"最终通过月度更新的动态加权模块合成综合因子，在不失长期稳定性的前提下增强对短期市场变化的 适应能力。该模型的突出优势在于将长周期有效因子与动态短期信息相结合，形成复合AI信号，从而 构建出兼顾稳定性与响应速度的投资组合，进一步提升组合管理的科学性与实战效能。"韩羽辰表示。 中证报中证网讯(记者魏昭宇)9月25日晚间，路博迈基金基金经理韩羽辰在中国证券报"中证点金汇"直 播间表示，目前市场中的量化团队主要可以分为两类：传统量化体系和AI驱动的量化投研体系。而路 博迈基金所使用的是AI驱动的量化投研体系，经过不断迭代升级，目前已经发展到路博迈量化3.5模 型。 韩羽辰表示，路博迈量化3.5模型在原有基础上进行了系统化升级，其核心区别在于对训练目标的重新 定位与应用场景的针对性优化。"在模型训练目标上，我们的模型将重心置于中低频信号的捕捉与提 取，依托深度神经网络融合时序与截面数据，从而识别更具长期稳健性的市场规律。" "数据方面，除了传统量价数据和基本面数据之外，我们还将蕴含丰富日内信息的高频数据、刻画股票 间相互关系的产业链数据、描述分析师预期和舆情信息的文本数据等另类数据都纳入到机器学习模型体 系中，为模型 ...

量化投资凭借理性、科学、情绪稳定的特质，近年来受到越来越多投资者的欢迎。作为国内成立最早的一批量化私募，九坤投资在十数年的量化长跑中， 荣获逾150项各类行业奖项，涵盖"金牛奖"、"英华奖"、"金阳光奖"、"金长江奖"等，持续保持领先规模和业绩竞争力。 私募排排网数据显示，截至8月底，九坤投资旗下有业绩显示的13只产品今年来收益均值为***%，成立以来业绩同样表现亮眼。其中"九坤日享中证1000 指数增强1号"今年来收益位居第1，该产品近五年超额收益高达***%，运作以来累计收益高达***%，体现了九坤投资在指增赛道上优秀的长期投资能 力。 | 排名 | 产品简称 | 公司简称 | 三级策略 | 基金经理 | 产品规模 近5年收益 (万元) | 近5年超额 | | --- | --- | --- | --- | --- | --- | --- | | | 九坤日享中证1000指数增 强1号 | | 九坤投资 中证1000指增 | 姚齐聪 | | | | | 明沈量化中小盘增强1号B | | 明泫投资 中证1000指增 | 聚煮明,解 | | | | | 英份额 | | | 环宇 | | | | m | 天演奏 ...

看着手机里不断弹出的基金限购公告，我不禁想起十年前刚入行时的困惑。那时的我和大多数散户一样，以为这些公告只是例行公事。直到后来通过量化数 据分析，才发现这背后隐藏着机构资金的精妙布局。 格雷厄姆曾说"牛市是普通投资者亏损的主要原因"，这句话在我十年的投资生涯中不断得到验证。牛市中的暴跌往往让散户措手不及，而机构却能精准把握 进出时机。 以2024年9月24日后的行情为例，表面上指数震荡不前，但个股表现却天差地别。亚辉龙和汇金科技就是最好的对比案例。 汇安基金、湘财久盈等机构的限购措施看似是为了保护投资者利益，实则暗含更深层的市场逻辑。作为一名量化投资者，我发现这些动作往往与机构资金的 季节性调仓密切相关。 记得2015年那轮牛市后的惨痛教训：大多数散户在牛市中亏损高达60%，而同期机构却赚得盆满钵满。这让我深刻认识到，决定股价走势的不是表面的涨 跌，而是背后资金的真实流向。 通过长期跟踪量化数据，我发现一个有趣的现象：A股市场早已告别了齐涨共跌的时代。2016年至2019年间，即便在没有牛市的背景下，个人投资者平均收 益仍为负值，而机构投资者却实现了可观的盈利。 | 同版 | 总收益 | 擇时收益 | 造股收 ...

