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金融工程市场跟踪周报:市场风格或有切换-20250615
EBSCN· 2025-06-15 15:21
2025 年 6 月 15 日 总量研究 市场风格或有切换 ——金融工程市场跟踪周报 20250615 要点 本周市场核心观点: 本周(2025.06.09-2025.06.13,下同)市场震荡收跌,主要宽基指数仅创业板 指实现上涨。资金面方面,本周 ETF 延续净流出,大盘 ETF 为净流出主力。 主题方面,交易主线尚不明朗,周内仍呈现主题快速轮动特征。近期市场逐步从 宽幅震荡过渡至窄幅震荡,指数运行区间收缩过程中量能整体亦有放大,且高位 常伴资金止盈——后市运行或转向弱市整固。风格层面,前期以北证、微盘为代 表的极小市值方向或有持续调整压力,短期或呈现大市值占优特点。 本周市场各指数涨跌不一,上证综指下跌 0.25%,上证 50 下跌 0.46%,沪深 300 下跌 0.25%,中证 500 下跌 0.38%,中证 1000 下跌 0.76%,创业板指上 涨 0.22%,北证 50 指数下跌 3.11%。 截至 2025 年 6 月 13 日,宽基指数来看,上证指数、上证 50、沪深 300、中证 500、中证 1000 处于估值分位数"适中"等级,创业板指处于估值分位数"安 全"等级。 中信一级行业分类 ...
百亿投资经理连续十年跑赢沪深300!徐志敏靠什么识别好公司?
华尔街见闻· 2025-06-12 10:42
见闻 618 · 活动进行 中 新人 9元 解锁 VIP 长按 图片 识别 二维码 进入主会场 2025 年全球贸易与金融格局剧烈变动,让本就以高波动著称的 A股 加剧震荡, 板块轮动也 越来越 快 。 据中国新闻网 6 月 11日报道 ,谈到中美经贸磋商机制首次会议,商务部国际贸易谈判代表兼副部 长李成钢表示,双方进行了专业、理性、深入、坦诚的沟通。 双方原则上就落实两国元首 6月5号通 话共识以及日内瓦会谈共识达成了框架。 6 月 11 日, 上证指数再次 冲击 3400 点。在今年 4 月以来,在特朗普关税战的影响下, A股和 港股均走出一波剧烈振荡的过山车行情。 在这个不确定性越来越高的时代,我们普通人用什么方法去识别能够穿越牛熊的优质资产?如何让自 己的投资组合更安稳?为了帮大家解决这些刚需痛点,我们盘点全市场一线投资大咖后,邀请 中泰 证券 资管 首席投资官徐志敏 , 于 6 月 21 日在上海担任 大师课 主讲嘉宾,围绕 《穿越牛熊追寻 Alpha 》分享 他持续多年实现 Alpha超额收益的方法。 徐志敏有 近 20 年证券从业经验, 目前 管理超过百亿资金, 已 连续 十 年跑赢 沪深 30 ...
捕捉趋势的力量:基金动量刻画新范式
Orient Securities· 2025-06-12 02:13
Quantitative Models and Construction Methods - **Model Name**: Carhart Four-Factor Model **Construction Idea**: Incorporates momentum factor into the Fama-French three-factor model to capture the "stronger gets stronger" phenomenon in stock markets[14] **Construction Process**: Formula: $ R_{p}-r_{f}\!\sim\!\!\alpha+\beta_{1}(R_{M}-r_{f})+\beta_{2}(R_{M}-r_{f})^{2}+\beta_{3}S M B+\beta_{4}H M L+\varepsilon_{p} $ - $R_{p}-r_{f}$ represents excess return of the portfolio relative to the risk-free rate - $R_{M}-r_{f}$ represents market excess return - $SMB$ and $HML$ represent size and value premiums respectively[28][30] **Evaluation**: Widely applicable across various asset classes, but its effectiveness in predicting future returns in A-shares is limited due to strong short-term reversal effects[14][17] - **Model Name**: Industry-Stripped Alpha Momentum **Construction Idea**: Removes market and industry beta risks to isolate alpha returns for momentum factor construction[47] **Construction Process**: Formula: $ R_{p}-r_{f}{\sim}\alpha+\beta_{1}(R_{M}-r_{f})+\beta_{2}(R_{M}-r_{f})^{2}+\sum_{i=1}^{11}\beta_{2+i}\,l n d_{i}+\varepsilon_{p} $ - Adds industry index returns ($ln d_{i}$) to the regression model to strip industry beta risks[51] **Evaluation**: Improves stability compared to traditional momentum factors but shows weaker positive selection effects since 2019[52][53] - **Model Name**: Low-Diversification Momentum **Construction Idea**: Identifies dates with low fund diversification to reduce beta risk interference and enhance predictive power[5][56] **Construction Process**: - Groups fund daily returns by diversification levels (using standard deviation of returns) - Constructs three sub-factors: low-diversification return factor, sorting momentum factor, and Sharpe ratio factor - Combines these sub-factors equally to form the