Report Industry Investment Rating No information provided in the content. Core Viewpoints of the Report - The collective failure of traditional quantitative and price factors in 2026 is related to their reverse logic, providing a scenario for the factorization of the industry rotation model with momentum characteristics [2]. - The industry rotation model has long lacked practical use scenarios, but its stability in excess returns meets the requirements of stock - selection factors, laying a foundation for its transformation into a stock - selection factor [2]. - The industry rotation factor has good factor characteristics, with a monthly IC of 5.3% and an ICIR of 0.40, and it can enhance the performance of the traditional multi - factor model [2][30]. - The industry rotation factor conflicts with the industry deviation constraints in the index - enhancement framework, but it still contributes to stock - selection and cannot be replaced by simple industry over - under - weighting or portfolio strategies [2][61]. - Keeping the individual stock deviation constraint at 0.5% while relaxing the industry deviation constraint is currently the best way to use the industry rotation factor [2][62]. Summary by Relevant Catalogs 1. Finding a Usage Scenario for the Industry Rotation Model: Starting from the Failure of Quantitative and Price Factors - Since 2026, index - enhancement funds tracking the CSI 500 index and active quantitative funds' quasi - index products have mostly underperformed the CSI 500 index. As of the end of January, all CSI 500 index - enhancement products underperformed the index, with an average underperformance of 3.46%, and active quantitative products underperformed by 1.96% on average [5]. - The main failed factors are quantitative and price factors such as liquidity, reversal, low - volatility, and market value, whose logic is mostly reverse - oriented. In the context of a rapid rise in the index and continuous driving of some popular sectors and themes in January, these factors not only failed but also reversed [7]. - The industry rotation model is a strongly momentum - driven model. The Shenwan Hongyuan Industry Rotation Model emphasizes momentum in its technical, fundamental, and capital aspects, and can complement traditional quantitative and price factors with reverse logic [10]. - The industry rotation model has long lacked practical use scenarios. Its long - only portfolio performance is not outstanding, and its stable excess return relative to the average of all industries has no practical significance for most investors [13][16]. 2. Factorization of the Industry Rotation Model - Transforming the industry model into a stock - selection model is relatively easy. By splicing the scores of each stock's industry in the industry model, a stock - based score can be obtained. However, due to the large number of stocks belonging to the same industry, the factor shows a segmented score characteristic, and orthogonal processing is required [22]. - The monthly IC of the original industry rotation factor has a correlation of over 0.4 with the growth factor. After orthogonalizing the original industry rotation factor against the growth factor, its performance shows good monotonicity, and its cumulative IC and long - short performance are excellent [23][25]. - From 2017 to January 2026, the monthly average IC of the industry rotation factor reached 5.3%, stronger than other traditional factors, and the ICIR was 0.40, ranking third, indicating excellent factor characteristics [30]. 3. Usage and Comparative Analysis of the Industry Rotation Factor - **Comparison of Four - Factor and Five - Factor Models**: Adding the industry rotation factor to the four - factor equal - weighted model to form a five - factor model can significantly improve the model's performance, especially in recent years, enhancing the model's offensive ability in a bull market and the stability of excess returns [35][38]. - **Factor Equal - Weighting vs. ICIR Weighting**: Changing the factor weighting method from simple equal - weighting to ICIR weighting does not show better results. The five - factor equal - weighted combination with the industry rotation factor performs best in each year and is the only combination with positive excess returns in all years [39]. - **Moving towards the Index - Enhancement Framework: Adding Industry Neutrality and Individual Stock Deviation Constraints**: Adding industry deviation and individual stock constraints to the model makes the industry rotation factor conflict with the industry deviation constraint. Although it can control the maximum drawdown in some years, it also reduces the performance of the five - factor model in terms of returns in some cases. In 2025, the annual excess return becomes negative after adding constraints [41][42]. - **Method of Constraining Industry Deviation Ranking through Industry Scoring**: Using industry scoring to control industry deviation ranking without using the industry rotation factor for stock - selection results in weaker performance compared to the five - factor model with industry and individual stock constraints. This method is not the best option [44]. - **Multi - Strategy Portfolio: Using Industry Rotation as a Satellite Portfolio "Platter"**: Using the industry rotation factor as a separate strategy to form a satellite portfolio and combining it with a four - factor portfolio does not show obvious advantages. The performance of the "platter portfolio" is difficult to outperform, and only the 3:7 ratio combination has a slight competitive edge, but it also shows negative excess returns in January 2026 [50]. - **Current Best Solution: Relaxing Industry Deviation while Maintaining Individual Stock Deviation Constraints**: Keeping the individual stock deviation constraint at 0.5% and relaxing the industry deviation constraint to 4% or 5% can improve the overall excess return of the portfolio, reduce the maximum drawdown of excess returns, and have a negligible impact on tracking error. This is currently the best way to use the industry rotation factor [53][57]. 4. Summary - The industry rotation model has long lacked practical use scenarios, but its stability characteristics provide a basis for its transformation into a stock - selection factor. - The industry rotation factor has good characteristics and can enhance the performance of the traditional multi - factor model, but it conflicts with the industry deviation constraint in the index - enhancement framework. - The industry rotation factor contributes to stock - selection and cannot be replaced by simple strategies. Relaxing the industry deviation constraint while maintaining the individual stock deviation constraint is the best solution [60][61][62].