Group 1 - The core viewpoint of the article highlights the dangers of retail investors falling into typical traps during a bullish market, despite the apparent market excitement and significant stock price increases [1][7] - The article emphasizes that the recent surge in the ChiNext index and the market's overall performance are primarily driven by capital flow, rather than genuine value increases in stocks [7][8] - It points out that many retail investors tend to react slowly to market movements, often entering positions after significant price changes have already occurred, which can lead to losses [7][8] Group 2 - The article discusses the importance of understanding institutional behavior and capital flow rather than relying on price movements alone, suggesting that successful investment requires a data-driven approach [7][9] - It mentions specific examples of stocks, such as the dramatic rise of Shangwei New Materials and the decline of Jingyuan Environmental Protection, to illustrate the risks of following market trends without understanding underlying data [1][5] - The article concludes with a call for investors to develop their own quantitative observation systems to track institutional buying and selling activities, reinforcing the idea that knowing "who is buying" is more critical than "what to buy" [8][9]

证券研究报告 | 2025年09月25日 AI 赋能资产配置（十七） AI 盯盘： "9·24"行情案例 策略研究·策略解读 | 证券分析师： | 王开 | 021-60933132 | wangkai8@guosen.com.cn | 执证编码：S0980521030001 | | --- | --- | --- | --- | --- | | 证券分析师： | 陈凯畅 | 021-60375429 | chenkaichang@guosen.com.cn | 执证编码：S0980523090002 | 事项： 金融市场中的短期内快速上涨行情往往因情绪驱动而非基本面改善，容易导致阶段性追高。传统技术分析 （如 KDJ、RSI、MACD、均线体系、成交量、换手率及估值水平等单一指标）虽能提供部分洞察，但其 信号纷杂、滞后性强且受主观经验影响较大，难以有效预警此类脉冲式行情的风险。 为系统性地解决这一问题，本研究旨在构建一个多维度、量化、由人工智能驱动的综合研判框架。研究首 先从趋势、动量、资金流向、估值四个核心维度出发，构建了十二个关键原始指标，形成一个全面刻画市 场状态的多因子体系，并初步判断和市场趋势的关 ...

本文首发于公众号"私募排排网"。 （点击↑↑ 上图查看详情 ） 近年来，市场缺乏持续性强的β行情，因此擅长挖掘α收益的量化投资迅速崛起。 量化投资依托数学模型与算法，能高效处理海量数据与市场信 息，从而能快速捕捉到市场交易机会，在挖掘α收益方面优势突出；同时，在风险控制方面，通过分散化持仓与 审慎风控 显著降低回撤，实现收 益风险比的优化。 在这样的市场背景下，百亿量化私募阵营不断扩容，并涌现了不少优秀的百亿量化私募管理人。 其中，茂源量化作为一家老牌量化私募，在近三 年表现中尤为亮眼。 在9月17日，茂源量化在第十届中国证券私募英华示范案例评选活动中荣获"中国证券私募50强示范机构（量化策略）"奖项，旗下代表产品获 评"三年期量化多头策略产品示范案例"。 至此，公司已连续六年共获得了七座英华奖杯，涵盖多个策略类别与运作期限。 据悉，茂源量化成立于2013年，2018年发行第一只股票产品，2020年启动资管业务，2021年突破百亿规模，目前管理规模超200亿元。公司专 注于量化交易，投资范围涵盖股票、期货、债券等资产，是一家注重技术创新和组织赋能的量化私募。 茂源的创始人、CEO郭学文，本科毕业于清华大学，随 ...

Group 1 - The new AITO M7 has been launched, achieving over 30,000 pre-orders within the first hour, indicating strong market demand despite some consumer concerns about pricing [2] - AITO's sales momentum continues with the M9 and M8 models, with M9 maintaining sales above 10,000 units and M8 over 20,000 units, suggesting a positive outlook for the brand's performance in the second half of the year [2] Group 2 - Alibaba's new terminal AI agent, iFlow CLI, has been released for personal users, allowing task automation through natural language commands [3] - Alibaba's CEO, Wu Yongming, outlined four stages of Super Artificial Intelligence (ASI), indicating a clear technological evolution path and the potential for only a few major cloud computing platforms globally [5] Group 3 - The SEC Chairman plans to introduce an "innovation exemption" rule for cryptocurrency companies by the end of the year, reflecting a more favorable regulatory stance towards digital assets [4] - Alibaba has launched several AI models, including Qwen3-VL and Qwen3-Max, which boasts over 1 trillion parameters, showcasing the company's advancements in AI technology [7][10] Group 4 - Lei Jun stated that the decision to enter both the automotive and semiconductor industries was made simultaneously, indicating a significant strategic commitment from Xiaomi [8] - Cathie Wood's ARK Invest has re-entered Alibaba's stock for the first time in four years, purchasing shares valued at approximately $16.3 million, driven by the company's advancements in AI [10]