low-diversification momentum factor[65][93] **Evaluation**: Demonstrates strong predictive power with low correlation to traditional momentum factors, indicating reduced beta risk interference[93][104] Model Backtesting Results - **Carhart Four-Factor Model**: - Rank IC: 6.01% (past 122 days alpha momentum)[31] - Rank ICIR: 0.57 (past 122 days alpha momentum)[31] - Quarterly long-short win rate: 66.67%[31] - **Industry-Stripped Alpha Momentum**: - Rank IC: 7.81% (past 122 days)[53] - Rank ICIR: 0.97 (past 122 days)[53] - Quarterly long-short win rate: 69.92%[53] - **Low-Diversification Momentum**: - Rank IC: 10.10%[93] - Rank ICIR: 1.09[93] - Quarterly long-short win rate: 71%[93] - Annualized long-short return: 10.81%[98] Quantitative Factors and Construction Methods - **Factor Name**: Historical Return Factor **Construction Idea**: Uses past fund returns to predict future performance[19] **Construction Process**: - Calculates returns over different time windows (e.g., past 20, 61, 122 days) - Tests predictive power using Rank IC and Rank ICIR metrics[20][22] **Evaluation**: Short-term returns show weak predictive power; long-term returns improve prediction but remain unstable[22][23] - **Factor Name**: Sharpe Ratio Factor **Construction Idea**: Adjusts fund returns for volatility to improve stability[24] **Construction Process**: - Calculates Sharpe ratios over different time windows (e.g., past 20, 61, 122 days) - Tests predictive power using Rank IC and Rank ICIR metrics[25][26] **Evaluation**: Stability improves compared to historical return factor but fails to address beta risk interference effectively[26][27] - **Factor Name**: Low-Diversification Return Factor **Construction Idea**: Focuses on low-diversification dates to reduce beta risk interference[65] **Construction Process**: - Groups fund daily returns by diversification levels - Uses average returns of the lowest-diversification group as the factor score[65][67] **Evaluation**: Strong predictive power with stable performance across different time windows[67][72] Factor Backtesting Results - **Historical Return Factor**: - Rank IC: 6.44% (past 244 days)[20] - Rank ICIR: 0.54 (past 244 days)[20] - Quarterly long-short win rate: 59.35%[20] - **Sharpe Ratio Factor**: - Rank IC: 6.44% (past 244 days)[25] - Rank ICIR: 0.64 (past 244 days)[25] - Quarterly long-short win rate: 61.79%[25] - **Low-Diversification Return Factor**: - Rank IC: 10.03% (past 3 months)[68] - Rank ICIR: 1.06 (past 3 months)[68] - Quarterly long-short win rate: 69.11%[68]
Invesco (IVZ) 2025 Conference Transcript
2025-06-10 16:25
Invesco (IVZ) 2025 Conference June 10, 2025 11:25 AM ET Speaker0 Alright, we're gonna go ahead and get started here. For important disclosures, please see the Moran Stanley research disclosure website at moranstanley.com/researchdisclosures. Note that taking of photographs and the use of recording devices is not allowed. If you have any questions, please reach out to your Morgan Stanley sales representative. Good morning. Thanks for staying with us here at day one of Morgan Stanley Financials Conference. I' ...
