Quantitative Models and Construction Methods - **Model Name**: PB-ROE-50 **Model Construction Idea**: The model is based on the combination of Price-to-Book ratio (PB) and Return on Equity (ROE) to select stocks with high profitability and reasonable valuation[23] **Model Construction Process**: The PB-ROE-50 portfolio is constructed by selecting stocks with the top 50 combined scores of PB and ROE. The portfolio is rebalanced periodically, and adjustments are made based on the stock universe of different indices such as CSI 500 and CSI 800[23] **Model Evaluation**: The model demonstrates positive excess returns in specific stock pools, indicating its effectiveness in capturing value and profitability factors[23] - **Model Name**: Block Trade Portfolio **Model Construction Idea**: The model is based on the principle that stocks with higher block trade transaction ratios and lower 6-day transaction amount volatility tend to perform better subsequently[29] **Model Construction Process**: The portfolio is constructed by selecting stocks with high block trade transaction ratios and low 6-day transaction amount volatility. The portfolio is rebalanced monthly[29] **Model Evaluation**: The model captures the information embedded in block trades, but its performance varies depending on market conditions[29] - **Model Name**: Private Placement Portfolio **Model Construction Idea**: The model is based on the event-driven strategy of private placements, considering factors such as market capitalization, rebalancing cycles, and position control[35] **Model Construction Process**: The portfolio is constructed using the announcement date of private placements as the event trigger. Stocks are selected based on their market capitalization and other factors, and the portfolio is rebalanced periodically[35] **Model Evaluation**: The model's performance is influenced by regulatory changes and market sentiment, showing mixed results in different periods[35] --- Model Backtesting Results - **PB-ROE-50 Model** - CSI 500: Weekly excess return 0.76%, absolute return 1.71%; YTD excess return 2.84%, absolute return 27.48%[24] - CSI 800: Weekly excess return 0.21%, absolute return 1.40%; YTD excess return 15.39%, absolute return 36.63%[24] - All Market: Weekly excess return -0.09%, absolute return 0.68%; YTD excess return 18.22%, absolute return 43.75%[24] - **Block Trade Portfolio** - Weekly excess return -0.16%, absolute return 0.61%; YTD excess return 39.03%, absolute return 69.06%[30] - **Private Placement Portfolio** - Weekly excess return -2.30%, absolute return -1.55%; YTD excess return -5.43%, absolute return 15.00%[36] --- Quantitative Factors and Construction Methods - **Factor Name**: Profitability Factor (e.g., ROA, ROE) **Factor Construction Idea**: Measures the company's profitability and operational efficiency, such as Return on Assets (ROA) and Return on Equity (ROE)[12][13][14] **Factor Construction Process**: - ROA: Calculated as $ \text{ROA} = \frac{\text{Net Income}}{\text{Total Assets}} $ - ROE: Calculated as $ \text{ROE} = \frac{\text{Net Income}}{\text{Shareholder's Equity}} $ **Factor Evaluation**: Profitability factors generally show positive returns, especially in CSI 300 and CSI 500 stock pools[12][14] - **Factor Name**: Valuation Factor (e.g., PB, PE, EP) **Factor Construction Idea**: Reflects the valuation level of stocks, such as Price-to-Book ratio (PB), Price-to-Earnings ratio (PE), and Earnings Yield (EP)[12][14][16] **Factor Construction Process**: - PB: Calculated as $ \text{PB} = \frac{\text{Market Price per Share}}{\text{Book Value per Share}} $ - PE: Calculated as $ \text{PE} = \frac{\text{Market Price per Share}}{\text{Earnings per Share}} $ - EP: Calculated as $ \text{EP} = \frac{\text{Earnings per Share}}{\text{Market Price per Share}} $ **Factor Evaluation**: Valuation factors like PB and EP show significant positive returns in multiple industries[21] - **Factor Name**: Momentum Factor (e.g., 5-day Reversal, 1-month Momentum) **Factor Construction Idea**: Captures the trend-following or reversal behavior in stock prices over short-term periods[12][14][16] **Factor Construction Process**: - 5-day Reversal: Measures the return reversal over the past 5 days - 1-month Momentum: Measures the cumulative return over the past month **Factor Evaluation**: Momentum factors show mixed performance, with some negative returns in specific stock pools[12][14][16] - **Factor Name**: Liquidity Factor (e.g., Turnover Rate, Transaction Amount Volatility) **Factor Construction Idea**: Reflects the liquidity characteristics of stocks, such as turnover rate and transaction amount volatility[12][14][16] **Factor Construction Process**: - Turnover Rate: Calculated as $ \text{Turnover Rate} = \frac{\text{Trading Volume}}{\text{Total Shares Outstanding}} $ - Transaction Amount Volatility: Standard deviation of transaction amounts over a specific period **Factor Evaluation**: Liquidity factors generally show positive returns, especially in the CSI 500 and liquidity 1500 stock pools[12][14][16] --- Factor Backtesting Results - **Profitability Factors** - ROA: Weekly return 1.43% (CSI 300), 0.78% (CSI 500), 1.01% (Liquidity 1500)[12][14][16] - ROE: Weekly return 1.32% (CSI 300), 0.94% (CSI 500), 0.71% (Liquidity 1500)[12][14][16] - **Valuation Factors** - PB: Weekly return 0.67% (CSI 300), 0.77% (CSI 500), 1.06% (Liquidity 1500)[12][14][16] - EP: Weekly return -0.37% (CSI 300), 0.17% (CSI 500), 0.84% (Liquidity 1500)[12][14][16] - **Momentum Factors** - 5-day Reversal: Weekly return -1.25% (CSI 300), -0.48% (CSI 500), -1.44% (Liquidity 1500)[12][14][16] - 1-month Momentum: Weekly return 0.45% (CSI 300), 0.59% (CSI 500), 1.20% (Liquidity 1500)[12][14][16] - **Liquidity Factors** - Turnover Rate: Weekly return 0.75% (CSI 300), 1.68% (CSI 500), 0.84% (Liquidity 1500)[12][14][16] - Transaction Amount Volatility: Weekly return 0.47% (CSI 300), 1.01% (CSI 500), 0.56% (Liquidity 1500)[12][14][16]