专题：北京公募基金高质量发展系列活动 新时代、新基金、新价值 在资本市场持续演进的当下，《推动公募基金高质量发展行动方案》的颁布，宛如一场 "及时雨"，为 公募基金行业的长远发展铺就基石。其中，关于强化核心投研能力建设的系列举措，更是切中行业发展 要害，对公募基金行业的未来走向影响深远。 一、现有投研体系弊端渐显 三、转型挑战与应对 转型过程中，基金公司面临技术难题、数据安全风险以及组织架构调整等挑战。在技术方面，需投入大 量资金和人力进行系统研发与维护，同时要不断跟进新技术发展。应对数据安全风险，要建立完善的数 据安全管理体系，加强数据加密、访问控制和安全审计。对于组织架构调整，需打破部门壁垒，促进跨 部门协作，建立适应数字化转型的管理机制。 二、投研体系数字化转型的关键举措 （一）投研平台的搭建 益民基金管理有限公司正式成立了"数量金融实验室"，并与科技部产业促进会达成了共建实验室协议。 实验室并非传统意义上的部门，而是投研体系内各部门人员的一种合理调配的机制。实验室通过数学工 具开发的辅助投资策略，为公司的投资提供了非常有力的保障。 （二）智能投研工具应用 投研过程中，分析师需处理大量研报、新闻等文本信 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The CSI 500 Index is highly consistent with the national "new quality productivity" strategy, benefiting from policy dividends and technological innovation [4][12]. - The earnings per share of CSI 500 constituent stocks are expected to rise, and the valuation is likely to be digested with the improvement of earnings [4][20]. - The CSI 500 index enhancement is a relatively mature product with a large scale and obvious excess returns [4][26]. - The China - Europe CSI 500 Index Enhancement has good performance in unique Alpha acquisition and market environment adaptation, with outstanding risk - return characteristics [4][47]. 3. Summary by Directory 3.1 CSI 500 Index Allocation Value Analysis 3.1.1 Strategic Direction Fit: Policy Dividends from the Perspective of New Quality Productivity - The CSI 500 Index, as a core representative of A - share mid - cap enterprises, has a high proportion of technology innovation sectors in its constituent stocks, which are consistent with the key areas in the "Action Plan" [4][12]. - Many of the top - proportion industries in the CSI 500 constituent stocks are in line with the definition of new quality productivity, such as electronics, pharmaceutical biology, and power equipment [12]. - Most of the top ten constituent stocks of the CSI 500 can benefit from the national promotion of new quality productivity [16]. 3.1.2 Valuation and Earnings: Good Current Allocation Value - As of September 19, 2025, the PE (TTM) of the CSI 500 Index was 34.20 times, at the 76.7% quantile since 2015, which is in a reasonable range compared with other broad - based indexes [18]. - According to Wind's consensus forecast, the earnings per share of CSI 500 constituent stocks are expected to significantly recover in 2025, rising from 0.36 yuan in 2024 to 0.49 yuan, an increase of over 38%, and continue to rise in 2026 [20]. - The net profit of the CSI 500 Index is expected to increase significantly in 2025 and 2026, by 24.7% and 18.1% respectively [20]. 3.2 Investment Value and Strategy Analysis of CSI 500 Index Enhancement Funds 3.2.1 Product Development: A Relatively Mature Category - The first CSI 500 index enhancement product in the Chinese public fund market was established in 2011, with 14 years of history, accumulating a lot of investment experience [26]. - As of Q2 2025, the total scale of CSI 500 index enhancement products exceeded 4.3 billion yuan, and the number of products increased from 15 at the end of 2016 to 71 [26][29]. 3.2.2 Historical Performance: More Obvious Excess Returns - Since 2017, the CSI 500 index enhancement products have generally outperformed the CSI 500 Index, except in some periods when the index rose rapidly [32]. - Compared with the CSI 300 index enhancement, the CSI 500 index enhancement can create more obvious excess returns, with a steeper slope of the relative return curve and higher annual excess returns on average [33]. 3.2.3 Product Feature Distribution: Good Uniqueness and Market Environment Adaptability of China - Europe CSI 500 Index Enhancement - Most CSI 500 index enhancement products have limited ability to obtain unique Alpha, and their Alpha sources may be similar, resulting in homogeneous performance [41]. - More than 62% of CSI 500 index enhancement products have obvious shortcomings in market environment adaptability, and only 15% of products can perform in the top 50% in various market environments [45]. - The China - Europe CSI 500 Index Enhancement can efficiently obtain unique Alpha and perform in the top 40% in all market environments [47]. 3.3 Product Feature Analysis of China - Europe CSI 500 Index Enhancement 3.3.1 Positioning Characteristics: Small Exposure to Constituent Stocks, Factors, and Industries - The China - Europe CSI 500 Index Enhancement has a relatively dispersed stock position, with a low proportion of the top ten and top thirty stocks, and low deviation in market - value style [49][54]. - The product has relatively mild factor exposure, with exposure to most factors within 0.3 times the standard deviation, and lower than the average of similar products [56][58]. - The proportion of CSI 500 constituent stocks in the product's position is higher than the average of similar products, and the industry deviation is controllable, especially in H1 2025 [58][64]. 3.3.2 Performance: Leading Performance among Peers in 2025 - As of September 19, 2025, the cumulative return of the China - Europe CSI 500 Index Enhancement since its establishment was 31.69%, leading the benchmark by 27.77%. Since H2 2023, it has outperformed the benchmark [66]. - In 2025, the product's return reached 34.56%, ranking in the top 5% among similar products, with an annualized tracking error of only 3.54%, ranking in the bottom 18% [66]. - The product has a high risk - return ratio, with an annualized Sharpe ratio of 2.29 and a Calmar ratio of 4.44, leading among CSI 500 index enhancement products [67]. - The product has significant advantages in drawdown control, with a smaller drawdown than the index and the average of similar products in several market drawdowns since 2024, and a smaller relative return drawdown [74][78]. 3.3.3 Return Breakdown: Significant Contribution from Stock Selection - The China - Europe CSI 500 Index Enhancement mainly obtains excess returns through stock selection, and trading can also contribute part of the excess returns [81]. - The product's absolute return comes from a wide range of sectors, with the technology innovation sector contributing more, and it can obtain excess returns in most sectors [84]. 3.3.4 Product Feature Summary - The product has no significant deviation in constituent stocks, factors, and industries, and the deviation has further tightened in H1 2025 [89]. - Despite strict deviation control, the product has outstanding performance in 2025, with high returns, low tracking error, and excellent risk - return characteristics [89]. - The product has strong ability to obtain unique Alpha and good market environment adaptability, performing in the top 40% in all market environments [90]. - Stock selection is the main source of excess returns, with significant contributions from the technology innovation sector and good performance in other sectors [90].

