Group 1 - The core viewpoint of the articles is that the A-share market is experiencing a gradual recovery in sentiment, with structural opportunities emerging, particularly in mid-cap growth stocks that were previously undervalued [1][2] - The market is entering a critical window for style rebalancing, with a shift in risk appetite towards rational equilibrium, leading to potential investment opportunities in quality mid-cap growth stocks driven by valuation recovery and performance improvement [1][2] - The launch of the CITIC Prudential CSI A500 Index Enhanced Securities Investment Fund aims to capture excess returns through quantitative models amid changing market styles [1][2] Group 2 - The CITIC Prudential CSI A500 Index is seen as having high cost-effectiveness for allocation, with a significant overlap with the CSI 300 Index and inclusion of high-growth sectors like semiconductor equipment and industrial robots [2] - The index reflects the performance of 500 representative listed companies across various industries, aiming to depict the overall performance of core assets amid China's economic transformation [2] - The investment strategy focuses on both fundamental analysis and quantitative factors, with a particular emphasis on identifying mispriced opportunities in mid-cap stocks [3][5] Group 3 - The quantitative enhancement strategy is divided into two approaches: one focusing on fundamental alpha factors for stocks overlapping with the CSI 300 Index, and the other leveraging quantitative factors to identify mispriced mid-cap stocks [3][5] - The team has shifted from static risk analysis to a more dynamic risk management approach, allowing for customized risk thresholds based on various factors such as sentiment and liquidity [5][6] - Continuous iteration and adaptation of quantitative strategies are emphasized, particularly in response to changing market conditions and the effectiveness of different factors [4][5]

最近，在媒体的曝光下，一家在市场上颇有名气的私募量化机构返佣事件的细节浮出水面，暴露出量化 私募狂飙时代被忽视的制度缺陷。这场涉及券商和私募之间的利益输送，让行业的口碑受到了一些影 响。 寻租链条何以形成？这起事件绝非单一主体的过失，而是多重因素交织的必然结果。 最后，监管制度不够完善也让涉事方钻了空子。虽然《证券经纪业务管理办法》明令禁止返佣，但具体 监管细则模糊，惩戒力度不足。量化私募作为新兴力量，其高频交易年换手率超100倍并不鲜见，佣金 规模巨大，券商为争夺客户采用高额返佣比例，形成马太效应与资源垄断。量化私募特有的高频交易、 算法策略等特性尚未被监管框架充分覆盖，变相操作长期游离于监管之外，灰色地带由此滋生，导致行 业发展畸形。 返佣事件看似简单，却让证券行业的生态遭遇三重冲击，并引发连锁反应。 一是投资者信心受到伤害。当投资人发现管理费可能被用于佣金置换而非策略研发，信任的基石难免有 所动摇。特别是知名的头部机构涉案，使整个量化行业遭遇污名化冲击。 二是行业格局面临重构。合规压力下，量化机构将加速分散券商合作。中小券商因系统劣势更难获取头 部私募资源，行业马太效应加剧。 凡事均有两面性。此次返佣事 ...

Core Viewpoint - The article discusses the current state of the stock market, suggesting that a bull market may be nearing its end, with various indicators being analyzed to support this view [1][2][6]. Group 1: Market Indicators - A total of 17 indicators are used to quantify market tops, with only 3 currently met, indicating caution in the market [1]. - The highest performing index, the CSI 500, has seen a 46% increase since its low in February 2024, raising questions about the sustainability of the bull market [2]. - Historical comparisons are made to the 1999 market surge, suggesting that the current bull market may be entering its latter stages, potentially leading to a prolonged bear market [6]. Group 2: Market Sentiment - There is a general sentiment that the market is not yet in a state of euphoria, as evidenced by a lack of widespread stock discussions among peers [3]. - The article highlights that many retail investors are attempting to time the market, which is often seen as a challenging strategy [4]. - The notion that economic conditions may dictate the end of the bull market is discussed, with the idea that a recovering economy could signal a market downturn [3][4]. Group 3: Future Outlook - Speculation exists about the possibility of a slow bull market continuing until economic conditions improve [5]. - Concerns are raised about the potential for a market crash similar to that of 2015, emphasizing the need for market management to prevent significant societal impacts [6].

