2016, initially motivated by arbitrage opportunities in graded funds, leading to a discovery of the appeal of quantitative trading through backtesting [3] - He faced significant challenges from mid-2022 to early 2023, experiencing a prolonged drawdown that led him to question the effectiveness of quantitative strategies [3] - The crisis prompted him to develop a multi-strategy hedging system, focusing on risk budgeting and absolute risk value assessment, shifting his focus from maximizing returns to ensuring survival [3] Group 3: Philosophy and Future Plans - The trading philosophy centers on engaging in activities with positive expected value, emphasizing the importance of a solid logical foundation rather than predicting short-term market fluctuations [3] - Future plans include optimizing risk control and multi-asset allocation, such as reallocating futures profits into stocks and bonds to reduce market risk [4] - Shi Zhihao advises new traders to adopt a quantitative framework to counteract emotional weaknesses, starting with small positions and focusing on the robustness of strategy logic [4]

金工策略周报 东证衍生品研究院金工首席分析师：李晓辉（CTA） 从业资格号： F03120233 投资咨询号： Z0019676 东证衍生品研究院金工高级分析师：常海晴（股指期货） 从业资格号：F03087441 投资咨询号：Z0019497 东证衍生品研究院金工高级分析师：徐凡（国债期货、基本面量化） 从业资格号： F03107676 投资咨询号： Z0022032 上海东证期货有限公司 股指期货量化策略 东证衍生品研究院金工高级分析师：常海晴（股指期货） 从业资格号：F03087441 投资咨询号：Z0019497 上海东证期货有限公司 股指期货量化策略跟踪周报主要内容 ★股指期货行情简评： 市场上周下跌。分行业看，有色、电子贡献了上证50主要的跌幅；电子、电力设备贡献了沪深300和中证500主要的跌幅；医药生物、电力设备贡献 了中证1000主要的跌幅。 各品种成交环比上行，IH、IF基差走弱，IC、IM基差走强。(股指期货基差=期货收盘价-现货收盘价) ★股指期货基差策略推荐： IH、IF基差走弱，IC、IM基差走强，IH维持升水、IF维持浅贴水、IC、IM维持深贴水。当前股指期货上的套保需求依然以空头 ...

Core Viewpoint - The article discusses the shift in investment strategies among private equity investors, highlighting a growing interest in dividend stocks as a safer investment option amidst market uncertainties [3][5][11]. Group 1: Market Sentiment and Investment Strategies - There is a noticeable shift from the initial enthusiasm for quantitative strategies to a more rational approach, with investors seeking more certainty in their investments [3]. - Concerns about market beta and the potential for high valuations in small-cap stocks have led to a preference for dividend-paying stocks [4][5]. - The Shanghai Composite Index faces a resistance level at 4000 points, prompting cautious behavior among investors as year-end approaches [4]. Group 2: Dividend Stocks as a Safe Haven - Dividend stocks are viewed as a natural hedge due to their higher dividend yields, providing stable cash flow and a safety net for investors [5]. - Companies that offer stable high dividends typically have lower valuations and stable cash flows, making them more resilient during market downturns [5][6]. - Historical trends show that during market volatility, funds tend to flow into dividend stocks as a defensive strategy [5][8]. Group 3: Portfolio Diversification and Risk Management - Dividend stocks can effectively hedge against aggressive investment styles, particularly those concentrated in small-cap stocks [6][11]. - The current market environment suggests an acceleration in sector rotation, which may further enhance the appeal of dividend stocks [8]. - Investors are increasingly adopting a "barbell" strategy, combining small-cap holdings with dividend strategies to balance their portfolios [8]. Group 4: Future Outlook for Dividend Stocks - The A-share premium for traditional dividend sectors is expected to rise, with the market anticipating a recovery in the AH premium index [10]. - Policies aimed at reducing competition and optimizing supply structures are likely to benefit high-dividend traditional industry leaders [10]. - Long-term confidence in A-shares is growing, with a focus on reducing volatility in investment returns [11].

Core Insights - The A-share market is experiencing high volatility with a decline in the performance of technology growth stocks, leading to a noticeable decrease in individual stock profitability [1][2] - Quantitative long strategies are facing significant challenges due to factor decay, rising costs, and stricter regulations, prompting a shift towards platformization, AI integration, and multi-strategy approaches [1][3] Performance Challenges - Since November, the market has entered a phase of index volatility and stock differentiation, putting pressure on quantitative long strategies [2] - Despite a marginal decline in market profitability in October, quantitative long products achieved an average return of approximately 0.93% and an excess return of 1.5%, outperforming subjective long strategies [1][2] - There is a clear performance divergence among leading and mid-tier quantitative firms in terms of excess returns since the fourth quarter [1][2] Strategy Iteration - The market's complexity has highlighted the operational challenges and evolution directions of quantitative strategies [3] - Key challenges identified include the decline in factor effectiveness, rising trading costs, and the need for compliance with regulatory requirements [3] - Leading firms are adopting multi-dimensional iterations, such as enhancing trend prediction across all frequency bands and improving algorithms to control slippage [3][4] Competitive Landscape - The year 2025 is anticipated to be favorable for quantitative strategies, with significant growth in performance, fundraising, and product registration [5] - The proportion of quantitative product registrations has increased significantly, with quantitative long products leading this growth [5] - The competition in the quantitative industry is shifting from isolated algorithm breakthroughs to comprehensive system engineering [5][6] - The deep application of AI and machine learning is becoming a driving force in quantitative strategy development [5][6] Future Outlook - The market is witnessing a concentration of resources towards leading firms with stable operations and robust performance [6] - The consensus in the industry suggests that quantitative long strategies will focus on refining existing frameworks rather than making disruptive changes [6]