Core Insights - The private equity funds in 2025 have shown strong performance, with an average return of 34.86% among 57 billion-yuan private equity funds, significantly outperforming the Shanghai Composite Index, which rose by 18.41% [1] - Quantitative strategies have emerged as the dominant approach among leading private equity firms, with 17 out of the top 20 funds utilizing this strategy [5] Performance of Private Equity Funds - Lingjun Investment achieved the highest average return of 73.51% in 2025, leading the market [2] - Yuanxin Investment and Fusheng Asset followed closely with returns exceeding 70%, ranking second and third respectively [3] - Lin Yuan Investment was the only fund with a negative average return in 2025, attributed to its heavy investment in "old stocks" [3] Quantitative Strategies - The success of quantitative strategies in 2025 is not solely due to a bull market; rather, it is linked to improvements in trading volume, volatility, and liquidity [6] - Quantitative strategies are predominantly employed by larger private equity funds, with less than 10% of funds below 50 million yuan utilizing this approach [7] Regional Distribution of Private Equity Funds - The majority of billion-yuan private equity managers are concentrated in first-tier and strong second-tier cities, with Shanghai, Guangdong, and Beijing leading in numbers [9] - Guangdong's private equity funds benefit from a complete industrial chain and high information flow efficiency, particularly in emerging industries [10] Talent and Investment Preferences - Talent availability significantly influences the performance of private equity funds, with the Yangtze River Delta and Pearl River Delta regions each having their unique advantages [10][11] - The investment mindset in the Jiangsu-Zhejiang-Shanghai region is more progressive, showing a higher acceptance of new strategies and innovative products [11]

2026.02. 02 本文字数：2119，阅读时长大约4分钟 作者 | 第一财经 齐琦 黄金白银跌势延续。 截至发稿，现货白银失守75美元/盎司，跌超11%。现货黄金开盘下挫，现报4703美元/盎司，盘中最低触及每盎司4583美元。 2月2日，国内市场"接棒"国际贵金属市场史诗级暴跌，国内商品期市午盘大面积收跌，沪银、钯、铂跌停，沪金跌11.68%；基本金属全部下跌，沪锡跌 停；能源品、黑色系、化工品纷纷跟跌。 A 股 市 场 上 ， 贵 金 属 、 有 色 板 块 亦 大 面 积 重 挫 ， 中 金 黄 金 （ 600489.SH ） 、 四 川 黄 金 （ 001337.SZ ） 、 白 银 有 色 （ 601212.SH ） 、 豫 光 金 铅 （600531.SH）等多股跌停。黄金股ETF、黄金股票ETF开盘跌停，国投白银LOF今日复牌后一字跌停。 "在这一急涨与暴跌交织的巨震面前，任何点位测算都显得苍白且无力，"中金公司最新发布的研究报告分析称，金价显然已超越单纯的基本面主导，传 统的黄金测算模型如实际利率已失效。影响更大的地缘与货币体系重构因素，目前没有具体兑现时间，短期留给市场想象空间。投资者 ...

