Quantitative Factors and Models Summary Quantitative Factors and Construction - **Factor Name**: BETA **Construction Idea**: Measures the sensitivity of a stock's returns to market returns, capturing systematic risk exposure [13][28] **Construction Process**: The BETA factor is calculated as the slope coefficient in a regression of a stock's returns against the market index returns over a specified period [13][28] **Evaluation**: This factor performed well during the week, indicating a positive contribution to portfolio returns [13][28] - **Factor Name**: Residual Volatility **Construction Idea**: Captures the idiosyncratic risk of a stock, independent of market movements [13][28] **Construction Process**: Residual volatility is derived from the standard deviation of the residuals in a regression of stock returns against market returns [13][28] **Evaluation**: This factor showed moderate positive performance during the week [13][28] - **Factor Name**: Momentum **Construction Idea**: Reflects the tendency of stocks with strong past performance to continue performing well in the short term [13][28] **Construction Process**: Momentum is calculated as the cumulative return of a stock over a specific look-back period, excluding the most recent month [13][28] **Evaluation**: This factor exhibited slight positive performance during the week [13][28] - **Factor Name**: Value **Construction Idea**: Measures the attractiveness of a stock based on its valuation metrics, such as price-to-earnings or price-to-book ratios [13][28] **Construction Process**: Value is computed using a weighted combination of valuation ratios, normalized across the universe of stocks [13][28] **Evaluation**: This factor underperformed during the week, indicating a negative contribution to portfolio returns [13][28] - **Factor Name**: Leverage **Construction Idea**: Represents the financial risk of a company based on its debt levels relative to equity [13][28] **Construction Process**: Leverage is calculated as the ratio of total debt to total equity for each stock [13][28] **Evaluation**: This factor showed slight negative performance during the week [13][28] - **Factor Name**: Size **Construction Idea**: Captures the performance difference between small-cap and large-cap stocks [13][28] **Construction Process**: Size is measured as the natural logarithm of a company's market capitalization [13][28] **Evaluation**: This factor significantly underperformed during the week, reflecting a preference for larger-cap stocks [13][28] Factor Backtesting Results - **BETA Factor**: Weekly return +0.27%, 1-year Sharpe ratio 2.74, 1-year maximum drawdown 5.40% [13][29] - **Residual Volatility Factor**: Weekly return +0.12%, 1-year Sharpe ratio -3.22, 1-year maximum drawdown 11.67% [13][29] - **Momentum Factor**: Weekly return +0.05%, 1-year Sharpe ratio 2.96, 1-year maximum drawdown 2.47% [13][29] - **Value Factor**: Weekly return -0.25%, 1-year Sharpe ratio -0.18, 1-year maximum drawdown 3.31% [13][29] - **Leverage Factor**: Weekly return -0.28%, 1-year Sharpe ratio 2.96, 1-year maximum drawdown 1.55% [13][29] - **Size Factor**: Weekly return -0.47%, 1-year Sharpe ratio -5.82, 1-year maximum drawdown 17.33% [13][29]

Group 1 - In June, a total of 1,100 private equity securities investment fund products were registered, marking a monthly record high for the year with a month-on-month increase of 26.44% [1] - In the first half of the year, the number of newly registered private equity securities investment funds reached 5,461, representing a year-on-year growth of 53.61% and a month-on-month increase of 100.48% [1][3] - Stock strategies emerged as the main force in private equity registrations for the first half of the year, with 3,458 new stock strategy private equity products accounting for 63.32% of the total registered products [3] Group 2 - Quantitative strategies dominated the market, with 2,448 registered quantitative strategy private equity products, of which 1,715 were stock quantitative strategies, making up 70.06% [3] - The most popular strategy was the index enhancement strategy, with 1,061 registered products, representing 61.87% of stock quantitative strategies, followed by the market-neutral stock strategy with 571 products, accounting for 33.29% [3] - The performance of securities private equity funds was strong in the first half of the year, with quantitative strategies leading, particularly the index enhancement strategy, which had the highest returns [3] Group 3 - Looking ahead to the second half of the year, private equity institutions maintain an optimistic outlook, focusing on technology, consumer sectors, innovative pharmaceuticals, and dividend assets [4] - In June, 751 private equity securities managers participated in A-share listed company research, covering 387 stocks across 28 primary industries, with a total of 1,769 research instances [4] - A total of 46 stocks received significant attention from private equity institutions, each with research frequency of at least 10 times [4]