临近年底，A股市场虽在震荡中寻找方向，但私募基金的备案却马不停蹄。 最新数据显示，私募行业在11月迎来了一波备案潮。根据私募排排网统计，截至2025年11月30日，11月 共有1285只产品完成备案，环比大增近三成。这一数据不仅延续了此前的回暖势头，更一举创下年内月 度备案量的次高纪录。 值得注意的是，在这场年底的发行争夺中，量化私募再度强势领跑，百亿级量化巨头几乎包揽了备案榜 单的前列，成为推动本轮备案潮的主力军。 备案量飙升近三成 11月的A股市场，主要指数呈现震荡整固态势，市场情绪一度趋于谨慎。然而，在新产品的发行上，私 募机构的热情却异常高涨。 据券商中国记者了解，此前由于市场火热，私募新备案节奏一度被拉长，部分机构向券商中国记者反 映，产品备案需要十几甚至几十个工作日。进入11月，随着市场的调整，产品备案节奏有所加快。 数据显示，11月共计1285只私募证券产品完成备案（含自主发行和担任投顾），较10月份的994只大幅 增长29.28%。这一爆发式增长，直接将当月数据推升至年内第二高位，显示出私募机构在年底前强烈 的"补充弹药"意愿，无疑为年末乃至明年初的市场行情注入了一剂强心针。 排排网集团旗下融 ...

