对于当前的股市来说，涨跌起伏一如既往，但是市场生态，在不经意间，已然改变。 从市场逻辑看，量化私募已改变了市场生态。从底层逻辑看，量化投资不仅改变了交易的速度和频率， 更重构了市场的定价机制。当市场中不少参与者都在使用相似的风险模型和交易策略时，个人投资者依 靠传统分析方法获取超额收益的难度将不断提升。这就像冷兵器时代突然进入了信息化战争，作战规则 和制胜要素都已发生本质改变。 面对AI量化技术的突飞猛进，个人投资者应如何应对？段永平在日前的访谈中给出了答案：回归投资 本身，买股票就是买公司。 事实上，对于投资者来说，当技术优势不再，信息优势不再，唯一能够依靠的，就是对投资本质的深刻 理解。投资本身不是猜涨跌的游戏，而是对企业内在价值的判断和定价。在量化交易主导的市场中，短 期的价格波动往往被算法放大，但长期的价格终将回归价值。唯有把握住这个核心，才能在新生态中找 到立足之地。 《道德经》有云"绝圣弃智，见素抱朴"，映射到投资里，"绝圣弃智"等同于"绝圣弃巧"。很多开始充满 智慧的行为，不过是雕虫小技的投机操作，在强大的量化对手面前，这些"巧"往往适得其反。"怀素抱 朴"则强调回归投资的本源，以朴素的态度研究 ...

Group 1 - Major securities firms are holding their annual strategy meetings for 2025/2026, with 15 firms already scheduled and more expected to join [1][2] - The themes of these meetings include "New Journey," "Intelligent Wave," and "Fifteen Five, Striving for Bull Market," reflecting a focus on innovation and adaptation to current market conditions [1][2] Group 2 - The strategy meetings reveal four key characteristics: frequent use of the word "new," alignment with current trends, adherence to policy directions, and emphasis on trend identification [3] - A notable increase in cross-border ETF inflows, with a 300% year-on-year rise, indicates significant institutional interest in international markets [3] Group 3 - The market is described as a brutal elimination race, with only 40% of stocks rising in 2025 and only 8% achieving over 100% gains, suggesting that the majority of investors are merely participating without substantial returns [4] - Two key rules for identifying potential bull stocks are highlighted: scarcity of good stocks attracts attention from both retail and institutional investors, and significant price increases often require a "washing out" of speculative positions [5] Group 4 - Behavioral finance principles suggest that large capital movements leave identifiable traces, which can be analyzed to predict stock movements [11] - The strategy meetings showcased advancements in AI and data analysis, emphasizing the importance of developing a "data mindset" to understand market dynamics beyond traditional technical analysis [12] Group 5 - Recommendations for ordinary investors include creating a watchlist of stocks with unusual capital movements that have not yet seen price increases, exercising patience in waiting for clear signals, and managing emotions to avoid being swayed by short-term market fluctuations [14]

Group 1 - The core viewpoint of the article highlights the volatility and potential pitfalls in the market, particularly in the context of the silicon industry and stock price movements [1][2][3] - The article discusses the recent price surge in the silicon sector, driven by supply constraints and increased demand, but warns that this may not be sustainable as institutional investors may be offloading shares while retail investors rush in [2][4] - It emphasizes the discrepancy between index performance and individual stock movements, suggesting that a rising index does not necessarily indicate broad market strength, as evidenced by the decline in the percentage of stocks rising alongside the index [2][3] Group 2 - The article presents a cautionary tale about the dangers of following market trends blindly, particularly when media coverage is overwhelmingly positive, indicating a potential market peak [5][6] - It advises investors to be wary of unusual market behaviors, such as a rising index accompanied by falling individual stock prices, which could signal underlying weaknesses [5][6] - The importance of utilizing quantitative tools to track real capital flows and identify genuine market trends is stressed, as this can provide a competitive edge in an information-asymmetric environment [5][6]