Group 1 - The average return of stock strategy private equity funds is close to 5% as of the end of May, with over 70% of funds showing positive returns and more than 400 products yielding over 20% this year [1] - Among 12,843 private equity funds with performance records, stock strategy funds lead with an average return of 4.81% and a positive return ratio of 73.5% [1] - The strong performance of stock strategy private equity is attributed to active small-cap stock styles and structural market trends in sectors like innovative drugs, technology, and new consumption [1] Group 2 - As of May 30, 60.96% of large-cap stock private equity funds have over 80% of their positions, indicating a significant bullish stance [2] - The current price-to-earnings ratio of the CSI 300 index is around 12 times, and the Hang Seng index is about 10 times, suggesting that Chinese assets are not overvalued [2] - Private equity funds are increasingly favoring equity assets, particularly in technology and pharmaceutical sectors, with recent group research focusing on leading companies in semiconductors and healthcare [2][3]

Core Insights - The private equity securities fund industry has shown strong performance in the first five months of the year, with an average return of 4.34% across 12,843 funds, and 74.81% of these funds achieving positive returns [1] Group 1: Performance by Strategy - Equity strategies led the market with an average return of 4.81%, with 73.5% of the 8,487 equity funds reporting positive returns [1] - Multi-asset strategies followed with an average return of 4.14%, while futures and derivatives strategies and combination funds had returns of 3.19% and 3.09% respectively [1] - Bond strategies lagged with an average return of 2.42%, indicating a performance gradient among different strategies in the current market environment [1] Group 2: Quantitative Strategies - The strong performance of quantitative strategies is attributed to a favorable market environment characterized by a small-cap growth style [1] - Within equity strategies, quantitative long strategies performed exceptionally well, with an average return of 8.46% and 86.62% of the 1,480 funds achieving positive returns [1] - Market-neutral strategies also performed well, with an average return of 5.00% and a positive return rate of 91.18% [1] Group 3: Futures and Derivatives Strategies - In the futures and derivatives strategies, quantitative CTA strategies had an average return of 3.38%, slightly outperforming subjective CTA strategies at 3.37% [2] - The proportion of funds with positive returns for quantitative CTA strategies was 70.36%, compared to 65.19% for subjective CTA strategies [2] - Other derivatives strategies and options strategies had average returns of 2.45% and 2.41% respectively [2] Group 4: Market Outlook - Leading private equity institutions express optimism for the market, with indications that the A-share market has completed a "bottoming" phase [2] - A prominent private equity firm believes that the A-share market is entering a historic opportunity for asset value reassessment, anticipating significant upward movement [2] - Another firm notes that A-share valuations are currently low, with ample potential funding and a clear policy stance to stabilize the economy and stock market, leading to growing investor confidence [2]