Core Viewpoint - The recent A-share market has experienced a significant upward trend, with the Shanghai Composite Index breaking through multiple key levels, indicating a recovery in market activity and investor interest [1][3]. Group 1: Market Activity and Investor Behavior - The number of new account openings has increased significantly on a month-over-month basis, but the total remains far below the levels seen during the "9·24" market surge last year [2][5]. - Despite a surge in new account openings, the overall figures are still not comparable to the highs reached in the first quarter of this year, indicating a cautious investor sentiment [3][5]. - Many individual investors are increasingly opting for ETFs and index products to participate in the market, as these tools help mitigate the challenges of stock selection and capture sector opportunities [1][14]. Group 2: Brokerage Strategies - Leading brokerages are shifting their strategies from merely increasing new account openings to activating dormant clients and focusing on high-net-worth individuals [8][10]. - The activation of dormant clients is seen as crucial due to the potential for higher contributions to brokerage revenues, especially as these clients may have significant capital [8][9]. - Brokerages are also implementing various strategies to attract high-net-worth clients, including offering algorithmic trading and customized investment advisory services [10][11]. Group 3: Investment Trends and Opportunities - The current A-share ecosystem has changed, with a notable increase in the number of listed companies, making stock selection more challenging for investors [13][14]. - The rise of quantitative trading is becoming more prominent, with many brokerages introducing quantitative tools for high-net-worth investors, indicating a shift towards a quantitative investment era [13][14]. - ETFs are gaining popularity among investors, particularly as a safer investment choice in the current market environment, with a focus on technology and healthcare sectors as areas of potential growth [14][16]. Group 4: Key Investment Directions - Four key investment directions have been identified: high-margin assets with low valuations, technology growth sectors, consumer sectors boosted by policy support, and companies with long-term competitive advantages [16]. - The focus on technology sectors includes areas such as artificial intelligence, robotics, and biomedicine, which are expected to show high growth potential [16]. - The consumer sector is also highlighted as a strategic area for investment, particularly in the context of domestic demand expansion [16].

Core Viewpoint - The asset management industry is undergoing significant transformation due to low interest rates, necessitating diversified asset allocation to address yield challenges [1][2][4]. Group 1: Current Challenges - The investment yield for insurance funds has decreased from a range of 4%-5% to 3%-4%, with new high-quality non-standard asset yields falling below 3% [2]. - The duration gap for life insurance liabilities is 4-7 years, exceeding the 2-year gap seen in mature overseas markets, leading to increased reallocation pressure as high-yield assets mature [2][4]. Group 2: Strategies for Adaptation - Four strategies from overseas asset management institutions include extending duration to lock in long-term yields, taking on credit risk for premium returns, allocating to equity assets for higher returns, and investing in alternative assets for liquidity risk [2]. - A localized multi-asset allocation strategy is recommended, focusing on broadening asset allocation to mitigate risks while enhancing detailed management to achieve higher returns [4]. Group 3: Asset Allocation Recommendations - For fixed-income assets, there is a need to enhance research on long-term interest rates and credit risks, while diversifying strategy tools to balance portfolio risks [4]. - The emphasis on equity assets should be increased, focusing on stable cash flow traditional industry leaders and exploring strategic emerging industries driven by new consumption trends [5]. Group 4: Investment Techniques - Quantitative investment is highlighted as a key tool, with an increase in passive investment and the use of quantitative models to capture style rotations and hedge volatility risks [6]. - In alternative investments, there is an opportunity in equity investments as the economy shifts to high-quality growth, while non-standard debt assets should focus on revitalizing existing quality cash flow assets [6]. Group 5: Future Outlook - The asset management industry is experiencing a paradigm shift under the dual challenges of low interest rates and asset scarcity, with a call for long-termism, innovative allocation, and a commitment to national strategies [6].

