Core Viewpoint - Quantitative investment is becoming an important path for achieving long-term stable returns in a volatile capital market, leveraging its disciplined and systematic advantages [1][9]. Group 1: Company Overview - Dr. Ai Dingfei, Assistant General Manager of the Quantitative Investment Department at Huashang Fund, has over 11 years of experience in the securities industry, including 7.1 years in securities investment [3][11]. - The investment framework of Dr. Ai is centered around a quantitative multi-factor stock selection model, enhanced by deep learning algorithms for portfolio optimization [3][11]. - Huashang Fund aims to provide better investment options by focusing on controlling drawdowns and pursuing stable returns [1][9]. Group 2: Market Analysis - In the fourth quarter of 2025, the market is expected to enter a trend of oscillating upward due to high risk appetite, supported by ample liquidity and the backdrop of the Federal Reserve's interest rate cuts [3][11]. - The growth direction of the large-cap market is anticipated to perform prominently, benefiting from the elevated risk appetite [3][11]. Group 3: Fund Strategies - The Huashang Electronic Industry Quantitative Stock Fund focuses on growth, R&D investment, and momentum, with major allocations in semiconductor equipment, AI computing power, and storage for Q4 2025 [4][12]. - The Huashang Computer Industry Quantitative Stock Fund emphasizes growth, valuation, and reversal, primarily investing in domestic computing and AI application sectors for Q4 2025 [4][12]. - The Huashang Large Cap Quantitative Selected Flexible Allocation Mixed Fund targets profitability, high-frequency volume-price, and reversal, with allocations in non-ferrous metals, chemicals, banks, and non-bank financials for Q4 2025 [4][12]. - The Huashang Shanghai Stock Exchange Science and Technology Innovation Board 100 Index Enhanced Fund focuses on growth, valuation, and high-frequency volume-price, with major allocations in electronics, pharmaceuticals, and new energy for Q4 2025 [5][12]. - The Huashang 300 Smart Selection Mixed Fund emphasizes reversal, high-frequency volume-price, and valuation, with allocations in non-ferrous metals, banks, and electronics for Q4 2025 [5][12]. - The Huashang CSI 300 Index Enhanced Fund focuses on reversal, valuation, and high-frequency volume-price, with allocations in non-ferrous metals, chemicals, and transportation for Q4 2025 [5][13].

Core Viewpoint - The market showed a strong performance in 2025, with the Wande Micro Index rising by 70.70% and the Wande All A Index increasing by 27.65%, indicating a favorable environment for small-cap stocks due to their high elasticity and low institutional holdings [1] Group 1: Market Performance - In Q4 2025, the market experienced a pattern of rising and then retreating, with the Shanghai Composite Index nearing the 4000-point mark, reflecting a decline in risk appetite [2] - The aerospace equipment sector saw a significant increase of 40% in Q4, while the metals sector remained active due to global inflation expectations and demand recovery [2] - Consumer sectors, particularly white goods and kitchen appliances, showed a temporary rebound due to policy stimuli, while high-dividend assets like banks and coal faced continuous corrections [2] Group 2: Investment Strategy - The investment strategy focuses on low-valuation, high-growth small-cap stocks, utilizing quantitative models for stock selection [4] - The manager emphasizes capturing opportunities in small-cap stocks while being cautious of potential risks, dynamically adjusting portfolios based on performance data [4] - The outlook remains optimistic as economic recovery and market liquidity are expected to support future market growth, with a focus on structural opportunities in technology and upstream resources [3][4]

Core Viewpoint - The article focuses on the introduction and analysis of Rongshuhai Private Fund Management, highlighting its unique investment strategies and the experienced team behind it [4][25]. Company Overview - Rongshuhai Private Fund Management (Zhuhai) Co., Ltd. was established on May 29, 2023, and obtained its license in December of the same year [4]. Core Team - The core team is led by founder Chen Jing, with members from prestigious institutions like CICC and Winton Group, possessing both international quantitative frameworks and local A-share market experience [7][26]. - The team has an average of over 8 years of quantitative trading experience, with more than 75% of the research and investment personnel holding master's degrees or higher [7][25]. Investment Philosophy & Strategies - The investment philosophy centers on "not betting on styles, focusing on Pure Alpha," utilizing a research paradigm of "cross-sectional return prediction + portfolio optimization" [11]. - The strategy aims to extract excess returns by focusing on the relative strength of stocks rather than market direction, actively removing market beta from the equation [11][14]. - The firm employs a multi-model prediction framework that combines statistical learning and machine learning to enhance prediction stability and adaptability across cycles [11][29]. Strategy Development & Product Lines - The strategy framework is built around "Pure Alpha core, strict risk control," aiming for sustainable and stable excess returns without relying on market direction [14]. - Key strategies include: - Index enhancement strategy targeting excess returns over specific indices [14]. - Market-neutral strategy using stock index futures to hedge systemic risks [15]. - Long/short equity strategy focusing on sustainable pure alpha [16]. - Quantitative stock selection strategy aiming for higher absolute returns [17]. - The flagship product, Kunpeng No. 1, exemplifies the firm's core capabilities in quantitative stock selection [18]. Core Advantages & Highlights - The team has a strong academic background and extensive A-share market experience, ensuring a blend of theoretical knowledge and practical application [25]. - The firm is currently in a "scale dividend" phase with approximately 1.8 billion yuan in assets under management, allowing for flexibility and potential for excess returns [31]. - The company emphasizes a clear differentiation strategy focused on absolute returns, targeting institutional and family office clients [32]. Future Evolution Capabilities - The firm plans to enhance its quantitative models through AI and machine learning, aiming to improve alpha prediction accuracy and stability [35]. - A systematic approach to talent development and knowledge transfer is being established to ensure sustainable investment capabilities [36]. - The company aims to build a brand recognized for advanced technology, strict risk control, and sustainable performance [39].

