2025 年 11 月 22 日 总量研究 ——量化组合跟踪周报 20251122 因子表现分化，市场大市值风格显著 要点 量化市场跟踪 大类因子表现：本周全市场股票池中，市值因子获取正收益 0.99%，市场大市 值风格显著；杠杆因子、流动性因子、残差波动率因子、估值因子分别获取负收 益-0.41%、-0.43%、-0.50%、-0.68%；其余风格因子表现一般。 单因子表现：沪深 300 股票池中，本周表现较好的因子有日内波动率与成交金 额的相关性(1.23%)、ROE 稳定性 (1.14%)、下行波动率占比 (1.13%)。表现较 差的因子有早盘收益因子 (-2.46%)、动量弹簧因子 (-2.21%)、净利润断层 (-1.72%)。 中证 500 股票池中，本周表现较好的因子有单季度总资产毛利率(1.82%)、动量 调整大单(1.66%)、总资产毛利率 TTM (1.63%)。表现较差的因子有单季度 ROA 同比(-0.66%)、单季度 ROE 同比(-0.55%)、ROIC 增强因子(-0.53%)。 流动性 1500 股票池中，本周表现较好的因子有净利润率 TTM (1.82%)、营业利 润率 TT ...

Core Viewpoint - Quantitative investment is a systematic investment approach based on mathematical models, algorithms, and computer technology, which does not rely on subjective judgment but rather on rigorous data analysis and model construction to identify market patterns and make investment decisions [2] Market Performance - Over the past three years (November 2022 to October 2025), major stock indices in A-shares, Hong Kong, and the US have shown impressive performance, with the Hong Kong and US markets being particularly strong [2] - A-shares transitioned from a bear market to a bull market around September 2024, with cumulative gains as follows: - Shanghai Composite Index: 36.68% - Shenzhen Component Index: 28.67% - ChiNext Index: 40.73% - CSI 300: 32.26% - CSI 500: 26.24% - CSI 1000: 19.29% - CSI 2000: 39.41% - Hang Seng Index: 76.39% - Hang Seng Tech Index: 107.11% - Dow Jones Industrial Average: 45.31% - Nasdaq: 115.91% - S&P 500: 76.66% [3] Quantitative Private Equity Performance - As of October 2025, there are 103 quantitative private equity firms with at least three products displayed on the platform, achieving an average return of approximately 59.52% and a median return of about 53.04%, outperforming major A-share indices [3][6] Top Performing Quantitative Private Equity Firms - The top three firms in the billion-dollar category are: - Maoyuan Quantitative - Tianyan Capital - Century Frontier - Maoyuan Quantitative has five products that reached historical highs in October 2025, with an average return exceeding ***% [5][11] - Ningbo Huanfang Quantitative, with 11 products, also achieved historical highs in October 2025, with an average return exceeding ***% [11][20] Performance by Firm Size - For firms with assets under management between 10 billion and 50 billion, the top five are: - Guangzhou Shouzheng Yongqi - Oak Asset Management - Zhixin Rongke - Yanhe Investment - Wuliang Capital [16][22] - For firms with assets between 50 billion and 100 billion, the top performers include: - Dayan Capital - Yunqi Quantitative - Anzi Fund [12][14] - For firms below 10 billion, the top five are: - Shanghai Zijie Private Equity - Quancheng Fund - Huacheng Private Equity [22][24]