Core Viewpoint - The A-share market has experienced significant fluctuations over the past five years, with a notable decline in risk appetite due to multiple factors such as the Russia-Ukraine conflict, global interest rate hikes, and recurring pandemic issues. However, a recent policy initiative on September 24 has led to a surge in market liquidity and a series of active themes, resulting in major stock indices reaching new highs recently [2]. Group 1: Private Fund Performance - Among private fund managers, only a small portion have successfully navigated the market fluctuations over the past five years, with 121 managers achieving top rankings across 1, 3, and 5-year periods, yielding average returns of 38.65%, 42.11%, and 70.27% respectively [2][3]. - In the top-tier private fund category (over 5 billion), mid-tier (10-50 billion), and small-tier (0-10 billion), 29 managers ranked in the top 50% across all periods, accounting for 23.97% of the total [2][3]. Group 2: Top Managers in Tiered Private Funds - In the top-tier private funds, 8 managers have products that meet ranking criteria and have been in the top 50% for 1, 3, and 5 years, representing 20.51% of the group [4][5]. - All 8 top-tier managers belong to firms with over 10 billion in assets, with subjective private fund managers dominating the top three positions [5][8]. Group 3: Mid-Tier Private Fund Managers - In mid-tier private funds, 7 managers have products that meet ranking criteria and have been in the top 50% for 1, 3, and 5 years, making up 29.17% of this category [9][12]. - The majority of these managers are from firms with 20-50 billion in assets, with subjective private fund managers being the most prevalent [9][12]. Group 4: Small-Tier Private Fund Managers - In small-tier private funds, 14 managers have products that meet ranking criteria and have been in the top 50% for 1, 3, and 5 years, accounting for 24.14% of this group [13][15]. - Most of these managers are from firms with 0-5 billion in assets, with subjective private fund managers dominating the rankings [13][15].

2025 年 08 月 20 日 红利资产仍具配置价值 ——摩根红利优选基金投资价值分析 相关研究 证券分析师 杨俊文 A0230522070001 yangjw@swsresearch.com 沈思逸 A0230521070001 shensy@swsresearch.com 研究支持 杨俊文 A0230522070001 yangjw@swsresearch.com 联系人 杨俊文 (8621)23297818× yangjw@swsresearch.com 请务必仔细阅读正文之后的各项信息披露与声明 权 益 量 化 研 究 证 券 研 究 报 告 本研究报告仅通过邮件提供给 中庚基金 使用。1 股 票 基 金 - ⚫ 中证红利（000922.CSI）由沪深两市中现金股息率高、分红稳定且规模与流动性较好的 100 只股票构成，以反映 A 股市场高股息投资标的的整体表现，是红利策略的重要代表 性指数之一。 ⚫ 中长期业绩表现上，中证红利的夏普比率显著高于其他宽基指数。在整个回溯区间，中 证红利全收益指数的年化收益率为 8.34%，夏普比率为 0.41，显著高于 300 收益、500 收益、创业板 R 指数； ...

