ETF 规模扰动提前透支了 A500 主线行情预期，量化策略风险敞口边际进一步收紧空 间有限，2026 年 1 月微盘股复苏节奏有望比往年提前。从 IM 基差维度来看，对冲策 略有望节后重新建仓，其将是小微盘复苏的重要催化。 ❑ 如何理解微盘股 4 季度的震荡行情？ 对冲策略年末保收益，资金面形成蓄力。12 月末私募基金需要根据当年收益来 计提业绩报酬，而 2025 年量化产品在上下半年呈现两极分化的表现，上半年平 均 500 指增超额年化 22.7%，大幅领先其他权益类产品。而下半年，尤其是 8 月 上旬至 9 月中旬，量化策略普遍跑输市场，对冲类产品更是受基差影响，平均回 撤 3%-5%左右。因此，年末私募产品对风险的敏感度比往年更高，从基差变化 可以看出，期货空头力量频繁变化，IM 年化基差在 18%-5%之间大幅波动，截 至 12 月 31 日，IM 年化基差收敛至 5%附近。即使是指增多头类策略，面对 A500 带来的权重股强势行情，风险敞口亦大幅收紧。对此，我们认为转机有望 在元旦后出现，对冲产品批量建仓，量化敞口的放开，都将为小微盘带来结构性 资金流入。 ❑ 如何理解 A 股微型股长期牛市？ 微 ...

2025年，私募行业可谓是百花齐放，捷报频传。10月， 百亿私募数量突破100家，私募业重返百家百亿的"双百时代"。 11月底，全国七千余家 存续证券类私募中，超六百家规模实现年度跃升，近百家机构规模跃升两级及以上，中坚力量势头强劲。"小而美"私募也不遑多让，凭借差异化 策略与灵活性操作，深耕细分领域持续创造超额Alpha，为行业生态注入了蓬勃活力。 2025私募十大现 象级事件：AI布局加速、百亿格局巨变... 私 募 基 金 近 1 年 收 益 TOP20 揭 晓 ！ 主 观 多 头 上 榜 门 槛 竟 这 么 高 ！ 百亿私募最新业绩榜揭晓！复胜、幻方居前！东方港湾领先近3年！ 往期推 荐 RECOMMEND 行业规模与产品发行同步走高 ：10月末， 国内存续私募基金管理规模首破 22万亿元大关 ；11 月末进一步攀升至22.09万亿元。截至12月25 日，私募排排网数据显示， 年内新备案产品数量超 1.2万只， 产品种类日趋多元，发行热度持续高涨。 从业绩表现来看，行业整体收获颇丰。截至2025年11月底， 私募排排网 有业绩展示的5116只产品，近1年平均收益为***%；策略层面，量化多 头、主观多 ...

Core Viewpoint - Hedge funds achieved their highest overall returns in at least five years in 2025, driven by significant gains in the U.S. stock market, particularly in the AI sector, and volatility in the bond and currency markets due to trade tensions [1][3]. Performance Highlights - Bridgewater's flagship fund, Pure Alpha II, recorded a historic return of 34%, marking a significant recovery from annual returns below 3% from 2012 to 2024 [1][2]. - The Melqart Opportunities Fund led the performance with a return of 45.1%, while other notable funds included Bridgewater's Asian Macro Fund at 37% and the All Weather Fund at 20% [4][6]. - D.E. Shaw's flagship multi-strategy fund, D.E. Shaw Composite, achieved an 18.5% return, and its Oculus fund reached 28.2% [2][10]. Strategy Analysis - The strong performance of hedge funds is attributed to the flexibility of event-driven strategies, which capitalize on corporate mergers and restructurings amid increasing trade policy uncertainties [7]. - Multi-strategy funds showed varied performance, with Dymon achieving 18.1% and ExodusPoint at 18.04%, while industry giant Millennium only managed a 10.5% return [12]. - In the long/short equity strategy category, Soroban Opportunities delivered a robust 25% return, significantly outperforming the market [13]. Market Context - The U.S. stock indices recorded double-digit annual gains for the third consecutive year, a trend not seen since 2019-2021, with 14 out of 25 major hedge funds outperforming the S&P 500's 16.7% increase [3][5]. - Bridgewater's assets under management reached approximately $92 billion, reflecting its strategic shift towards AI-driven investment decisions [6][11].

Core Insights - The private equity funds have shown significant profitability in 2025, with an average return exceeding 32% and a positive return ratio of 95.02% as of December 26, 2025 [1][2] - The structural market trends and active trading in the equity market have contributed to the strong performance of private equity funds, with expectations for continued profitability into 2026 [1][5] Performance Summary - As of December 26, 2025, the average return for 5022 private equity securities investment funds was 32.66%, with 4772 funds achieving positive returns, representing 95.02% [2] - Among strategies, equity strategies led with an average return of 37.75%, while multi-asset strategies followed with 29.44%, and futures and derivatives strategies had an average return of 24.55% [2] - Quantitative strategies performed exceptionally well, with quantitative long funds achieving an average return of 45.02%, significantly higher than other strategies [3] Market Activity - The private equity fund issuance market has become increasingly active, with 12,382 funds registered in 2025, a 97.35% increase from 6,274 in 2024 [4] - Equity strategies dominated new registrations, accounting for 65.79% of the total, while multi-asset strategies made up 14.20% [4] Outlook for 2026 - Several large private equity firms anticipate that the structural market trends will continue into 2026, supported by a stable macroeconomic environment and a shift in asset allocation towards equity [5][6] - The expected continuation of a low-risk interest rate environment and increased capital expenditure in AI are projected to positively impact the profitability of Chinese manufacturing and equity assets [6]