证券分析师：徐康 电话：021-20572556 邮箱：xukang@hcyjs.com 执业编号：S0360518060005 行业研究 证 券 研 究 报 告 金融资金面跟踪：量化周报（2025/11/10~2025/11/14） 推荐（维持） 私募超额持续正增，小微盘超额有所走强 | 华创证券研究所 | | --- | 证券分析师：刘潇伟 邮箱：liuxiaowei@hcyjs.com 执业编号：S0360525020001 联系人：杜婉桢 邮箱：duwanzhen@hcyjs.com 本周样本量化私募收益及超额如下：1）300 增强策略周/月/年初以来平均收益分别 为-0.1%/+2.2%/+28.5%，周/月/年初以来平均超额分别为+0.9%/+1.8%/+7.7%；2）500 增 强策略周/月/年初以来平均收益分别为 0%/+1.6%/+38.5%，周/月/年初以来平均超额分别 为 +1.2%/+3.8%/+13.1% ； 3 ） A500 增强策略周 / 月 / 年 初 以 来 平 均 收 益 分 别 为 +0%/+2.6%/+29.9%，周/月/年初以来平均超额分别为+1%/+2.7%/+9. ...

Core Viewpoint - The article discusses the retirement of investment legends like Warren Buffett and the emergence of new investment philosophies, highlighting the shift in investment paradigms and the need for self-reliance among investors as traditional masters fade away [2][3][10]. Group 1: Retirement of Investment Legends - Warren Buffett announced his retirement as CEO of Berkshire Hathaway, emphasizing the importance of seizing the moment and not waiting for regret [3][5]. - The article notes the passing of other investment icons, including Wang Guobin and Charlie Munger, marking a significant transition in the investment landscape [10]. Group 2: Investment Strategies and Philosophies - The article highlights the influence of investment masters like Buffett, Munger, and Soros on contemporary investors, with their philosophies shaping investment strategies [14][16]. - It discusses the importance of understanding high-quality companies and the value of patience in investment, as exemplified by figures like Zhang Kexing and Wang Yongqing [15][38]. Group 3: The Changing Investment Landscape - The article points out that financial investments are increasingly favored over real estate, with high-risk assets in China projected to rise from 9% to 15% by Q3 2025 [9]. - It mentions the growing role of artificial intelligence in trading, with 80% of trading volume in the US market being executed by machines [20]. Group 4: Future of Investment Masters - The article speculates on the characteristics of future investment leaders, emphasizing the need for interdisciplinary knowledge, data-driven decision-making, and a deep understanding of corporate structures [30][32]. - It suggests that future investment heroes may emerge from diverse backgrounds, including those who can navigate the complexities of AI and geopolitical changes [40][43].

基金经理何翔:在整个三季度,A股市场主要是大盘科技成长风格占优的阶段,并且带动了大盘指数连续上 行,这个阶段小微盘股是相对弱势一些的。我们看到的市场始终是结构性牛市,不同阶段不同风格轮换表 现是正常现象。也正是这些大盘成长股的持续大幅上涨,伴随小微盘股的暂缓休憩,让小微盘股进入了性 价比更优的阶段,也进一步打开了小微盘股后续的上涨空间。 基金经理何翔:渤海汇金公募量化权益部总经理,兼公募量化权益部量化投资团队负责人、量化投资总监, 二十一年量化投研从业经历,现任渤海汇金新动能主题混合型基金基金经理。 大家好,我是渤海汇金霄霄,有这么一只小微盘策略基金,渤海汇金新动能主题混合型基金(基金代 码:010584),今年以来的收益已经超过40%,近一年的收益也有近70%(均截止2025年8月1日)①。那么这只 基金究竟有什么独到之处呢,之前的访谈系列中,霄霄代大家采访了渤海汇金新动能的基金经理何翔老师, 今天我们将继续和基金经理对话,帮助大家更好的了解这只小微盘策略基金。 渤海汇金霄霄:首先祝贺您管理的渤海汇金新动能主题混合型基金荣获中国证券报颁发的三年期积极混 合型金牛奖②,对于能够再次荣获金牛奖,您有什么感想吗? ...