中银量化大类资产跟踪 A 股市场缩量反弹，贵金属涨幅居前 金融工程| 证券研究报告 —周报 2025 年 11 月 30 日 股票市场概览 本周 A 股市场整体上涨，港股市场整体上涨，美股市场普遍上涨，其 他海外权益市场普遍上涨。 A 股风格与拥挤度 成长 vs 红利：相对拥挤度及超额净值近期处于历史较高位置，需注 意成长风格的配置风险。 小盘 vs 大盘：相对拥挤度及超额净值均未处于历史高位，小盘风格 当前具有较高的配置性价比。 微盘股 vs 中证 800：相对拥挤度及超额净值持续处于历史高位，需注 意微盘股风格的配置风险。 A 股行情跟踪 A 股估值与股债性价比 A 股资金面 汇率市场 近一周在岸人民币较美元升值，离岸人民币较美元升值。 商品市场 本周中国商品市场整体上涨，美国商品市场整体下跌。 风险提示 量化模型因市场剧烈变动失效。 中银国际证券股份有限公司 具备证券投资咨询业务资格 金融工程 证券分析师: 郭策 (8610) 66229081 ce.guo@bocichina.com 证券投资咨询业务证书编号：S1300522080002 联系人：宋坤笛 (8610) 83949524 kundi.s ...

本文首发于公众号"私募排排网"。 （点击↑↑ 上图查看详情 ） 私募指数增强策略是以跟踪某一特定指数（如沪深300、中证500、中证1000等）为目标，在严控误差的前提下，通过量化方式调整投资组合， 力求获取超越标的指数一种投资策略。 指数增强 策略的重点也就在于它的 "强"，强过对应指数，也就是跑出正超额收益。 然而在近五年的A股行情中，经历了地缘政治、疫情、关税冲击等一系列不确定性的冲击下，市场跌宕起伏。以沪深300指数为例，2021年-2023 年涨跌幅分别为-5.20%、-21.63%、-11.38%、2024年涨幅为14.68%，今年来延续涨势。 在这种行情下，私募指数增强策略想要跑出自己的 "强"实属不易，而在这近五年行情中，能够连续五年跑出超额收益更是凤毛麟角，为了给予 更有价值的信息，本文按不同指增策略，分别梳理出连续五年跑出正超额收益的产品，供投资者参考。 0 1 沪深300指增：幻方、龙旗、明汯领衔！白鹭资管上榜！ 沪深300指数在2021年-2024年的涨跌幅分别为-5.20%、-21.63%、-11.38%、14.68%，此外，截至11月21日，今年来的涨幅为14.75%；私募排 排网 ...

Core Insights - The "2025 Quantitative Industry High-Quality Development Conference and Financial Technology Quantitative Institution Golden Bull Award Ceremony" was held in Shanghai, where Square and Investment won the "Three-Year Golden Bull Quantitative Institution (Long/Short Hedge Strategy)" award [1][2] Group 1: Company Achievements - Square and Investment has received over 70 prestigious awards since its establishment in August 2015, including the Golden Bull Award, highlighting its long-term stable strategy performance [2] - The award coincides with the tenth anniversary of Square and Investment, recognizing the company's development achievements under the theme "Ten Years of Strategy, Ten Years of Longevity" [2] Group 2: Research and Development Strategy - The company employs a five-in-one strategy development model that includes data processing, factor mining, factor synthesis, portfolio optimization, and trading, based on over ten years of historical data [3] - The factor research is conducted using a "strong effectiveness + low correlation" quantitative standard, ensuring high quality and strong logical consistency while controlling for overfitting [3] Group 3: Future Outlook - Square and Investment aims to continue adhering to its core values of "research-driven, pursuit of excellence," focusing on strategy innovation, technology upgrades, and risk control [3] - The company is committed to enhancing its comprehensive service capabilities and contributing to the high-quality development of the quantitative industry [3]