Core Insights - The A-share market has stabilized and shown improved risk appetite since 2025, leading to a surge in high-net-worth clients entering through private equity channels [1] - The private equity sector is experiencing a product registration boom, with a total of 4,361 private equity securities products registered by May 31, 2025, marking a 45.03% increase compared to the same period in 2024 [1] - Stock strategies dominate the private equity landscape, with 2,749 stock strategy products accounting for 63.04% of the registered products in 2025 [2] Group 1: Market Trends - The number of registered private equity products in May 2025 reached 870, a year-on-year increase of 77.19%, indicating strong industry momentum [2] - The market sentiment has been recovering since the significant rebound in September 2024, with private equity products showing renewed interest despite previous market adjustments [2][5] - The overall market environment has improved significantly compared to 2024, with trading volumes exceeding one trillion, benefiting both subjective and quantitative investments [5] Group 2: Quantitative Strategies - Quantitative private equity products have gained significant traction, with 1,930 products registered in 2025, representing 44.26% of the total private equity securities products [4] - Among the registered quantitative products, 1,339 are stock strategy products, making up 69.38% of the total quantitative product registrations [4] - Major quantitative private equity firms dominate the registration landscape, with 31 out of 66 firms having registered more than 10 products being large quantitative firms [4] Group 3: Future Outlook - The private equity industry is expected to see a more pronounced Matthew effect, with an increasing focus on high-quality industry supply enhancing the sector's image and investor confidence [2] - The market is anticipated to shift its focus from overseas risks to domestic factors, with economic fundamentals and policy impacts expected to play a larger role in market performance [3] - The current market conditions are seen as favorable for quantitative strategies, with high trading volumes and liquidity providing ample opportunities for capturing excess returns [5]

Core Viewpoint - The A-share market has stabilized and shown a recovery in risk appetite, leading to a surge in private equity product registrations, particularly in quantitative strategies [1][2]. Private Equity Product Registration Surge - As of May 31, 2025, a total of 4,361 private equity securities products have been registered this year, marking a significant increase of 45.03% compared to the same period last year [1]. - In May alone, 870 private equity products were registered, reflecting a year-on-year growth of 77.19% [2]. - Stock strategies dominate the registered products, with 2,749 stock strategy products accounting for 63.04% of the total [2]. Market Dynamics and Investor Sentiment - High-net-worth clients are increasingly willing to enter the market through private equity channels, with significant net subscriptions reported by several firms, including a total of nearly 3 billion yuan in subscriptions for one firm [2]. - The market sentiment is improving, with the overall stock market valuation at a low point and risk premiums at historically high levels [2]. Quantitative Private Equity Products - The majority of registered products this year are from large quantitative private equity firms, with 40 out of 66 firms registering more than 10 products being large firms, and 31 of those being large quantitative firms [4]. - Quantitative private equity products have become increasingly important, with 1,930 products registered since 2025, representing 44.26% of the total private equity securities products [5]. Strategy Concentration in Quantitative Products - Within the quantitative products, stock strategies are predominant, with 1,339 stock strategy products registered, making up 69.38% of the total [5]. - The main development directions for quantitative products are index enhancement and quantitative CTA strategies [5]. Market Environment and Future Outlook - The current market environment is more active and favorable compared to last year, with high trading volumes providing more opportunities for quantitative strategies [6]. - The demand for diversified investment options is increasing among investors, contributing to the surge in private equity registrations [6].

Group 1 - The private equity securities fund market is showing a strong recovery trend, with 4,361 funds registered in the first five months, a year-on-year increase of 45.03% [1] - In May alone, 870 funds were registered, representing a significant year-on-year growth of 77.19%, indicating a new wave of development in the private equity industry [1] Group 2 - Quantitative private equity funds are leading the market recovery, with 1,930 funds registered in the first five months, accounting for 44.26% of the total registered private equity securities funds [3] - Among the 66 private equity institutions with at least 10 registered products, 40 are large institutions, with 31 being quantitative private equity firms, highlighting the strong growth of leading quantitative firms [3] - The majority of quantitative private equity products focus on stock strategies, with 1,339 products registered, making up 69.38% of the total quantitative products [3] Group 3 - Stock strategies remain dominant, with 2,749 stock strategy products registered, representing 63.04% of the total 4,361 private equity securities funds [4] - Multi-asset strategies and futures and derivatives strategies rank second and third, with 646 and 510 products registered, accounting for 14.81% and 11.69% respectively [4] - The distribution of strategies reflects an increasing demand for diversified investment options among investors [4] Group 4 - There are 1,558 private equity fund managers with registered products, with 1,177 small firms managing under 1 billion yuan and registering 2,062 products [4] - Medium-sized firms managing between 1 billion and 5 billion yuan have 259 firms with 914 registered products, while large firms managing over 5 billion yuan have 122 firms with 1,385 registered products [4]