Core Viewpoints - The A-share market is experiencing a volatile trend, with the Shanghai Composite Index stabilizing around 4000 points, indicating increased difficulty in market navigation due to rapid sector rotation and differentiation [3][4] - Global markets are also showing signs of volatility, with the Nasdaq index experiencing a continuous decline since November due to liquidity concerns and skepticism regarding AI capital expenditures [3][4] Quantitative Strategy Allocation Views - The preferred strategy allocation is: Equity Enhancement Strategy > Overseas Equity Strategy > Evergreen Low Volatility Strategy, reflecting a more flexible approach in the current market environment [4] - Despite short-term pressures, the market is expected to maintain an upward trend in the medium to long term, with limited downside potential [4] Fund Strategy Performance - The Evergreen Low Volatility Fund Strategy achieved a weekly return of 0.537%, with cumulative excess returns of 1.412% since its inception [5] - The Equity Enhancement Fund Strategy recorded a weekly return of -0.056%, indicating challenges in generating excess returns in the current market environment [5] - The Cash Growth Fund Strategy outperformed the benchmark with a weekly return of 0.027%, accumulating excess returns of 0.534% since its launch [5] Overseas Equity Strategy Performance - The Overseas Equity Allocation Fund Strategy reported a weekly return of 0.638%, with a cumulative excess return of 1.170%, benefiting from the ongoing technological advancements and economic stability in the U.S. [6] Fund Combination Performance Tracking - The Evergreen Low Volatility Fund Strategy has consistently maintained lower volatility and drawdown compared to the benchmark, achieving a return of 15.124% year-to-date [9] - The Equity Enhancement Fund Strategy has shown a return of 21.428% year-to-date, closely tracking the benchmark [9] - The Cash Growth Fund Strategy has achieved a year-to-date return of 1.361%, outperforming the benchmark [9] - The Overseas Equity Allocation Fund Strategy has recorded a year-to-date return of 11.935%, indicating strong performance in the global market context [9] Fund Combination Construction Ideas - The Evergreen Low Volatility Fund Combination aims to provide stable returns in high-risk environments, appealing to investors seeking lower risk profiles [20][22] - The Equity Enhancement Fund Combination focuses on identifying funds with strong alpha generation capabilities, aiming for higher returns in improving market conditions [23] - The Cash Growth Fund Combination is designed to optimize short-term cash management, ensuring higher yields while minimizing volatility [24] - The Overseas Equity Allocation Fund Combination seeks to enhance global asset allocation, providing investors with diversified exposure to international markets [25]

Group 1 - The A-share market continues to experience fluctuations, with lithium battery materials seeing price increases, leading to a surge in lithium carbonate futures and related stocks [1] - The total net inflow of funds into ETFs reached 17.1 billion yuan on November 17, with about one-third of ETFs receiving additional investments [1] - The largest battery ETF (159755) saw a net inflow of 361 million yuan, increasing its total size to 16.29 billion yuan, making it the only battery-themed index fund over 10 billion yuan in size [1] Group 2 - The "lonely" Hong Kong Stock Connect non-bank ETF (513750) received a net inflow of 310 million yuan, reaching a new high of 25.8 billion yuan after 12 consecutive trading days of being favored by investors [2] - The largest Hong Kong innovative drug ETF (513120) also saw a net inflow of 57 million yuan, accumulating over 1.7 billion yuan in net inflows for November, with a total size of 25.4 billion yuan [2] - The combined size of two innovative drug ETFs managed by GF Fund has exceeded 30 billion yuan, making it the only fund manager with over 30 billion yuan in innovative drug-themed ETFs [2] Group 3 - The Shanghai Gold ETF (518600) recorded a net inflow of 145 million yuan, with a total size of 3.82 billion yuan and a year-to-date return of 49.71% [3] - Over the past three complete calendar years (2022-2024), the Shanghai Gold ETF has shown returns of 8.41%, 15.36%, and 26.63%, indicating strong defensive attributes [3] - The market sentiment indicators suggest a neutral zone, with potential opportunities for investors to adjust their positions towards a "barbell strategy," focusing on technology and defensive dividend sectors [3]

300增强ETF（561300）连续2日迎净流入，把握逢低均衡配置机遇。 英大证券表示，沪指在内外部因素影响下于4000点附近波动，短期内市场在该点位反复争夺，主要因为 外部压力增大和内部信心受挫。尽管如此，无需过分担忧，因政策支持下指数大幅下行空间有限，且市 场对即将召开的重要会议充满期待。建议采取适度谨慎的态度，踏准节奏，均衡配置资产。 300增强ETF（561300）不仅紧跟沪深300指数，还叠加了量化策略，试图在优质beta的基础上追求超额 收益。 （文章来源：每日经济新闻） ...