Quantitative Models and Construction Methods 1. Model Name: PB-ROE-50 Combination - **Model Construction Idea**: The PB-ROE-50 combination is designed to capture excess returns by selecting stocks with favorable Price-to-Book (PB) and Return on Equity (ROE) characteristics[25] - **Model Construction Process**: The model selects stocks based on PB and ROE metrics, with adjustments for market capitalization and rebalancing on a periodic basis. The detailed construction process is referenced in a prior report[25][26] - **Model Evaluation**: The model demonstrated significant excess returns across different stock pools during the analyzed period, indicating its effectiveness in identifying profitable investment opportunities[25][26] 2. Model Name: Institutional Research Combination - **Model Construction Idea**: This model leverages the insights from public and private institutional research to identify stocks with potential for excess returns[28] - **Model Construction Process**: The model uses a strategy that tracks stocks selected by public and private institutional research, with adjustments made relative to the CSI 800 index. The methodology is detailed in prior reports[28] - **Model Evaluation**: The model showed strong performance, achieving positive excess returns, which highlights the value of institutional research in stock selection[28][29] 3. Model Name: Block Trade Combination - **Model Construction Idea**: This model identifies stocks with high block trade activity and low volatility, which are likely to outperform[32] - **Model Construction Process**: The model is constructed based on the "high transaction, low volatility" principle, using monthly rebalancing. The detailed methodology is outlined in a prior report[32] - **Model Evaluation**: The model effectively captures excess returns, demonstrating the informational value of block trade activity[32][33] 4. Model Name: Private Placement Combination - **Model Construction Idea**: This model focuses on stocks involved in private placement events, aiming to capture event-driven excess returns[38] - **Model Construction Process**: The model is constructed by considering factors such as market capitalization, rebalancing cycles, and position control, with the private placement announcement date as the key event. The detailed methodology is provided in a prior report[38] - **Model Evaluation**: The model showed a slight negative excess return during the analyzed period, suggesting limited effectiveness in the current market environment[38][39] --- Model Backtesting Results 1. PB-ROE-50 Combination - Weekly excess return: CSI 500: 0.47%, CSI 800: 1.54%, All-market: 1.59%[25][26] - Year-to-date excess return: CSI 500: 2.06%, CSI 800: 15.14%, All-market: 18.32%[26] 2. Institutional Research Combination - Weekly excess return: Public research: 3.63%, Private research: 3.32%[28][29] - Year-to-date excess return: Public research: 16.50%, Private research: 15.79%[29] 3. Block Trade Combination - Weekly excess return: 2.93%[32][33] - Year-to-date excess return: 39.24%[33] 4. Private Placement Combination - Weekly excess return: -0.01%[38][39] - Year-to-date excess return: -3.70%[39] --- Quantitative Factors and Construction Methods 1. Factor Name: Momentum Spring Factor - **Factor Construction Idea**: Captures momentum effects by identifying stocks with strong recent performance trends[12][13] - **Factor Construction Process**: The factor is calculated based on recent price movements, adjusted for market and sector effects. The exact formula is not provided in the report[12][13] - **Factor Evaluation**: Demonstrated strong positive returns across multiple stock pools, indicating its effectiveness in capturing momentum effects[12][13] 2. Factor Name: Early Morning Return Factor - **Factor Construction Idea**: Measures the return performance of stocks during the early trading hours[12][13] - **Factor Construction Process**: The factor is calculated by isolating returns during the early trading hours and adjusting for market and sector influences[12][13] - **Factor Evaluation**: Showed consistent positive returns, highlighting its potential as a predictive factor[12][13] 3. Factor Name: Single Quarter ROA - **Factor Construction Idea**: Focuses on the return on assets (ROA) for a single quarter to identify efficient companies[12][13] - **Factor Construction Process**: The factor is derived from quarterly financial reports, specifically the ratio of net income to total assets, adjusted for market and sector effects[12][13] - **Factor Evaluation**: Demonstrated positive returns, indicating its utility in identifying fundamentally strong companies[12][13] --- Factor Backtesting Results 1. Momentum Spring Factor - Weekly return: CSI 300: 2.26%, CSI 500: 2.56%, Liquidity 1500: 3.25%[12][13][19] - Monthly return: CSI 300: 3.00%, CSI 500: 0.55%, Liquidity 1500: -0.79%[13][15][19] - Year-to-date return: CSI 300: 8.96%, CSI 500: 5.35%, Liquidity 1500: 9.79%[13][15][19] 2. Early Morning Return Factor - Weekly return: CSI 300: 1.88%, CSI 500: 2.66%, Liquidity 1500: 3.21%[12][13][19] - Monthly return: CSI 300: 1.48%, CSI 500: 1.81%, Liquidity 1500: 0.66%[13][15][19] - Year-to-date return: CSI 300: 4.90%, CSI 500: 4.18%, Liquidity 1500: 11.40%[13][15][19] 3. Single Quarter ROA - Weekly return: CSI 300: 1.90%, CSI 500: -0.90%, Liquidity 1500: 0.68%[12][13][19] - Monthly return: CSI 300: 1.19%, CSI 500: 0.47%, Liquidity 1500: -1.20%[13][15][19] - Year-to-date return: CSI 300: 20.46%, CSI 500: -3.19%, Liquidity 1500: 10.47%[13][15][19]

