2025 年 08 月 22 日 国联量化团队：传统量化与 AI 投资 并行，力争实现可持续的超额收益 ——基金经理研究系列报告之七十八 本研究报告仅通过邮件提供给 中庚基金 使用。1 股 票 基 证 券 研 究 报 告 证券分析师 奚佳诚 A0230523070004 xijc@swsresearch.com 蒋辛 A0230521080002 jiangxin@swsresearch.com 邓虎 A0230520070003 denghu@swsresearch.com 联系人 奚佳诚 (8621)23297818× xijc@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 金 相关研究 - ⚫ 国联基金多策略投资部（国联量化团队）是公司量化投资业务的核心团队，覆盖指数及 ETF、 指数增强、主动量化（对冲与 Smart Beta）、FOF、固收+等多个条线。国联量化团队的核 心目标是在市场有效性增强与传统公开因子边际收益递减的背景下实现可持续的超额收 益。为此，团队打造了依托"高频指增+深度学习"的非线性框架"，以期持续获取稳定的 Alpha，并在定 ...

Core Viewpoint - The A-share market has shown strong performance, with major indices experiencing significant increases, which has positively impacted fund performance. As of August 20, 2025, multiple products under Xinda Australia Fund have reported outstanding returns, with 41 products achieving over 30% returns in the past year, showcasing the company's robust investment capabilities [1][4]. Group 1: Fund Performance - As of August 20, 2025, 41 products from Xinda Australia Fund have achieved returns exceeding 30% in the past year, with 34 products rising over 50% and 25 products increasing over 70%. Notably, 6 products have doubled in value [1]. - The top-performing funds include Xinda Performance Driven A with a return of 149.64%, Xinda Star Yi A at 118.55%, and Xinda Bojian Growth One-Year Open A at 117.29% [2][4]. Group 2: Investment Strategy - The strong performance of Xinda Australia Fund's products is primarily driven by actively managed equity funds, which have become the core engine of performance growth, demonstrating the company's investment strength in active equity [4]. - The company employs a diversified research matrix covering key sectors such as manufacturing, technology, consumption, and new energy, optimizing its investment research team to enhance its investment capabilities [5]. Group 3: Quantitative and Pension Strategies - Xinda Australia Fund's active equity is considered the "alpha engine," with quantitative investments capturing market beta effectively. The company utilizes a "HI+AI" dual-engine approach to develop a range of quantitative products [7]. - In the pension finance sector, the company focuses on "target date strategies" to assist investors in achieving comprehensive retirement planning, with a notable return of 31.04% for the Xinda Yiyuan Pension Target 2055 Five-Year Holding A product [7]. Group 4: Future Outlook - Looking ahead, Xinda Australia Fund aims to continue prioritizing the interests of its investors, deepening its commitment to long-term value investment, optimizing its research system, and expanding its product line to create sustainable returns for investors [8].

Group 1: Zhenghai Magnetic Materials - In the first half of 2025, Zhenghai Magnetic Materials achieved a total revenue of 3.057 billion yuan, a year-on-year increase of 20.42%, but net profit decreased by 24.39% [1] - The company experienced improved operational efficiency in Q1, but faced profit pressure in Q2 due to changes in the international economic environment and intensified domestic market competition [1] - Product shipments increased by over 20% year-on-year, with shipments in the energy-saving and new energy vehicle markets growing by over 30% [1] - The company has a high coverage of core technologies such as grain optimization and diffusion technology, with a year-on-year increase of 55% in the production of non-rare earth magnets [1] - Zhenghai Magnetic Materials has been recognized as the most valuable materials company in the humanoid robot sector and has begun small batch supply to downstream customers [1] Group 2: Ice Wheel Environment - In the first half of 2025, Ice Wheel Environment reported a revenue of 3.12 billion yuan, a year-on-year decline of 7%, with net profit attributable to shareholders at 266 million yuan, down 20% [2] - The company’s domestic business faced a slowdown in downstream demand, resulting in a revenue of 2.1 billion yuan, while overseas business grew significantly by 30% to 1.02 billion yuan [2] - The company provides compressors and heat exchange devices covering a temperature range of -271℃ to 200℃, with the low-temperature refrigeration segment generating 1.73 billion yuan, accounting for 55% of total revenue [2] - Ice Wheel Environment is implementing a "going to sea" strategy, enhancing its overseas technical capabilities and localizing its sales network [2] Group 3: Yuntianhua - Yuntianhua released its 2025 semi-annual report detailing its phosphate fertilizer exports, phosphate rock prices, and product operations [3] - The company strictly adheres to domestic supply and price stabilization policies for phosphate fertilizer exports, with high sulfur prices impacting costs [3] - Phosphate ammonium production and sales decreased due to product structure adjustments and maintenance, while phosphate rock supply and demand remain tight with prices at high levels [3] - The company is increasing efforts in developing high-end products such as polyoxymethylene, while the market demand for iron phosphate is growing but prices remain low [3] - Yuntianhua plans to distribute dividends of 0.2 yuan per share, with future dividends to be considered based on operational funding needs [3]