黄金白银跌势延续。 截至发稿，现货白银失守75美元/盎司，跌超11%。现货黄金开盘下挫，现报4703美元/盎司，盘中最低 触及每盎司4583美元。 A股市场上，贵金属、有色板块亦大面积重挫，中金黄金（600489.SH）、四川黄金（001337.SZ）、白 银有色（601212.SH）、豫光金铅（600531.SH）等多股跌停。黄金股ETF、黄金股票ETF开盘跌停，国 投白银LOF今日复牌后一字跌停。 "在这一急涨与暴跌交织的巨震面前，任何点位测算都显得苍白且无力，"中金公司最新发布的研究报告 分析称，金价显然已超越单纯的基本面主导，传统的黄金测算模型如实际利率已失效。影响更大的地缘 与货币体系重构因素，目前没有具体兑现时间，短期留给市场想象空间。投资者需警惕，黄金急涨急跌 由情绪和资金驱动，节奏难以把握。 大面积跌停，交易所紧急通知 越来越多的投机者被限制交易。深交所上周五表示，部分投资者在"国投白银LOF"等基金产品交易过程 中存在影响基金正常交易秩序的异常交易行为，对相关投资者采取了暂停交易等自律监管措施。 早前（1月26日），上海期货交易所发现3组16名客户在锡、白银期货品种交易中涉嫌未申报实际控制关 ...

金工策略周报 东证衍生品研究院金工首席分析师：李晓辉（商品CTA、商品指数） 从业资格号： F03120233 投资咨询号： Z0019676 东证衍生品研究院金工高级分析师：徐凡（国债期货、基本面量化） 从业资格号： F03107676 投资咨询号： Z0022032 （一）国债期货量化策略 东证衍生品研究院金工高级分析师：徐凡（国债期货、基本面量化） 从业资格号： F03107676 交易咨询号： Z0022032 ★国债期货行情简评： Ø ★国债期货日频择时策略： ★风险提示： 量化模型基于历史数据构建，市场环境变化或导致模型信号失效。 Ø 上周各期债表现分化，30年期主力合约收跌-0.33%，十年期主力合约涨0.11%，五年期主力合约 涨0.01%，两年期主力合约收跌-0.02% Ø 上周各品种基差分化，十债CTD券为250018，30号基差收于0.05元左右，与历史平均水平持平； 三十年期CTD券为210005，30号基差收于0.27元，高于历史基差的平均水平。 Ø 期债受到金银铜等商品的影响较小，上周表现震荡偏弱。随着1月的经济数据逐渐公布，预计通胀 等数据不弱，同时市场对春节和两会的股市上涨有所 ...