Market Overview - On September 22, the A-share market experienced a significant rally, with all three major indices rising and trading volume surpassing 2 trillion yuan, led by a 6% increase in the precious metals sector [1] - Over 2,100 stocks saw gains, with 73 stocks hitting the daily limit up, prompting investor optimism about a potential bull market [1] Stock Performance - Notable stocks with substantial price increases include: - Changying Precision (300115) at 37.72 yuan, up 20.01% - Yutu (301086) at 79.30 yuan, up 20.01% - Henghe Precision (300539) at 48.48 yuan, up 20.00% - Baiao Intelligent (300836) at 56.41 yuan, up 20.00% - Weichuang Electric (688698) at 86.51 yuan, up 14.10% [2] Institutional Investment Insights - The market saw significant institutional buying, with 12 stocks receiving net purchases exceeding 10 million yuan, led by Juchen Co. with a net buy of 359 million yuan [2][3] - The importance of understanding institutional behavior is emphasized, as it can provide insights into market trends beyond mere stock price movements [5][7] Investment Strategy - A principle of focusing on data-driven decisions rather than emotional reactions is highlighted, suggesting that stock price fluctuations are merely surface indicators [5][9] - The strategy includes three key approaches: 1. Avoiding distractions from short-term market trends 2. Not panicking due to price volatility 3. Not being swayed by high or low price perceptions [5][9] Sector Analysis - The electronic and mechanical equipment sectors are noted for their strong performance, with a significant number of stocks reaching historical highs [5][8] - Continuous monitoring of institutional buying patterns is recommended, as these can indicate future opportunities despite market volatility [7][8]