Core Viewpoint - The private equity fund industry in China is experiencing a significant surge in product registrations, with a notable increase in quantitative private equity leading the trend as the market approaches year-end [2][3]. Group 1: Private Equity Registration Trends - In November, a total of 1,285 private equity products were registered, marking a 29.28% increase from October's 994 products, achieving the second-highest monthly registration volume of the year [2][3]. - The surge in registrations reflects private equity firms' strong desire to "replenish ammunition" before year-end and into the next year, indicating optimism about future market conditions [3]. Group 2: Market Sentiment and Strategy - Despite a cautious market sentiment in November, private equity firms remain optimistic about future equity asset valuations and economic stabilization, prompting them to register new products [3]. - The decline in risk-free returns has diminished the appeal of traditional fixed-income products, leading investors to reallocate funds towards private equity securities with higher return potential [3]. - The overall performance of private equity securities has been strong, particularly in quantitative strategies, with over 90% of products generating positive returns, boosting investor confidence [3]. Group 3: Product Strategy Breakdown - Stock strategies continue to dominate, with 849 stock strategy products registered in November, accounting for 66.07% of total registrations [4]. - There is a growing demand for diversified asset allocation, with 193 multi-asset strategy products registered, representing 15.02% of the total [5]. - Futures and derivatives strategies also maintained high interest, with 121 products registered, making up 9.42% of the total [6]. Group 4: Quantitative Private Equity Dominance - Quantitative private equity products accounted for 565 registrations in November, representing 43.97% of all registered products, highlighting its significance in the private equity landscape [7]. - Within quantitative strategies, stock strategies are the core focus, with 402 products registered, nearly half of the total stock strategy registrations [8]. - The demand for quantitative long-only strategies is evident, with 310 products registered, indicating a strong market outlook for capturing stock market gains [8]. Group 5: Industry Concentration and Competitive Landscape - The registration data illustrates a pronounced "Matthew Effect" in the private equity industry, with 719 firms registering products in November, and 49 active firms registering five or more products [9]. - Among the leading firms, 30 out of 49 active firms manage over 10 billion, showcasing the advantages of established firms in brand influence and research capabilities [9][10]. - Notable firms leading in registrations include Century Frontier with 20 products, followed by Starstone Investment with 15 products, indicating the competitive landscape among top-tier private equity firms [11][12].

Quantitative Models and Construction Methods - **Model Name**: Excellent Fund Performance Enhancement Portfolio **Model Construction Idea**: Shift from benchmarking broad-based indices to benchmarking active equity funds, leveraging quantitative methods to enhance fund selection and achieve "best of the best" [4][18][50] **Model Construction Process**: 1. Benchmark against the median performance of active equity funds, represented by the mixed equity fund index (885001.WI) [18][50] 2. Use a performance-layered perspective to select funds, neutralizing return factors to avoid style concentration issues [50] 3. Optimize the portfolio to control deviations in individual stocks, industries, and styles relative to the selected fund holdings [51] **Model Evaluation**: Demonstrates strong stability and the ability to consistently outperform the median of active equity funds [50][51] - **Model Name**: Outperformance Stock Selection Portfolio **Model Construction Idea**: Focus on stocks with significant outperformance events, combining fundamental and technical analysis to select stocks with both fundamental support and technical resonance [5][56] **Model Construction Process**: 1. Filter stocks based on "outperformance" in research report titles and analysts' upward revisions of net profit [5][56] 2. Conduct dual-layer screening on the outperformance stock pool using fundamental and technical dimensions [56] **Model Evaluation**: Consistently ranks in the top 30% of active equity funds annually, with significant excess returns [56][57] - **Model Name**: Broker Gold Stock Performance Enhancement Portfolio **Model Construction Idea**: Use the broker gold stock pool as the stock selection space and constraint benchmark, optimizing the portfolio to control deviations in individual stocks and styles [6][31][61] **Model Construction Process**: 1. Benchmark against the mixed equity fund index and use the broker gold stock pool as the selection space [31][61] 2. Further refine the stock pool to achieve stable outperformance of the benchmark [61] **Model Evaluation**: Demonstrates strong alpha potential and consistently ranks in the top 30% of active equity funds annually [61][62] - **Model Name**: Growth and Stability Portfolio **Model Construction Idea**: Focus on the "time variable" in growth stock investments, constructing a two-dimensional evaluation system for growth stocks using a "time-series first, cross-section later" approach [7][66] **Model Construction Process**: 1. Introduce an "excess return release map" to identify the strongest excess return periods before and after positive events [66] 2. Prioritize stocks closer to their financial report disclosure dates and use multi-factor scoring to select high-quality stocks when the sample size is large [7][66] 3. Incorporate mechanisms such as weak balancing, transition, buffering, and risk avoidance to reduce turnover and mitigate risks [66] **Model Evaluation**: Consistently ranks in the top 30% of active equity funds annually, with high excess returns [66][67] Model Backtesting Results - **Excellent Fund Performance Enhancement Portfolio**: - Annualized return (2012.1.4-2025.6.30): 20.31% - Annualized excess return relative to mixed equity fund index: 11.83% - Most years ranked in the top 30% of active equity funds [52][55] - **Outperformance Stock Selection Portfolio**: - Annualized return (2010.1.4-2025.6.30): 30.55% - Annualized excess return relative to mixed equity fund index: 24.68% - Consistently ranked in the top 30% of active equity funds annually [57][59] - **Broker Gold Stock Performance Enhancement Portfolio**: - Annualized return (2018.1.2-2025.6.30): 19.34% - Annualized excess return relative to mixed equity fund index: 14.38% - Consistently ranked in the top 30% of active equity funds annually [62][65] - **Growth and Stability Portfolio**: - Annualized return (2012.1.4-2025.6.30): 35.51% - Annualized excess return relative to mixed equity fund index: 26.88% - Consistently ranked in the top 30% of active equity funds annually [67][70]

