Quantitative Models and Construction Methods 1. Model Name: Diffusion Index Timing - Initial Threshold Method (Left-Side Trading) - **Model Construction Idea**: The model uses the proportion of stocks in the "Wind Micro-Cap Index" that have been in an upward trend over the past 20 trading days as a diffusion index. It applies a threshold-based strategy to determine market timing[65][66] - **Model Construction Process**: - When the diffusion index exceeds 0.9, the strategy signals to exit positions (empty portfolio) - When the diffusion index falls below 0.1, the strategy signals to fully enter positions (full portfolio) - In other periods, the signal from the previous period is maintained - The model requires a full position before signaling an empty position, and vice versa[66] - **Model Evaluation**: - The model failed to outperform the "Wind Micro-Cap Index" in-sample - It struggled to identify major bear markets in 2024, leading to a "buy-the-dip" behavior - However, it captured the bottom well in 2025 and aligned with the upward trend[66] - **Key Signal**: Triggered an empty portfolio signal on May 8, 2025[66] 2. Model Name: Diffusion Index Timing - Delayed Threshold Method (Right-Side Trading) - **Model Construction Idea**: This model modifies the left-side trading approach by introducing momentum-based logic, aiming to avoid premature reversals[69] - **Model Construction Process**: - If the diffusion index was above 0.9 the previous day and falls below 0.9 today, the strategy signals to exit positions - If the diffusion index was below 0.1 the previous day and rises above 0.1 today, the strategy signals to fully enter positions - In other periods, the signal from the previous period is maintained[69] - **Model Evaluation**: - The model failed to outperform the "Wind Micro-Cap Index" in-sample - It avoided premature exits during the 2024 bull market, preserving gains - The strategy's net value reached a new high recently, but overall performance in 2025 was mediocre[69] - **Key Signal**: Triggered an empty portfolio signal on May 15, 2025[69] 3. Model Name: Diffusion Index Timing - Dual Moving Average Method (Adaptive Trading) - **Model Construction Idea**: This model introduces a dual moving average approach to adapt to market trends, reducing reliance on fixed thresholds[72] - **Model Construction Process**: - The short-term moving average is the 10-day moving average (MA) of the diffusion index - The long-term moving average is the 20-day MA of the short-term moving average - When the short-term MA crosses above the long-term MA, the strategy signals to fully enter positions - When the short-term MA crosses below the long-term MA, the strategy signals to exit positions[72] - **Model Evaluation**: - The model controlled drawdowns effectively in-sample - It avoided significant losses during the 2024 bear market and preserved gains during the bull market - However, the model showed some instability in trend recognition due to parameter smoothing issues[72] - **Key Signal**: Triggered an empty portfolio signal on August 4, 2025[72] --- Model Backtesting Results 1. Initial Threshold Method - **Key Signal**: Empty portfolio signal on May 8, 2025[66] 2. Delayed Threshold Method - **Key Signal**: Empty portfolio signal on May 15, 2025[69] 3. Dual Moving Average Method - **Key Signal**: Empty portfolio signal on August 4, 2025[72]

Core Viewpoint - The article highlights the performance and strategies of Liang Chuang Investment, a private equity fund management company that focuses on quantitative investment, showcasing its strong returns and innovative investment strategies [3][5][7]. Company Overview - Liang Chuang Investment was established in March 2016 and obtained its private fund management license in July of the same year, with a license code of P1032081 [5]. - As of July 2025, the company manages assets totaling 1.6 billion yuan [5]. - The firm specializes in quantitative investment, utilizing a combination of mathematics, statistics, finance, and computer science to create investment strategies [7]. Development History - The company initially focused on stock arbitrage strategies and later expanded to options arbitrage and quantitative CTA strategies [5]. - In 2021, it launched a quantitative stock selection strategy, and by 2023, it introduced an all-weather strategy using AI models [5]. Investment Philosophy & Representative Strategies - Liang Chuang Investment employs algorithmic trading and covers various asset classes, including stocks, futures, options, and bonds, with a focus on compliance and risk management [13]. - The firm has developed its own database, factor library, and trading systems, integrating AI technology into its investment processes [13][19]. Core Team - The company has a total of 22 employees, with 16 in the investment research team, showcasing a strong and stable team with expertise from prestigious universities [8][16]. - The team members have backgrounds in finance and technology, enhancing their ability to develop effective investment strategies [16]. Core Advantages - The firm emphasizes continuous investment in technology and has established an AI team to support its quantitative investment efforts [17]. - Liang Chuang Investment operates in a compliant manner, having no penalty records, and maintains a robust risk control system [18]. Future Development Plans - The company aims to reach a management scale of 2 billion yuan by 2025 and plans to expand to 2-5 billion yuan in the next 2-3 years [21]. - Liang Chuang Investment will continue to optimize existing strategies and develop new ones, focusing on technology innovation and risk management [21].