Market Overview - In October, the A-share market is characterized by a "slow bull market" with indices fluctuating upwards, rapid sector rotation, and increasing trading volume [2] - The number of private equity firms with assets exceeding 10 billion reached 18 in October, setting a new monthly record for the year [2] Performance of Private Equity Firms - The average return of private equity products from January to October has shown significant changes in rankings among different investment modes [2] - Among private equity firms managing over 500 million, a list of the top 100 subjective and quantitative private equity firms based on returns has been compiled [2] Quantitative Private Equity Rankings - In the top 100 quantitative private equity firms, 36 firms have over 10 billion in assets, with 22 of them ranking in the top 50 [3] - The average return threshold for firms to be included in the top 100 was set at ***% [3][11] Subjective Private Equity Rankings - In the top 100 subjective private equity firms, the average return also surpassed that of the top quantitative firms [11] - The majority of subjective private equity firms are in the 500 million to 1 billion range, with Shenzhen having the highest number of firms [12] Small and Beautiful Private Equity Rankings - Among the "small and beautiful" private equity firms with assets between 0-2 billion, there are 457 firms that meet the ranking criteria [20] - The majority of these firms are subjective private equity, with significant representation from Shanghai and Shenzhen [20] Notable Firms and Strategies - Huacheng Private Equity achieved the highest average return among quantitative firms, focusing on derivatives trading [6] - Yongshu Investment, ranked 9th among subjective firms, emphasizes a balanced approach to risk and return, focusing on sectors like semiconductors and new energy [19][24]

Core Viewpoint - The article highlights the significance of small to medium-sized private fund managers in the industry, particularly focusing on Wuliang Capital, which has shown strong performance in quantitative investment strategies [3][6]. Part 1: Company Overview - Wuliang Capital, established in 2015, specializes in quantitative investment and is based in Shenzhen, with a current management scale of approximately 2 billion RMB [6]. - The company has expanded its focus from A-share quantitative investment to include macro quantitative and CTA quantitative strategies, aiming to develop a multi-asset, multi-strategy approach [6]. Part 2: Core Team - Wuliang Capital employs a team of 20, primarily consisting of research personnel with backgrounds in statistics, finance, mathematics, and computer science from prestigious universities [10]. - The team has accumulated extensive experience in quantitative and portfolio management across various asset classes, including stocks and futures [10]. Part 3: Core Strategies and Representative Products - The company has evolved its strategies from a focus on quantitative stock selection to a diversified macro quantitative multi-asset strategy since 2022 [20]. - The macro quantitative multi-strategy product aims to achieve stable long-term growth by diversifying investments across various asset classes while managing risks effectively [20]. - The product's design is inspired by Bridgewater's all-weather strategy, emphasizing risk parity and low correlation among assets [20]. Part 4: Core Advantages - Wuliang Capital's approach is data-driven, focusing on asset allocation and enhancement rather than relying on subjective predictions [22]. - The product's performance has been diversified, with returns coming from a broader range of assets compared to other macro products that may rely heavily on a few asset types [22]. - The company has achieved positive returns for three consecutive years, demonstrating strong risk-adjusted returns [22]. Part 5: Continuous Evolution Capability - The company plans to expand its strategy lines and enhance its quantitative trading and research systems to support steady growth in management scale [23]. - Wuliang Capital aims to strengthen its position in quantitative investment by investing in talent and optimizing its data-driven research model [23].