Macro Strategy - The IPCA model shows better application effects in the domestic credit bond market compared to the US market, with a Sharpe ratio consistently above 1.45 and above 2.2 from May to December 2025 [1][13] - The strategy exhibits asymmetric risk/reward characteristics, with 75% of sample dates showing positive excess credit returns, and a maximum excess return of 0.13% from January 2024 to December 2025 [1][13] - The practical operability of the strategy is strong, allowing for investment in bonds with similar risk characteristics even when specific bonds are not available in the secondary market [1][13] Fixed Income Opportunities - The "14th Five-Year Plan" emphasizes the development of key industries, including new pillar industries, future industries, traditional industry upgrades, infrastructure construction, green transformation, and consumer upgrades, which are expected to receive policy support and financing breakthroughs [2][14] - A total of 1,098 bond-issuing entities align with the "14th Five-Year Plan," with a total bond scale of approximately 10.8 trillion yuan, primarily rated AAA and concentrated in East and North China [2][14] - The participation of bond-issuing entities in the six key industries shows significant differentiation, with infrastructure and new pillar industries leading in both the number of issuers and bond scale [2][14] Industry Insights - The public utility sector is expected to benefit from deepened electricity reforms, with recommendations to focus on green electricity, thermal power, hydropower, nuclear power, and the valuation of photovoltaic and charging pile assets [7] - The food and beverage sector is anticipated to experience a spring consumption surge, particularly in snacks, dining, and seasonal beverages, with a positive outlook for Q1 2026 due to favorable market conditions [7] - Companies like KaiGe Precision Machinery and HeMai Co. are positioned to benefit from the growing demand in AI computing and energy storage, with projected profit growth in the coming years [9][10]

Core Insights - The private equity fund industry in China reached a record high of 22.15 trillion yuan by the end of December 2025, marking a significant growth from 19.91 trillion yuan at the beginning of the year [1][2][3] - The number and scale of newly registered private equity products have been consistently increasing, indicating a positive trend for the industry [1][2][3] Growth of Private Equity Funds - The total scale of private equity funds grew by over 2 trillion yuan in 2025, with a notable increase in the fourth quarter where the scale surpassed 22 trillion yuan [2][3] - In the fourth quarter of 2025, the number of new registered products rose from 1,389 in October (670.10 billion yuan) to 2,087 in December (989 billion yuan) [2][3] Factors Driving Growth - The growth is attributed to both internal and external factors, including a steady recovery of the macro economy and sufficient market liquidity [3] - Capital market reforms and the development of the Beijing Stock Exchange have expanded exit channels and investment opportunities for private equity funds [3] - The performance of the A-share market has improved, attracting institutional investments and increasing the allocation of equity assets by residents in a low-interest-rate environment [3] Industry Development Outlook - The number of private equity fund managers decreased from 20,300 at the beginning of 2025 to 19,200 by the end of the year, indicating a trend of "survival of the fittest" within the industry [4] - The number of private equity institutions managing over 100 billion yuan increased from 91 to 113 in 2025, with further growth to 118 by January 26, 2026 [4] Future Trends - The number of existing private equity institutions is expected to continue decreasing, while the total scale and quality of private equity funds will improve [5] - The internationalization of private equity institutions is anticipated to accelerate, with more funds entering the domestic market and institutions expanding cross-border investment capabilities [5] - Continuous innovation in strategies and products is expected, with a focus on sustainable excess returns and differentiated strategies [5]

Core Insights - The private equity fund industry in China reached a record high of 22.15 trillion yuan by the end of December 2025, marking a significant growth from 19.91 trillion yuan at the beginning of the year [1][2] - The number and scale of newly registered private equity products have been consistently increasing, with a notable rise in the fourth quarter of 2025 [2] - The industry is expected to maintain a positive trend, with simultaneous growth in scale and quality, alongside ongoing product innovation [1][5] Growth in Scale - The total scale of private equity funds grew by over 2 trillion yuan in 2025, with the fourth quarter seeing a continuous increase after surpassing 22 trillion yuan in October [2] - New registrations in the fourth quarter included 1,389 products in October (670.10 billion yuan), 1,689 in November (713.42 billion yuan), and 2,087 in December (989 billion yuan) [2] Industry Drivers - Factors contributing to the growth include a steady recovery of the macro economy, reasonable liquidity in the market, and deepening capital market reforms [2][3] - The performance improvement in the A-share market has attracted institutional investments, while a low-interest-rate environment has led residents to favor equity assets [3] Industry Outlook - The number of private equity managers decreased from 20,300 at the beginning of 2025 to 19,200 by year-end, indicating a trend of "survival of the fittest" within the industry [4] - The number of private equity firms managing over 100 billion yuan increased from 91 to 113 in 2025, with further growth to 118 by January 2026 [4] Future Trends - The industry is expected to see a continued reduction in the number of private equity firms, while total scale and quality will improve [5] - There will be an acceleration in the internationalization of private equity firms, with more funds entering the domestic market and firms expanding into cross-border investments [5][6] - Innovation in strategies and products is anticipated, with a focus on sustainable excess returns and differentiated strategies [6]