Industry Background: Rapid Expansion of Quantitative Sector - The acceptance of quantitative funds in A-share and Hong Kong markets has significantly increased in recent years. As of Q1 2025, the scale of quantitative management in China has surpassed 2.8 trillion RMB, with a five-year compound growth rate exceeding 30% [4] Company Advantages: Technology, Risk Control, and User Engagement - Technical Barrier: The company has developed over 380 quantitative models, performing more than 200 million daily calculations, establishing a self-developed core engine [5] - Risk Control System: The company employs multi-dimensional allocation, dynamic risk control, and high-frequency rebalancing models, achieving a drawdown control capability that is over 30% better than the industry average [5] - User Base: As of June 2025, the company has over 3 million registered users, with more than 620,000 active following users, creating a sustainable cash flow [5] - Profit Model: The primary revenue sources are strategy settlement service fees and platform value-added services, with a clear profit model and scalability [5] Strategic Significance of Hong Kong Listing - Capital Infusion: The expected fundraising scale is between 1.5 to 2 billion HKD, aimed at algorithm development, international market expansion, and financial cloud platform construction [6] - International Platform: The Hong Kong stock market serves as a bridge for international capital, facilitating connections with overseas funds [6] - Brand Effect: The listing status will enhance investor trust and improve compliance transparency [6] - Valuation Premium: Compared to similar US quantitative firms (e.g., Two Sigma, Citadel Securities), the company is expected to achieve a higher capitalization valuation than private equity institutions [6] Potential Impact - On the Industry: The company's listing will set a precedent for capitalizing quantitative private equity, potentially accelerating IPOs for leading institutions [6] - On Users: Increased platform transparency and compliance will boost investor confidence [6] - The proportion of quantitative strategies in private equity funds has risen from less than 10% in 2018 to the current 27% [6] - The Hong Kong market's capacity for quantitative funds continues to grow, with leading institutions accelerating their internationalization efforts [6]

Group 1 - The A-share market is experiencing a new round of upward momentum, with the Shanghai Composite Index showing a year-to-date increase of 15.1% as of August 29 [1] - The Guojin CSI All Share Index Enhanced Fund will be launched on September 1, 2025, aiming to provide a comprehensive investment tool that aligns with the characteristics of the CSI All Share Index [1][2] - The CSI All Share Index reflects the overall performance of various market-cap stocks in the A-share market, offering a broader coverage compared to typical broad-based indices [2] Group 2 - The macroeconomic environment is stabilizing, and policy support is increasing, contributing to the overall recovery of the A-share market [2] - The CSI All Share Index is suitable for capturing diverse investment opportunities due to its comprehensive market coverage and ability to adapt to changing market trends [2] - The index's diversified structure is expected to lower decision-making costs and facilitate balanced industry allocation for long-term investors [2] Group 3 - The quantitative strategy employed by the fund aims to achieve excess returns while maintaining a balance with tracking error, maximizing the information ratio [4] - The investment team will utilize advanced technologies such as big data analysis and artificial intelligence to dynamically adjust the investment portfolio according to market conditions [4] Group 4 - The index-enhanced fund segment is experiencing rapid growth, with 180 new funds established in 2023, surpassing the total of 101 funds created in 2024 [5] - The average excess return for 519 index-enhanced funds this year is 3.87%, with 37 funds achieving excess returns greater than 10% [5] - The index-enhanced funds are seen as valuable for investors looking to capture market beta returns while also seeking alpha opportunities during market fluctuations [5] Group 5 - Guojin Fund has a well-established quantitative investment team with a strong background in mathematics and finance, contributing to the success of its quantitative products [6] - The launch of the Guojin CSI All Share Index Enhanced Fund is a significant addition to Guojin Fund's quantitative product line, enhancing investment options for investors [6] - The company plans to continue optimizing investment strategies and models in the quantitative investment field to provide high-quality investment tools [6]

量化团队护航，助力把握万亿蓝海 机器人ETF富国（159272）拟由富国基金量化实力派基金经理苏华清执掌，其具备7年证券从业经历和1 年基金管理年限，现任富国中证A500ETF及联接、富国中证 1000ETF、富国中证通信设备主题ETF及联 接、富国上证科创板新能源ETF及联接等多只产品基金经理，投研经验丰富。 富国基金量化投资团队成立于2009年，是国内成立时间最早的公募量化团队之一。量化团队由公司副总 经理李笑薇博士领军，汇聚20余名投研干将，平均从业年限超11年。业务范围覆盖公募、专户、养老金 和海外投资等多种产品组合，跨资产、多策略管理经验丰富。截至8月7日，作为"老十家"公募基金公司 之一，富国基金在指数量化投资领域已深耕逾15年，目前旗下共有72只ETF产品、47只ETF联接基金， 在量化投资领域积淀深厚。银河证券数据显示，截至2025年6月30日，富国基金旗下10只量化类基金近 一年业绩位居同类前10%，近两年5只产品排名同类前10%，近三年7只产品排名同类前10%，近五年5只 产品排名同类前10%，近七年、近十年各有1只产品业绩居同类前3。 作为国内ETF业务的重要参与者，富国基金顺应时代潮流 ...