光大期货金融期货日报-20250610
Guang Da Qi Huo· 2025-06-10 03:27
光大期货金融期货日报 光大期货金融期货日报(2025 年 06 月 10 日) 一、研究观点 | 品种 | 点评 近期,各股指期货的贴水幅度较大,我们认为,股指期货的贴水幅度主要反 | 观点 | | --- | --- | --- | | 股指 | | 震荡 | | | 映市场对冲需求,而对冲需求主要取决于市场中是否存在明显的 Alpha 收益。 | | | | 上周板块轮动迅速,市场关注重点仍在消费和科技板块。中国高科技制造业 | | | | 出海仍处于资本开支扩张周期,在海外影响因素弱化的背景下,科技制造业 | | | | 仍是当下的优势行业。消费板块则主要得益于政策拉动,根据 5 月最新数据, | | | | 三大白色家电零售仍维持较高增速(同比均超 60%),乘用车零售维持景气 | | | | (同比 16%),此外,在"抢出口"背景下,纺织服饰、电子等产品海外需求 | | | | 可能存在脉冲。6 月,在其他板块没有明显亮点的背景下,预计消费和科技 | | | | 板块仍是市场关注的主要方向。 | | | | 国债期货收盘,30 年期主力合约涨 0.35%,10 年期主力合约涨 0.09%,5 年 ...
百亿投资经理连续十年跑赢大盘!徐志敏教你识别好公司,克服人性弱点做决策
Hua Er Jie Jian Wen· 2025-06-07 06:53
2025年全球贸易与金融格局剧烈变动,让本就以高波动著称的A股加剧震荡,板块轮动也越来越快。 据新华社报道,6月5日晚,国家主席习近平应约同美国总统特朗普通电话。两国元首同意双方团队继续 落实好日内瓦共识,尽快举行新一轮会谈。 6月6日,A股开盘后一度振荡上行,冲击3400点。在今年4月以来,在特朗普关税战的影响下,A股和港 股均走出一波剧烈振荡的过山车行情。 在这个不确定性越来越高的时代,我们普通人用什么方法去识别能够穿越牛熊的优质资产?如何让自己 的投资组合更安稳?为了帮大家解决这些刚需痛点,我们盘点全市场一线投资大咖后,邀请中泰证券资 管首席投资官徐志敏,于6月21日在上海担任大师课主讲嘉宾,围绕《穿越牛熊追寻Alpha》分享他持 续多年实现Alpha超额收益的方法。 徐志敏有近20年证券从业经验,目前管理超过百亿资金,已连续十年跑赢大盘。在市场风格快速变换的 A股市场,明星基金经理业绩经常大起大落,连续十年跑赢大盘,99%的人做不到。 风险提示及免责条款 虽然精确踏准A股牛熊转换节奏,但徐志敏却从不追求"抄底逃顶"——买在最低点、卖在最高点都是小 概率事件,以此为目标就是走钢丝。巴菲特的名言"在别人恐 ...
8个Alpha世代家庭消费特征:品牌如何赢得下一代
3 6 Ke· 2025-06-06 10:43
同时该研究公司还表示,到2029年,当Alphas第一批人成年时,他们的消费值将达到近5.5万亿美元。 近期,美国大型媒体公司Horizon Media发布《新媒体多元宇宙(The New Media Multiverse)》报告,分析了Alpha-Millennial(阿尔法世代和 千禧一代)的家庭特征,并提供了帮助品牌与Alpha世代消费者建立联系的策略。该报告认为,在Alpha-千禧家庭中,千禧父母养育Alpha孩子 的模式正在重新构建家庭影响力,他们共同创造了一个新媒体多元宇宙,在多个智能设备和网络平台中将个人的独自发现和家庭的共同体验结 合在一起。 "Alpha世代将是人口最多的一代,预计超过20亿",马克·麦克林德尔(Mark McCrindle)的研究公司预测。 Alpha世代作为第一代算法原住民,从出生起就沉浸在数字工具中,在他们能够说话或者走路之前家长就会用日常生活中让她们接触与使用手机、平板电 脑或其他智能设备。报告显示,有47%的千禧父母表示,他们的孩子在三岁以前就接触了电子屏幕。 然而,Alpha世代的流行趋势并不好掌握。他们的偏好随着快速变化的数字趋势而迅速变化,有限的数据使他们的足 ...