0 1 环比激增近三成，创年内备案次高 私募排排网统计数据显示，截至2025年11月30日，11月私募市场共计有1285只私募证券产品完成备案（包含自主发行和担任投顾的产品），较 前一个月的994只相比， 环比大增29.28%，这一数据不仅延续了之前的火热势头，更创下了年内月度备案量的次高， 反映出私募机构在临近年 底时发行产品的强烈意愿，为年末市场注入了一剂"强心针"。 排排网集团旗下 融智投资 FOF基金经理李春瑜 表示，尽管11月A股市场出现调整，私募备案热情依然高涨，主要基于三方面积极因素：首先， 私募机构对后市预期乐观，认为当前权益资产估值已进入合理区间，加之经济呈现企稳态势、企业盈利底部的确认，正积极备案产品以捕捉下一 轮行情机遇。其次，市场无风险收益率持续下行，使得传统固收类产品吸引力减弱，推动投资者进行资产再配置，资金纷纷转向收益潜力更高的 私募证券产品。此外，今年以来私募证券产品整体业绩表现亮眼，尤其是量化策略产品表现更为突出，正收益产品占比超过九成，显著增强了渠 道与高净值客户的配置信心。 02 股票策略仍是备案绝对主力 11月备案的产品中，股票策略产品多达849只，占比高达66.07%， ...

本文首发于公众号"私募排排网"。 （点击↑↑ 上图查看详情 ） 当市场波动加剧时，如何检验量化私募超额收益的"含金量"？过去一年中，不同策略、不同规模的私募机构在市场变幻中展现了截然不同的适应 能力，而 "超额胜率"—即私募基金跑赢基准指数的频率 ， 正成为衡量量化策略稳定性的核心指标之一。 百亿量化私募凭借AI技术、算力、人才、风控等各方位优势，在量化模型的迭代上越发精进，维持了量化模型持续输出超额收益的能力。私募 排排网数据显示，百亿量化私募旗下产品，1-11月实现超额胜率均值为62.28%，显著领先于其他规模私募；此外50-100亿、20-50亿、10-20 亿、5-10亿、0-5亿的超额胜率呈现逐级递减的趋势。 在量化行业进入"精耕细作"时代的当下，不仅关注谁在市场中跑得更快，更关注谁跑的更稳；为此本文按不同规模私募，分别梳理了旗下产品超 额胜率均值位居前十的量化私募，供投资者参考。 (参与排名的量化私募需在私募排排网符合排名规则的产品在3只及以上，本文超额胜率以周 度为统计周期) 0 1 百亿量化：天演资本、超量子基金、蒙玺投资位居前三！ 私募排排网数据显示，截至11月底，百亿量化私募旗下396只符 ...

日前，"中国银河证券·中国证券报私募行业星耀领航计划"调研团队走进国内知名量化私募机构启林投 资，就量化投资如何助力科技创新、私募与科创企业双向赋能路径以及私募机构的社会责任等议题展开 深入交流，共同探索国有背景私募机构在支持科技创新与服务地方经济中的独特路径。 "星耀领航计划"致力于打造国内最具影响力的科创类私募赋能平台，聚焦挖掘并培育兼具专业投资能力 与合规治理水平的私募管理机构。本次调研旨在推动多元投资理念的行业共享，助力构建科技、资本与 实体经济良性循环的生态体系。 将科技基因融入投资血脉 启林投资成立于2015年，由王鸿勇和两位中国科学技术大学的同学联合创立。公司名称取自《左 传》"筚路蓝缕、以启山林"，寓意创业艰辛与开拓精神。王鸿勇早期从事等离子体计算模拟研究，运用 计算机编程模拟自然世界粒子运动规律，这与量化投资运用数学与计算机研究金融市场规律在方法论上 一脉相承。 "我们本质上将自己视为一家金融科技公司。"王鸿勇在接受中国证券报记者采访时表示。 启林投资在投资科创方面形成了一套自己的体系。首先，产品布局紧密贴合科创导向。公司管理规模中 超过80%为指数增强策略产品，其中以中证500ETF和中证 ...