Group 1: Global Asset Performance and Strategy Evolution in 2025 - In 2025, global financial markets exhibited a "high volatility, high return" structural characteristic, driven by the Federal Reserve's preventive interest rate cuts and a shift towards loose monetary policy globally [2][11] - A-shares and H-shares were at historical low valuations, leading to excellent risk-adjusted returns in equity assets, with AH shares achieving steady returns amidst relatively low volatility [2][11] - The US dollar index fell by 8.5% in the first three quarters, marking the largest decline since 2018, which boosted the revaluation of non-US assets and led to record inflows into emerging market equity funds, totaling $52 billion [2][11] - Gold and other safe-haven assets performed exceptionally well due to geopolitical tensions, trade frictions, and dollar depreciation, becoming important hedging and value-adding tools in portfolios [2][11] - Fixed income assets showed a mixed pattern, with US Treasury yields remaining high and attractive for allocation, while the Chinese bond market experienced significant volatility with limited yield contribution [2][11] Group 2: Asset Management Industry Trends in 2025 - The iteration of quantitative strategies accelerated, driven by AI, with end-to-end models achieving scalable application, demonstrating stronger generalization and adaptability [13][14] - Competition in the quantitative space intensified, leading to product innovation as managers optimized terms and introduced new product forms to enhance client experience [13][14] - Subjective long-only managers faced redemption pressures despite positive returns, with trust in subjective strategies not fully restored, highlighting the need for transparency and long-term performance validation [13][14] - All-weather strategies entered a rapid development phase, with the "stock + gold" allocation further enhancing their effectiveness, showing lower drawdowns and higher Sharpe ratios compared to traditional single-asset strategies [13][14] Group 3: Building Differentiated Competitive Advantages - The company has focused on a "small steps, continuous evolution" development path, building a compounding capability flywheel [5][17] - A subjective manager selection capability has been established, focusing on genuine Alpha creation ability rather than manager history or size [5][17] - A deep evaluation system for quantitative managers has been developed to identify those with differentiated data, computational power, or strategic advantages [6][15] - The company actively covers over 2,000 private equity managers, employing a "broad net, deep digging" approach to capture emerging forces with non-consensus but correct characteristics [7][16] - The company embraces product and tool innovation, maintaining an open attitude towards derivatives, structured design, and risk control mechanisms to enhance client experience [8][17]

货币政策宽松预期受限，市场担忧政府债供给放量，山东债单日供给近 千亿，引发市场对筹码结构不稳固的担忧，空头力量未完全消退。 2026 年初债市预计震荡，十年国债利率波动区间 1.75%-1.85%，30 年国债利率约 2.3%。社融增速预计小幅上升 0.1%，政府债净融资预计 超万亿，银行杠杆票息策略空间有限。 通胀方面，小金属和贵金属价格上涨对 PPI 影响有限，因有色金属在 PPI 权重较低。预计 2026 年一季度 PPI 不会连续为正，明年 2 月 CPI 同比 预计达 1.5%，受春节错位和技术问题影响。 股市春节躁动对债市压力可控，单周涨幅超 10%才会对债券收益率产生 明显压力。央行通过流动性宽松和买入操作维稳市场，大型银行和保险 公司积极配置，无需过度担心政府债供给。 当前阶段应注重空间选择而非时间选择，十年国债利率区间 1.75%- 1.85%，30 年国债约 2.3%。银行杠杆票息策略舒适，调控空间有限， 应关注具体投资品种及其位置。 Q&A 2025 年债券市场在年底出现了较大调整，主要原因是什么？ 固收- 1 月债市展望 20251229 摘要 2025 年年底债券市场的调整主要有两个 ...

2025 年 12 月 29 日 中证 500 指数增强超额难度提升， 传统多因子框架如何应对？ ——量化策略演进手记系列之一 相关研究 证券分析师 权 益 量 化 研 究 证 券 研 究 报 告 请务必仔细阅读正文之后的各项信息披露与声明 本研究报告仅通过邮件提供给 中庚基金 使用。1 量 化 策 略 - 沈思逸 A0230521070001 shensy@swsresearch.com 邓虎 A0230520070003 denghu@swsresearch.com 联系人 沈思逸 A0230521070001 shensy@swsresearch.com | 1. | 中证 | 500 | 指数增强超额难度提升 5 | | --- | --- | --- | --- | | 2. | 中证 | 500 | 指数变化：容错率下降、因子有效性降低..6 | | 2.1 指数维度：收益集中度上升、容错率下降 6 | | | | | 2.2 因子维度：多数传统因子 | | | IC 衰减、规律性减弱 8 | | 3. | 中证 | 500 | 指数增强方法改进 10 | | 3.1 严格化个股权重偏离限制 11 ...