证券研究报告·宏观报告·宏观深度报告 宏观深度报告 20260127 如何以量化策略增厚信用债收益？ ——多资产系列报告（三） 如果对 IPCA 模型的因变量、输入特征稍加调整，模型可用于辅助国内传 统的信用利差研究。以城投债为例，模型给出的常数因子是过去 10 年影 响城投债利差的最重要因子，其在客观上影响了基本面因子的重要性；而 同期市场面因子的重要性基本保持区间震荡。这不仅符合近年"化债政策 驱动城投利差"的常识，常数因子拐点也完全对应两次化债政策拐点：① 2018 年 7 月，"27 号文"开启"隐债十年清零"的化债历程。②2023 年 7 月 24 日，中央政治局会议提出要有效防范化解地方债务风险，制定实施 一揽子化债方案。当年 8-9 月，以"35 号文"为代表的一揽子化债政策开 始落地。 考虑到 IPCA 模型可以被近似视为"对 L 个特征驱动的投资组合（X）"应 用 PCA，因此落实到策略层面，我们可以： 不难算得，以国内活跃发债主体为样本范围时，上述基于 IPCA 因子的策 略组合"风险调整后收益"表现较为突出，策略核心优势体现在： 2026 年 01 月 27 日 证券分析师 芦哲 [Ta ...

Core Insights - The total scale of private fund products reached 22.15 trillion yuan by the end of December, marking a new historical peak for three consecutive months [1][9]. Group 1: Private Fund Registration and Product Filing - In December, 13 new private fund managers were registered, including 5 securities and 8 equity private funds, while 96 private funds were deregistered [3][11]. - A total of 2,087 private fund products were filed in December, with a new filing scale of 98.9 billion yuan, representing a month-on-month increase in both the number of filings and the scale compared to November [3][11]. - By the end of December, there were 19,231 active private fund managers managing 138,315 private funds, corresponding to a total management scale of 22.15 trillion yuan [3][11]. Group 2: Product Types and Scale - Among the 2,087 filed products in December, there were 1,397 private securities investment funds, 440 venture capital funds, and 250 private equity funds, with respective new filing scales of 54.17 billion yuan, 18.38 billion yuan, and 26.35 billion yuan [4][12]. - The active private funds included 80,390 securities investment funds, 29,820 private equity funds, and 27,342 venture capital funds, with management scales of 7.08 trillion yuan, 11.19 trillion yuan, and 3.58 trillion yuan respectively [4][12]. Group 3: Regional Distribution of Private Fund Managers - By the end of December, the majority of registered private funds were concentrated in Shanghai, Beijing, Shenzhen, Zhejiang (excluding Ningbo), Guangdong (excluding Shenzhen), and Jiangsu, accounting for 72.39% of the total [4][12]. - The number of private fund managers in these regions included 3,629 in Shanghai, 3,177 in Beijing, and 2,860 in Shenzhen, with respective shares of 18.87%, 16.52%, and 14.87% [5][13]. Group 4: Quantitative Private Funds - In December, 66.28% of the newly filed 1,397 private securities products were equity strategy products, indicating strong demand for equity assets in the current market environment [7][14]. - The majority of new quantitative products were focused on equity strategies, with 458 products filed, representing 72.81% of the total [7][14]. - Among the 799 private institutions that filed products in December, 64 were billion-yuan private funds, highlighting the dominance of large quantitative private funds in the filing landscape [8][14].