Group 1 - The core viewpoint of the news is that Bopu Technology conducted a survey on a listed company, Sanhua Intelligent Control, revealing significant growth in revenue and net profit for the first half of 2025 [1] - Sanhua Intelligent Control achieved operating revenue of 16.263 billion yuan, an increase of 18.91% year-on-year, and a net profit of 2.110 billion yuan, up 39.31% year-on-year [1] - The revenue from the refrigeration and air conditioning components business reached 10.389 billion yuan, growing by 25.49% year-on-year, driven by rising global temperature control demand and the expansion of heat pump technology into data centers and energy storage [1] - The automotive components business generated revenue of 5.874 billion yuan, an increase of 8.83% year-on-year, with a customer base that includes major automakers such as Mercedes-Benz, BYD, Tesla, and Toyota [1] - The company is advancing its data center liquid cooling business by leveraging existing thermal management technology for component reuse [1] - A robotics division has been established, focusing on electromechanical actuators and promoting mass production [1] - The growth in net profit is primarily attributed to the "elite troops" initiative, which enhances operational quality [1] - The company is addressing tariff policies through overseas production base layouts and has reached cost-sharing agreements with clients to ensure supply chain stability [1]

Group 1 - The core viewpoint of the news is that a well-known private equity firm, Huansheng Quantitative, has conducted research on a listed company, Huicheng Co., which has shown significant growth in revenue and profit in the first half of the year [1] - Huicheng Co. reported a year-on-year revenue growth of 28.58%, reaching 866 million yuan, and a net profit attributable to shareholders growth of 60.94%, amounting to 96.04 million yuan [1] - The revenue share of MOLED products increased from less than 20% in 2024 to over 25% in the first half of 2025, with its packaging and testing gross margin higher than other products and the company's average [1] - The electronic price tag IC packaging and testing business accounted for over 10% of revenue in the first half of 2025, contributing positively to the company's profitability [1] - The automotive display chip project is currently in the construction phase, with equipment expected to be in place by early 2026, while 2025 will focus on customer validation without significant performance contributions [1] - New business initiatives are still in the planning stage, and the company aims to actively promote related progress [1] Group 2 - Huansheng Quantitative, also known as Jiu Zhang Asset, is a hedge fund company that relies on mathematics and computer science for quantitative investment, founded in 2008 [2] - The company is a leader in financial derivatives trading and design in China, known for its innovative research and practices in quantitative hedging [2] - Huansheng Quantitative maintains high legal and ethical standards, leveraging science and technology to explore innovative research that is often unimaginable to others [2] - The team consists of top talents from various fields, including early quantitative traders, award-winning professionals, and experts in artificial intelligence and big data [2] - The firm aims to become a world-class quantitative investment company and promote the healthy development of quantitative hedge funds in China [2]