来源：证券时报 迷雾之中，2025年12月26日，一场主题为"新格局、新动能、新机遇——科技引领下的全球多元配 置"的"DeepAlpha年度对话"在北京举行。这场由华夏基金主办的策略会，汇集了知名经济学家刘煜辉、 华夏基金旗下宏观和策略分析师祝青、海外研究小组组长郭琨研，以及顾鑫峰、施知序、孙蒙、华龙等 擅长不同风格的基金经理。 时间的河漫过2025年的堤岸，留下错综的印痕。 过去的三百六十多个昼夜足够精彩，世界在宏大叙事中加速旋转——我们见证了AI的浪潮正以前所未 有的力量驱动现实，见证了科技赛道的不断突围，见证了中国资产在变局中涌动出的澎湃动能，也见证 了美元信用版图浮现的裂痕，以及全球资本在失衡与再平衡之间寻找新的坐标系的过程。 然而，当这些史诗级的主题交汇于年末的盘面，有太多人在起伏不定的行情里感受到了失重般的眩晕， 未来仿佛隐于雾中，脉络未清。人们迫切地想要知道，何处将诞生下一只"易中天"般的明星股票，何处 将崛起下一个从寂静中爆发的产业风口，何处将凝聚下一场在市场分歧中悄然形成的共识，以及，何处 才能寻得那一套能够穿透迷雾、真正解释这个时代的投资叙事。 从全球宏观变局到微观产业脉络，从科技创新浪 ...

时间的河漫过2025年的堤岸，留下错综的印痕。 过去的三百六十多个昼夜足够精彩，世界在宏大叙事中加速旋转——我们见证了AI的浪潮正以前所未有的力 量驱动现实，见证了科技赛道的不断突围，见证了中国资产在变局中涌动出的澎湃动能，也见证了美元信用版 图浮现的裂痕，以及全球资本在失衡与再平衡之间寻找新的坐标系的过程。 然而，当这些史诗级的主题交汇于年末的盘面，有太多人在起伏不定的行情里感受到了失重般的眩晕，未来仿 佛隐于雾中，脉络未清。人们迫切地想要知道，何处将诞生下一只"易中天"般的明星股票，何处将崛起下一个 从寂静中爆发的产业风口，何处将凝聚下一场在市场分歧中悄然形成的共识，以及，何处才能寻得那一套能够 穿透迷雾、真正解释这个时代的投资叙事。 迷雾之中，2025年12月26日，一场主题为"新格局、新动能、新机遇——科技引领下的全球多元配 置"的"DeepAlpha年度对话"在北京举行。这场由华夏基金主办的策略会，汇集了知名经济学家刘煜辉、华夏基 金旗下宏观和策略分析师祝青、海外研究小组组长 郭琨研 ，以及顾鑫峰、施知序、孙蒙、华龙等擅长不同风 格的基金经理。 从全球宏观变局到微观产业脉络，从科技创新浪潮到多元资产 ...

Core Viewpoint - The private equity industry is experiencing significant performance differentiation, with Lin Yuan Investment ranking last with a -4.25% return, while the top firm, Guoyuan Xinda, achieved a 55.24% return, highlighting the challenges faced by traditional value investors in a changing market environment [1][3]. Performance Analysis - Lin Yuan Investment's 18 disclosed products underperformed the CSI 300 index, with the best-performing product, Lin Yuan Investment No. 218, yielding 15.36%, which is lower than the CSI 300's 18.77% increase during the same period [3]. - The product Lin Yuan Investment No. 173 is nearing liquidation with a unit net value of 0.7620 yuan, significantly underperforming the market [3]. - Market reactions have been mixed, with some investors expressing dissatisfaction over missed opportunities in a bull market, while others defend Lin Yuan's long-term investment strategy [3][5]. Investment Strategy - Lin Yuan maintains a calm demeanor amidst performance pressures, denying any risk of liquidation and attributing poor performance to short-term declines in holdings [5]. - He has passively allocated to technology stocks to meet market requirements but expressed regret over this decision, indicating discomfort with tech investments [5]. - Lin Yuan remains committed to his investment strategy without additional risk control measures or adjustments to his holdings [5]. Sector Focus - Lin Yuan expresses strong confidence in the liquor industry, viewing it as a source of "pleasure demand" and suggesting that holding liquor stocks for over 12 years could yield returns through dividends that cover initial investment costs [7]. - He remains cautious about trends targeting younger consumers, noting past attempts by liquor companies to appeal to this demographic have not been very successful [7]. Market Context - The performance struggles of Lin Yuan Investment and other value-focused private equity firms reflect a broader shift in the A-share market, where sectors like AI and semiconductors are leading, while traditional sectors like liquor and pharmaceuticals are lagging [9]. - The rise of quantitative strategies poses significant challenges to traditional value investing, which is undergoing a "test of patience" amid short-term market fluctuations [9]. - Historical parallels are drawn to investment legends like Warren Buffett, who also faced performance challenges while adhering to his investment philosophy during market upheavals [9].