Core Viewpoint - The article provides an overview of the performance and distribution of private equity firms in China, highlighting the concentration of firms in major cities and their respective performance metrics for the year 2025 up to October [2][3]. Group 1: Private Equity Firm Distribution - As of October 2025, there are 7,586 private equity firms in China, with 5,479 located in first-tier cities (Beijing, Shanghai, Guangzhou, Shenzhen, Hangzhou), accounting for 72.22% of the total [2]. - Shanghai has the highest number of top-tier private equity firms (108), followed by Beijing (57) and Shenzhen (26) [2]. Group 2: Performance Metrics by Region - In Beijing, 745 products showed an average return of 29.54% from January to October 2025 [3]. - Shanghai's 1,519 products had an average return of 28.36% during the same period [3]. - Guangzhou's 288 products achieved an average return of 34.05% [3]. - Shenzhen's 884 products reported an average return of 31.67% [3]. - Hangzhou's 330 products had the highest average return at 36.48% [3]. Group 3: Top Performing Private Equity Firms - In Beijing, the top three performing firms are Beijing Xiyue Private Equity, Beiheng Fund, and Huacheng Private Equity [5]. - Shanghai's top three firms are Hengsui Asset, Haiseng Fund, and Jiugao Investment [9]. - Guangzhou's leading firms include Jingyan Private Equity, Hainan Xiangyuan Private Equity, and Zeyuan Investment [13]. - Shenzhen's top performers are Qiantou Investment, Fuyuan Capital, and Shenzhen Zeyuan [18]. - Hangzhou's leading firms are Nongfu Private Equity, Haokun Shengfa Asset, and Berkshire Investment [23]. Group 4: Notable Characteristics of Top Firms - Beijing Xiyue Private Equity has a management scale of approximately 416 million and a standout product with a high return [7][8]. - Hengsui Asset in Shanghai has a management scale of about 88 million and is noted for its strong performance [12]. - Jingyan Private Equity in Guangzhou focuses on technology innovation and advanced manufacturing [16]. - Qiantou Investment in Shenzhen emphasizes value growth and market dynamics [21]. - Nongfu Private Equity in Hangzhou has a management scale of approximately 553 million and maintains a focus on technology [25]. Group 5: Other Regions - Outside the major cities, there are 2,107 private equity firms, with an average return of 25.93% for 1,294 products [26]. - The top firms in these regions include Luyuan Private Equity, Mingze Investment, and Yidian Najin (Quanzhou) Private Equity [31].

来源：智通财经 周一，金融市场面临又一轮猛烈的抛售，席卷了从黄金到加密货币再到此前高飞的科技股在内的诸多资 产，并将道指拖入了自今年四月特朗普关税风波以来最糟糕的三日连跌。 智通财经周一早间就曾介绍过，过往当其他资产走弱时，投资者往往会转向黄金寻求更安全的资金"避 风港"。然而，本月的情况却并非如此——近期，黄金与美股常常出现同步下跌的情况，一些业内人士 已开始担心，这可能暗示市场正面临更为严峻的局面，尤其当这意味着投资者无处可寻避风港时…… 本月以来，美股市场的震荡已持续加剧，因科技巨头们宣布巨额资本支出计划，而这些计划日益依赖于 发行大量债务。交易员的忧虑情绪已将华尔街的"恐慌指数"——芝商所波动率指数VIX，推升至了四月 特朗普"解放日"关税公告以来的最高水平之一。 高盛资产管理公司全球量化投资策略联席主管Osman Ali表示，"尽管(AI领域的)赢家应该会多于输家。 但同时很明显，有些企业将无法在这个新世界中竞争。" 行情数据显示，截至周一收盘，科技股占比较高的纳斯达克指数周一下跌0.8%，标普500指数下跌 0.9%。道琼斯工业平均指数下跌1.2%，跌幅达557点。 即便是股神巴菲特"破天荒"对谷 ...

| 百亿量化私募最新全名单 | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | | 数据来源:私募管理人(经托管复核)/托管人,整理自私募排排网, | | | | | | | | | 截至2025年10月底。按员工人数由高到低排序。 | | | | | | | | | 自发:私募排排网公众号 | | Q | | | | | | | 办公城市 核心策略 排序 | 公司简称 | 实控人 | | | 成立时间 | 员工 | 是否有9 | | | | | | | | 人数 | 号牌 | | C | 九坤投资 | 姚齐聪, 壬琛 | 北京 | 股票 | 2012-04 | 160 | 是 | | 2) | 灵均投资 | 蔡建良 | 北京 | 股票 | 2014-06 | 155 | 合 | | 3 | 佳期秋景 | 吴霄霄 | 上海 | 股票 | 2014-11 | 148 | 를 | | 4 | 员德私募 | 徐御之 | 上海 | 股票 | 2014-11 | 1 245 | 是 | | 5 | 因语资产 | 徐书楠 | 北京 | 股票 ...