Group 1 - The private equity securities industry in China has shown significant growth in the first five months of this year, with a total of 4,361 registered private equity securities products, representing a 45.03% increase compared to the same period last year [1] - In May alone, the number of registered products reached 870, marking a year-on-year increase of 77.19%, indicating a strong development momentum in the industry [1] - Equity strategies dominate the market, with 2,749 equity strategy products accounting for 63.04% of the total registered products, highlighting their position as core allocation assets [1] Group 2 - Quantitative private equity products have seen a total of 1,930 registrations this year, making up 44.26% of all registered private equity securities products, underscoring the importance of quantitative strategies in the private equity sector [1] - Within quantitative products, 1,339 are focused on equity strategies, representing 69.38% of the total quantitative product registrations, followed by futures and derivatives strategies with 299 products (15.49%) [2] - The majority of quantitative equity products are derived from index enhancement strategies, with 850 registrations, accounting for 63.48% of the total equity quantitative products [2] Group 3 - A total of 1,558 private equity securities institutions have registered products this year, with 1,177 small-scale private equity firms (0-1 billion) registering 2,062 products [2] - Among the 190 active private equity institutions, 66 have registered at least 10 products, with large-scale quantitative private equity firms making up 40 of these [3] - The leading private equity firm in terms of product registrations is Blackwing Asset Management, with 87 products, followed closely by Kuan De Private Equity with 79 products [3]

Group 1 - The private equity securities fund industry has shown strong performance in 2023, with an average return of 2.52% as of April 30, and nearly 70% of products achieving positive returns [1] - Multi-asset strategy products lead the market with an average return of 2.87%, while stock strategy products follow closely with a return of 2.56% [1] - The performance of futures and derivatives strategies, combination fund strategies, and bond strategies also demonstrated strong market adaptability, with average returns of 2.34%, 2.10%, and 1.87% respectively [1] Group 2 - Index enhancement strategies have delivered impressive results, with an average return of 6.42% and an average excess return of 9.10% as of April 30 [2] - Large private equity firms with over 10 billion in assets have achieved an average return of 7.53% in their index enhancement products, with all products realizing positive excess returns [2] - Smaller private equity firms also performed well, with average returns between 6% to 7% across various asset sizes, maintaining excess returns above 9% [2] Group 3 - The strong performance of index enhancement products is attributed to improved market liquidity, increased trading activity, and high market volatility, which create favorable conditions for excess return generation [3] - The unique "dual-drive" advantage of index enhancement strategies allows them to benefit from overall market gains (Beta returns) while also employing refined Alpha strategies to enhance returns [3] - This structure of "market Beta as a foundation, active Alpha as an enhancement" demonstrates significant competitiveness in the current market environment [3]

Group 1 - Private equity funds in the A-share market have performed well despite ongoing market fluctuations, with an average return of 2.52% as of April 30, 2023, and 69.82% of products achieving positive returns [1] - Multi-asset strategy products have led the market with an average return of 2.87%, surpassing the overall market average, and 70.84% of these products reported positive returns [1] - Stock strategy products also showed strong performance, with an average return of 2.56% and 67.89% of products achieving positive returns, driven by a recovery in the A-share market in April [1] Group 2 - Bond strategy products lagged behind with an average return of 1.87%, but 83.44% of these products still achieved positive returns [2] - Combination funds reported an average return of 2.10%, with 81.02% of products achieving positive returns [2] - Market analysts suggest that ongoing macroeconomic events, such as the US-China tariff negotiations, will continue to create investment opportunities, emphasizing the importance of sector-specific research and stock selection [2] Group 3 - The recent monetary policy easing, including interest rate cuts, is viewed as a short-term positive factor for the market, but long-term effects will depend on the actual economic performance [3] - Historical trends indicate that the impact of monetary policy changes on the market can vary, with initial reactions often leading to volatility before potential reversals occur [3]