Summary of the Chinese Quantitative Investment White Paper Industry Overview - The document discusses the **Chinese quantitative investment industry**, highlighting its evolution and challenges faced in 2024, including regulatory changes, market volatility, and technological advancements [13][42]. Key Points and Arguments Market Evolution - The industry experienced significant challenges in 2024, characterized by extreme market conditions and regulatory pressures, leading to a crisis of faith among practitioners [42]. - Major pressures identified include extreme market conditions, regulatory challenges, fundraising difficulties, scale pressures, style shifts, and declining factor effectiveness [42][51]. Regulatory Environment - Regulatory changes are seen as the most critical factor affecting the industry in 2024, with the term "regulation" appearing over 50 times in the data, covering various sub-items such as new private equity regulations and restrictions on algorithmic trading [13]. - The regulatory environment is expected to improve, with a notable increase in positive sentiment towards regulations, rising from 41.31% to 44.50% [13]. Industry Landscape - The quantitative private equity sector is undergoing a contraction in scale, with strong players evolving, new entrants breaking through, and weaker firms exiting the market [14]. - The overall sentiment for the future is cautiously optimistic, with a score of 3.27, reflecting a mix of "technological optimism" and "strategy anxiety" [14]. Alpha Decay - Approximately 70% of quantitative firms believe that excess returns in the A-share market are declining, attributed to increased market efficiency, intensified competition, and regulatory tightening [14]. - The primary reasons for alpha decay include strategy homogenization and supply-demand imbalances, accounting for 42.11% of responses [14]. Methodological Innovations - The industry emphasizes continuous iteration of strategies but faces criticism for strategy homogenization [14]. - A shift towards macro and fundamental analysis is noted, with 25.84% of firms increasing the use of macro data and 31.10% conducting global macro policy research [15]. Strategy and Frequency Shifts - The focus of the quantitative industry is shifting towards mid-to-low frequency strategies, with a notable increase in the use of macro factors and fundamental data [15]. - The integration of different frequency strategies is being explored to enhance trading efficiency [15]. Timing Strategies - Timing strategies are evolving, with 49 firms ranking it among the top three strategic priorities for 2025 [16]. - The most common approach is position control, with only 17.27% of firms indicating they do not engage in timing strategies [16]. Multi-Asset Participation - There is a gradual increase in participation across various asset classes, including stocks, futures, options, and bonds, with notable growth in bond strategies [17]. Global Expansion Plans - About 60% of quantitative firms have plans to expand internationally, but most are still in the exploratory phase [18]. - The primary barriers to international expansion include differences in market rules and data structures, as well as strategy localization challenges [19]. AI Integration - AI is recognized as a crucial area for development, with a significant emphasis on its role in expanding the boundaries of quantitative investment [20]. - The importance of AI in the industry has reached unprecedented levels, with a score of 5.03 in priority rankings for 2025 [20]. Technical Stack - The current technical stack for quantitative firms is dominated by Python, with a 97.12% adoption rate, and self-developed tools play a significant role in key processes [22]. - The industry is also seeing a standardization of infrastructure, with tools like VSCode and MySQL being widely used [23]. Risk Management - The focus on extreme risk management has intensified, with firms adjusting strategies and risk parameters in response to market volatility [27]. - A significant number of firms have tightened their style exposures and are reassessing their risk management frameworks [55]. Other Important Insights - The document highlights the need for firms to adapt to a complex environment characterized by regulatory changes and market dynamics [42]. - The challenges faced in 2024 are expected to lead to a reevaluation of strategies and risk management practices within the industry [55]. This summary encapsulates the critical insights and data from the Chinese Quantitative Investment White Paper, providing a comprehensive overview of the industry's current state and future outlook.

量化赋能 以资产配置应对市场变化 量化的另一大优势是分散个股风险。韩聪介绍，其股票组合常覆盖200至300只个股，虽无法规避系统性 风险，但可利用技术手段规避个股风险。无论对标中证500、沪深300还是中证1000指数，收益曲线均与 大盘同涨同跌，不会偏离市场整体趋势。 这恰好弥补了传统"固收+"产品的短板。韩聪表示，在传统模式下，权益部分收益受重仓个股或行业的 影响较大，行情好时涨得多，行情不佳时波动大，持有体验不好。但量化策略能大幅降低收益方差，市 场活跃时客户就能赚钱，若能做出超额收益，弱市中也可能盈利。这更贴合"固收+"基金低回撤、低波 动的定位。 瞄准中证A500指增策略 ——专访太平基金韩聪、张子权 ◎记者 朱妍 随着权益市场稳步走强，居民财富管理的需求也从传统理财逐渐转向"固收+"基金。如何在把控风险的 同时，获得稳定的收益，这既是行业难题也是机遇。太平基金基金经理韩聪和张子权认为，以量化赋 能"固收+"投资有利于实现产品的破局，顺应投资者的需求变化。据悉，拟由他们共同管理的太平嘉裕 债券基金正在发售中。 量化赋能"固收+"投资 "'固收+量化'的投资模式，是'固收+'基金的新蓝海。"韩聪认为， ...

一、杠杆游戏的规则突变 那天早上打开手机，一条推送直接跳进眼帘：国金证券宣布将融资保证金比例从80%上调至100%。这个看似简单的数字调整，却像一块石头扔进了平静的 湖面。 记得2023年那会儿，为了活跃市场，监管层还特意把最低融资保证金比例从100%降到80%。现在倒好，有券商开始往回走了。这让我想起18年前刚接触这 个市场时学到的第一课：规则永远在变，但变的方向往往意味深长。 二、数字背后的博弈 100%的保证金比例意味着什么？简单算笔账：以前100万保证金能借125万，现在只能借100万了。杠杆从1.25倍降到1倍，看似只是0.25的差别，但对惯用杠 杆的人来说，这就是25%的资金缺口。 华创证券说这是公司自己的决定，不用过度解读。这话听着耳熟——就像每次市场有异动时，总有人说"这只是技术性调整"。但在这个市场混久了就知道， 从来没有什么"只是"。 三、利空不空与利好不好的悖论 说到这，我想起两个特别有意思的例子。一个是迪哲医药，6月底被媒体点名说有解禁利空，结果股价转头就创了新高。另一个是纳瑞雷达，中报净利润暴 增8倍，股价反倒跌了10%。 这市场就是这么魔幻——你以为的利好可能是陷阱，你以为的利空反 ...