中证报中证网讯(王珞)11月28日，由中国证券报主办，华鑫证券、西岸集团联合承办，深圳数据经济研 究院提供独家学术支持的"2025量化行业高质量发展大会暨金融科技.量化机构金牛奖颁奖典礼"在上海 徐汇西岸举行。上海锐耐私募基金管理有限公司荣获"年度金牛量化机构(多空对冲策略)"奖。 锐耐私募作为国内量化投资领域的杰出代表，是一家以低延时套利策略为核心，深度融合顶尖信息技术 (IT)、前沿算法与严谨投研团队的专业机构。10月15日，锐耐私募获得"金牛私募管理公司(年度相对价 值策略)"奖。 市场的认可是衡量一家私募管理公司成功与否的最终标准。在过去短短三年多时间，锐耐私募凭借其出 色的策略表现，在各类大小规模的行业实盘竞赛中，累计斩获了超过一百个冠亚军奖项，不仅体现了其 策略的强大普适性与盈利能力，更彰显了团队在不同市场环境下的卓越适应性和稳定性。 锐耐私募旗下产品以其鲜明的"低回撤、高夏普"特征而备受市场青睐。在追求阿尔法收益的同时，公司 将风险控制置于首位。通过精密的模型设计和严格的风控体系，其产品净值曲线平滑，回撤幅度远低于 行业平均水平，为投资者提供了卓越的持有体验。极高的夏普比率则意味着，投资者在承担 ...

Core Insights - The development of quantitative investment is at a new historical starting point, emphasizing the integration of innovation and responsibility for sustainable growth [1][3] - The 2025 Securities Industry Golden Bull Award highlights outstanding quantitative institutions, showcasing their innovation and compliance in the industry [1][3] Industry Development - Quantitative investment has evolved over more than half a century globally, significantly impacting capital market operations [3] - Despite its late start in China, quantitative investment is experiencing a golden development period characterized by innovation and responsibility, driven by a large market capacity and advancing financial technology [3][4] Technological Innovation - Quantitative investment is a core application of financial technology, integrating big data, artificial intelligence, and cloud computing to shift investment management from experience-driven to data-driven and intelligent [3][4] - The focus on rational investment principles enhances decision-making logic and objectivity, reducing irrational trading impacts on the market [3][4] Market Efficiency - Quantitative investment acts as an engine for market efficiency, improving trading liquidity and price discovery mechanisms through innovative trading tools and pricing models [4] Social Responsibility - Financial institutions, including quantitative firms, must uphold social responsibility while innovating, ensuring the protection of investors' legal rights [6] - Quantitative institutions play a crucial role in guiding investor structure optimization and providing professional investment channels [6] Regulatory Alignment - The development of quantitative investment aligns with the regulatory focus on enhancing capital market functions, particularly in technology finance, green finance, and inclusive finance [6] Company Strategy - The company has positioned financial technology at the core of its development strategy since 2017, focusing on technology-driven competitive differentiation [7] - A comprehensive service ecosystem is being built, covering product design, strategy incubation, trading execution, risk control, and custody services [7] Future Outlook - The company aims to leverage this event to reinforce its innovation-driven path and fulfill its industry mission, contributing to the high-quality development of the capital market and the transformation of the real economy [8]

● 本报记者 林倩 马爽 11月28日，以"创新驱动·责任担当"为主题的"2025量化行业高质量发展大会暨金融科技·量化机构金牛奖 颁奖典礼"在上海徐汇西岸举行。来自国内顶尖量化机构、科技领军企业的超300位嘉宾参会，围绕金融 科技、量化投资创新、AI技术应用等前沿议题，共同探讨证券行业发挥"金融+技术"优势、助力新质生 产力发展的路径。 量化投资迎黄金发展期 在人工智能、大数据、高性能计算等前沿科技重塑金融生态的关键阶段，量化投资作为科技与金融深度 融合的核心领域，不仅是重塑行业生态、提升金融服务质效的核心引擎，更肩负着服务实体经济、推动 资本市场高质量发展、培育新质生产力的时代使命。 华鑫证券党委书记、董事长俞洋在致辞中表示，量化投资的发展已站在新的历史起点，唯有将创新精神 融入行业血脉，将责任担当刻入发展基因，方能行稳致远。 在俞洋看来，我国量化行业虽起步相对较晚，但依托庞大的市场容量、持续进步的金融科技以及日益完 善的监管环境，展现出蓬勃的发展活力与创新动能，量化投资正迎来以"创新提质、责任筑基"为特征的 黄金发展期，"创新"与"责任"在资本市场中的价值体现日益突出。 华鑫证券副总经理、首席信息官王习 ...