Connect Biopharma Holdings (CNTB) 2025 Conference Transcript
2025-06-05 13:10
Summary of Connect Biopharma Holdings (CNTB) Conference Call Company Overview - Connect Biopharma Holdings (CNTB) is undergoing a transformation referred to as "Connect 2.0" with a new management team focused on drug development and regulatory activities [3][4] - The lead program is retimicobart, a next-generation IL-4 receptor alpha monoclonal antibody, positioned as a second-generation alternative to Dupixent [3][4] Core Product Insights - Retimicobart shows a significant improvement in FEV1, a key measure of airway function, with one of the largest improvements seen in biologics for asthma trials [4][5] - The onset of effect occurs within 24 hours, allowing for evaluation in acute settings rather than traditional chronic studies [5][6] - There are over 1 million asthma and 1.3 million COPD patients visiting ERs annually due to acute exacerbations, indicating a substantial market opportunity [5][9] Market Opportunity - Current biologics do not have indications for acute exacerbations, creating a "white space" for retimicobart [6][22] - Market research indicates that the novel acute indication could drive significant chronic use, with a preference share of 40%-45% for acute use and 75% for chronic treatment following acute administration [10][22] - The product is expected to have a multi-billion dollar commercial potential with both acute and chronic indications [23][30] Clinical Development - Two parallel trials (cbreeze stat) for asthma and COPD are underway, with data expected in the first half of the following year [15][16] - The acute studies are designed to assess improvements in FEV1 and reduce hospitalization rates, with a focus on cost savings for hospitals [16][30] - The company has received FDA clearance to move into phase three for atopic dermatitis, pending completion of a partner study in China [21][24] Financial Considerations - Development costs for acute indications are estimated at around $50 million, while combined acute and chronic programs could reach $200 million [29] - The company has sufficient cash reserves to execute its plans into 2027, allowing for strategic development without immediate dilution [24][30] Regulatory Landscape - There is no precedent for acute indications in the biologics market, presenting both challenges and opportunities for Connect Biopharma [33] - Extensive discussions with the FDA have provided insights into potential pathways for approval [33] Conclusion - Connect Biopharma is positioned to leverage its innovative product retimicobart in a largely untapped market for acute asthma and COPD treatment, with a strong focus on rapid clinical development and strategic partnerships to enhance its market presence [22][30]
连续十年跑赢沪深300,如何识别好公司?华尔街见闻对话徐志敏,我们精选了这些问答
中泰证券资管· 2025-06-05 08:07
2025年全球贸易与金融格局剧烈变动使得A股加剧震荡,板块轮动也越来越快。在这个不确定性变高的时 代,普通人用什么方法去识别能够穿越牛熊的优质资产?近期, 【华尔街见闻】对话中泰证券资管首席 投资官徐志敏,探讨穿越牛熊追寻Alpha的投资方法。 徐志敏管理超过百亿资金,信奉价值投资,严控资产质量,已连续十年跑赢沪深300。小编从这次对话中 精选出了12个问答,和各位投资路上的好朋友分享,后续还要更多精彩。 如何识别好公司? 华尔街见闻 成功投资案例有什么共性吗?用什么分析框架,去准确识别值得投的好公司? 徐志敏 在我看来,投资本质上是一系列取舍的组合,我们需要在可理解与可承受的交集里做选择。在投 资过程中,我们考虑最多的还是生意模式、护城河和安全边际。 首先是护城河。在我们的投资实践中,有一条非常重要的原则: 供给约束 。供给约束与护城河本身有重 叠之处,但供给约束的范围更宽泛。 经过这些年的积累,我们做投资更多地回归本源,把精力更多地放在好的生意模式和有强护城河的公司 上。 何为 好的生意模式 ?其实就是为客户创造巨大价值,同时企业从中获取一部分价值。好的生意模式需要 具备一定的议价能力,它与护城河共同构成 ...
Relay Therapeutics (RLAY) 2025 Conference Transcript
2025-06-04 13:47
Relay Therapeutics (RLAY) 2025 Conference June 04, 2025 08:45 AM ET Speaker0 Okay. Well, let's get started. Hey everyone, thanks so much for attending the Jefferies Healthcare Conference. Really appreciate you guys being here so bright and early. I'm Amy Lee, I'm a biotech analyst and I have the pleasure of welcoming the Relay Therapeutics management team. We have Sanjeev Patel, the Chief Executive Officer Don Bergstrom, the President of R and D and Pete Raymer, the Chief Corporate Development Officer. So R ...