Core Insights - In July, the number of newly registered private equity funds and product filings reached a record high for the year, indicating a strong growth trend in the private equity sector [2][4]. Group 1: Registration and Filings - In July, 22 new private equity fund managers were registered, marking the highest monthly figure for the year. This includes 6 private securities investment funds and 16 private equity and venture capital funds [2]. - The total number of registered private fund managers reached 19,700 by the end of July, with 11,785 in private equity and venture capital, 7,722 in private securities investment, and 187 in other private investment funds [2]. - A total of 1,698 new products were filed in July, also a record for the year, with a total filing scale of 107.43 billion yuan [4]. Group 2: Product Types and Strategies - The majority of the newly filed products in July were stock strategy products, totaling 887, which accounted for 68.34% of the total filings [5]. - Quantitative funds gained significant attention, with 620 quantitative private securities products filed in July, representing 47.76% of the total filings [5]. - Among the quantitative stock strategy products, 321 were filed under the quantitative long strategy, making up 67.15% of that category [5]. Group 3: Fund Scale and Growth - The total number of existing private funds reached 139,430 by the end of July, with a total scale of 20.68 trillion yuan, showing continuous growth for seven consecutive months [5]. - Among the 676 private securities managers with filed products, the distribution by scale was as follows: 357 managers with 0-500 million yuan, 86 with 500 million-1 billion yuan, and 48 with over 10 billion yuan [6].

Core Viewpoint - The article emphasizes the rapid rise of quantitative investment in the capital market, highlighting its advantages in data processing, risk control, and the increasing number of private equity firms adopting quantitative strategies [2][5]. Group 1: Industry Overview - The volatility in capital markets and the complexity of information have made traditional subjective investment more challenging, leading to a surge in quantitative investment, which utilizes mathematical models and algorithms to uncover non-linear patterns and excess returns [2]. - By July 2025, the number of billion-yuan quantitative private equity firms surpassed that of subjective private equity firms for the first time, indicating a significant shift in investment strategies [2]. Group 2: Company Profile - Century Frontier, established in August 2015, has rapidly developed, surpassing 10 billion yuan in management scale by 2021, and currently employs various investment strategies including index enhancement and quantitative stock selection [5][6]. - The company has received multiple industry awards, including the "Golden Bull Award" and "Yinghua Award" in 2024, reflecting its strong performance in the private equity sector [6]. Group 3: Performance Metrics - As of July 2025, there are 44 billion-yuan quantitative private equity firms, with 23 firms having nearly three years of performance data. Century Frontier ranks 8th among these firms, with an average return of nearly ***% over the past three years [8]. - Century Frontier has 12 products with performance data that meet ranking criteria, with 11 products reaching historical highs in July 2025 [8]. Group 4: Investment Strategies - The company employs a diverse range of strategies, including index enhancement and market-neutral strategies, which have shown superior performance in both excess and absolute returns due to an active market environment [15]. - The small-cap index enhancement strategy benefits from a larger number of constituent stocks, allowing for better application of various alpha factors and reducing exposure risks [16]. Group 5: Competitive Advantages - Century Frontier's competitive edge lies in its stable research and development team, which comprises over 70% investment research and risk control personnel, many of whom have over 10 years of quantitative experience [12][20]. - The company emphasizes a collaborative working model that fosters open communication and trust among team members, contributing to high research efficiency and team stability [14]. Group 6: Future Trends - The quantitative investment industry is expected to expand from high-frequency to medium-low frequency strategies, with a focus on enhancing the strength, diversity, and stability of signals [25][26]. - Century Frontier has been investing in AI and machine learning capabilities to improve its quantitative strategies and is also exploring international expansion to enhance its investment management capabilities [26].

Group 1 - The A-share market has seen a significant increase in investor enthusiasm, with new account openings rising nearly 400% in July compared to June [2][3] - There is a notable increase in both new and existing investors engaging with various services, including margin trading and derivatives [3][4] - Younger investors, including those from the "post-2000" generation, are increasingly participating in the market, contrary to previous assumptions about their disinterest in stock trading [3] Group 2 - Many investors are turning to ETFs as a preferred investment vehicle due to the challenges of selecting individual stocks, with a growing interest in sector-specific ETFs [6] - Despite the increase in inquiries and account openings, the current market enthusiasm is still significantly lower than the peak observed during the "9.24" market rally last year [7][8] - The current market environment is characterized by a structural divergence in stock performance, leading to a more cautious approach among investors compared to the previous year [8]