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]

Group 1 - The A-share market is experiencing a gradual recovery in sentiment, with structural opportunities emerging, indicating a key time window for style rebalancing [1] - 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] - The CSI A500 Index is seen as having high cost-effectiveness for allocation, with a significant overlap with the CSI 300 Index and representation of high-growth sectors like semiconductor equipment and industrial robots [2] Group 2 - The quantitative enhancement strategy for the CSI A500 Index can be divided into two approaches: focusing on fundamental alpha factors for overlapping stocks and utilizing price-volume factors for mid-cap stocks [3] - The team emphasizes the importance of dynamic risk control, adapting to market changes and allowing for customized risk deviation thresholds based on various factors [5][6] - Continuous iteration and reflection in quantitative investment strategies are crucial, with the team striving to optimize trading behaviors and find more scientific alternatives due to regulatory constraints [4][6]

Core Viewpoint - The A-share market is experiencing a gradual recovery in sentiment, with structural opportunities emerging, as noted by the fund manager from CITIC Prudential Fund, Jiang Peng [1] Group 1: Market Sentiment and Investment Strategy - The current market is at a critical time for style rebalancing, with a shift towards rational equilibrium in risk appetite, leading to opportunities in quality mid-cap growth stocks that were previously undervalued [1] - CITIC Prudential Fund has launched the CITIC Prudential CSI A500 Index Enhanced Securities Investment Fund, managed by Jiang Peng and Huang Zhi, aiming to capture excess returns through quantitative models amid changing market styles [1][2] - The CSI A500 Index is seen as having high cost-effectiveness for allocation, with many constituent stocks overlapping with the CSI 300 Index, providing both stability and growth potential [1][2] Group 2: Quantitative Strategy and Stock Selection - Jiang Peng's quantitative enhancement strategy for CSI A500 constituents focuses on two main approaches: deepening fundamental alpha factors for stocks overlapping with the CSI 300 Index and utilizing basic stock selection methods based on performance quality and cash flow stability [2][3] - The strategy also incorporates a focus on high volatility characteristics of mid-cap stocks, using both fundamental and price-volume factors to identify mispriced opportunities [3] Group 3: Risk Management and Dynamic Adjustment - The quantitative team emphasizes the need for continuous reflection and iteration in response to rapidly changing market conditions, moving from static to dynamic risk management approaches [4][5] - A dynamic risk control system has been implemented, allowing for customized risk deviation thresholds based on various factors such as sentiment and institutional research, enhancing the stability of product net values [5]

Core Viewpoint - The recent rebate incident involving a well-known quantitative private equity firm has exposed systemic flaws in the industry, leading to reputational damage and raising concerns about the integrity of the market [1][4]. Group 1: Formation of the Rent-Seeking Chain - The incident is a result of multiple intertwined factors, with the involved brokerage firm bearing significant responsibility due to internal governance failures and lack of oversight [2]. - The brokerage's trading volume surged from 34 billion in 2018 to 1 trillion in 2021, while internal control mechanisms did not keep pace, creating opportunities for rent-seeking behavior [2]. - The quantitative private equity firm concentrated 58% of its products with a single brokerage, exceeding reasonable diversification levels, which increased the risk of profit-sharing arrangements [2]. - Personal greed acted as a catalyst, with significant sums of money being funneled through various channels, highlighting the extent of corruption within the profit-sharing chain [2]. Group 2: Regulatory Gaps - The inadequacy of regulatory frameworks allowed the involved parties to exploit loopholes, as existing regulations on rebates are vague and lack sufficient punitive measures [3]. - The high turnover rates typical of quantitative trading, often exceeding 100 times annually, have led to substantial commission sizes, prompting brokerages to offer high rebate rates to attract clients [3]. - The unique characteristics of quantitative trading have not been adequately addressed by regulatory frameworks, resulting in a gray area that has fostered unhealthy industry practices [3]. Group 3: Impact on the Industry - The rebate incident has inflicted three major shocks on the securities industry, primarily damaging investor confidence as management fees may have been misallocated [4]. - The industry landscape is likely to undergo restructuring, with compliance pressures pushing quantitative firms to diversify their brokerage partnerships [4]. - Regulatory scrutiny is expected to intensify, leading to more rigorous examinations of brokerage custody operations and the flow of commissions between private equity firms and brokerages [4]. Group 4: Path Forward - To recover from the fallout of the rebate incident, the quantitative private equity sector must implement a diversified brokerage strategy, limiting any single custodian's share to no more than 30% [5]. - Brokerages need to enhance their internal control systems by establishing clear separations between marketing, execution, and risk management functions [5]. - Regulatory frameworks must be upgraded to include mandatory disclosure of commission expenditures and establish a reporting system for related transactions between brokerages and private equity firms [5][6]. - Investors should take proactive measures by choosing firms with diversified custodial arrangements and transparent commission disclosures [6].

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].