● 本报记者 刘英杰 日前，"中国银河证券·中国证券报私募行业星耀领航计划"调研团队走进国内知名量化私募机构启林投 资，就量化投资如何助力科技创新、私募与科创企业双向赋能路径以及私募机构的社会责任等议题展开 深入交流，共同探索国有背景私募机构在支持科技创新与服务地方经济中的独特路径。 "星耀领航计划"致力于打造国内最具影响力的科创类私募赋能平台，聚焦挖掘并培育兼具专业投资能力 与合规治理水平的私募管理机构。本次调研旨在推动多元投资理念的行业共享，助力构建科技、资本与 实体经济良性循环的生态体系。 将科技基因融入投资血脉 共筑科创生态圈 在王鸿勇看来，"星耀领航计划"准确把握了国家鼓励科技创新的战略方向，而量化私募本质上是技术驱 动型机构，与科技企业基因相近，双方具备合作基础。 "量化公司在研发投入强度上甚至高于许多上市科技公司，这为双方对话与合作提供了可能。"王鸿勇表 示，期待通过"星耀领航计划"搭建的平台，能够促进量化机构与科创企业之间更多元的交流，包括商业 合作与技术探讨，最终形成科技、资本与实体经济之间的良性循环。 启林投资在投资科创方面形成了一套自己的体系。首先，产品布局紧密贴合科创导向。公司管理规模 ...

12月5日晚间，信达澳亚基金公告称，方敬自12月5日起正式出任公司总经理一职，不再担任公司副总经理。此前，方敬于今年9月5日起代任信达澳亚基 金总经理职务。 | 新任高级管理人员职务 | 总经理 | | --- | --- | | 新任高级管理人员姓名 | 方敏 | | 是否经中国证监会核准取得高管任职 | | | 资格 | | | 中国证监会核准高管任职资格的日期 | - | | 任职日期 | 2025年12月5日 | | 过往从业经历 | 曾任职于中国人寿资产管理有限公司,中国民生银 | | | 行股份有限公司,中信证券股份有限公司,中新融 | | | 创资本管理有限公司和中国银河证券股份有限公 | | | 司,前海开源基金管理有限公司专户业务部负责人, | | | 曾任信达澳亚基金管理有限公司代任总经理、副总 | | | 经理。 | | 取得的相关从业资格 | 基金从业资格 | | 国籍 | 中国 | | 学历、学位 | 硕士研究生、硕士 | 来源：基金公告 公开资料显示，方敬拥有保险、银行、证券、基金等多领域的金融机构从业经历。他曾任职于中国人寿资管、中国民生银行、中信证券、中新融创资本 管理有限公司 ...

来源：一年打卡100场路演 诚奇量化总结：截至25年12月，规模470亿；两位管理人分别曾在千禧年和世坤工作；23年以后逐步转 向机器学习为主的非线性建模框架 贝小塔(VX:BetaRicher)整理, 仅供合格投资者审阅。 此举出于三方面考虑: 一是上海金融人才储备更丰富,便于招募高质量研究员; 二是员工更倾向在上海落户与发展,尤其在应届生招聘中更具吸引力; 三是上海作为国家金融中心,在政策支持与监管沟通上具备相对优势, 此次变更为非新设主体,统一社会信用代码及中基协登记编号均保 业务与投资运作不受任何影响。 截至25年12月初:基协显示该公司员工数为36人,其中 高度数量为3人。 正在运作产品为313个,延期清算为0,提前清算为104个,正常清算为6个。 公司曾于2022年底达到500亿规模高点,当前体置并未触及策略容量上限,在 现有约2万亿日均成交环境下运作舒适。内部设定若未来规模通近 700 亿将启动 封盘或参数调整机制,但目前多头策略额度充足,无主动控规模计划。 股权占比:股权渗透后分析得出,何文奇 占比 50.5089%,张万成 占比 49.4911%,两人合计绝对控股。为激励年轻化的核心投研队伍 ...