- The median excess return for CSI 500 Index Enhanced Funds this week was 0.38%[3][4] - The median excess return for CSI 1000 Index Enhanced Funds this week was 0.34%[3][4] - The median excess return for CSI A500 Index Enhanced Funds this week was 0.31%[3][4] - The median return for other Index Enhanced Funds this week was 0.01%[3][4] - The median return for Absolute Return (Hedge) Funds this week was 0.11%[3][4] - The median return for other Active Quantitative Funds this week was -1.35%[3][4] - The median return for Thematic Funds this week was -0.83%[15][16] - The median return for Performance Fee Funds this week was -1.14%[15][17] - The median return for Sector Rotation Funds this week was -2.12%[15][18] - The median return for Multi-Factor Funds this week was -1.84%[15][19] - The median return for Big Data Driven Active Funds this week was -0.67%[15][20]

Report Industry Investment Rating - Not mentioned in the report Core Viewpoints - By leveraging ETFs, it is convenient to transform quantitative models or subjective viewpoints into practical investment strategies. The report presents several ETF - based strategy indices and tracks their performance and holdings on a weekly basis [12] Summary by Relevant Catalog 1. ETF Strategy Index Tracking - **Overall Performance**: The table shows the performance of various ETF strategy indices last week. The "Huabao Research Small and Large - Cap Rotation ETF Strategy Index" had a weekly return of - 2.57%, a benchmark return of - 1.72%, and an excess return of - 0.85%. The "Huabao Research Quantitative Fire - Wheel ETF Strategy Index" had a weekly return of - 2.71%, a benchmark return of - 1.72%, and an excess return of - 0.99%. The "Huabao Research Quantitative Balance Art ETF Strategy Index" had a weekly return of - 0.44%, a benchmark return of - 1.33%, and an excess return of 0.90%. The "Huabao Research SmartBeta Enhanced ETF Strategy Index" had a weekly return of - 5.17%, a benchmark return of - 1.72%, and an excess return of - 3.45%. The "Huabao Research Hot - Spot Tracking ETF Strategy Index" had a weekly return of - 4.02%, a benchmark return of - 1.56%, and an excess return of - 2.46%. The "Huabao Research Bond ETF Duration Strategy Index" had a weekly return of 0.14%, a benchmark return of 0.14%, and an excess return of 0.00% [13] 1.1 Huabao Research Small and Large - Cap Rotation ETF Strategy Index - **Strategy**: It uses multi - dimensional technical indicator factors and a machine - learning model to predict the return difference between the Shenwan Large - Cap Index and the Shenwan Small - Cap Index. The model outputs signals weekly to predict the strength of the indices in the next week and determines holdings accordingly to obtain excess returns relative to the market [14][3] - **Performance**: As of February 6, 2026, the excess return since 2024 was 27.39%, the excess return in the past month was 1.49%, and the excess return in the past week was - 0.85%. The recent week's return was - 2.57%, the recent month's return was 0.06%, and the return since 2024 was 66.67%. The benchmark (CSI 800) had a recent - week return of - 1.72%, a recent - month return of - 1.43%, and a return since 2024 of 39.28% [14][18] - **Holdings**: As of February 6, 2026, it held 50% of the "CSI 500ETF" (fund code 159922.SZ) and 50% of the "CSI 1000ETF" (fund code 512100.SH) [18] 1.2 Huabao Research SmartBeta Enhanced ETF Strategy Index - **Strategy**: It uses price - volume indicators to time self - built Barra factors and maps timing signals to ETFs based on their exposures to 9 major Barra factors to achieve returns exceeding the market. The selected ETFs cover mainstream broad - based index ETFs and some style and strategy ETFs [17][18] - **Performance**: As of February 6, 2026, the excess return since 2024 was 14.21%, the excess return in the past month was - 3.36%, and the excess return in the past week was - 3.45%. The recent week's return was - 5.17%, the recent month's return was - 4.79%, and the return since 2024 was 53.50%. The benchmark (CSI 800) had a recent - week return of - 1.72%, a recent - month return of - 1.43%, and a return since 2024 of 39.28% [18][19] - **Holdings**: As of February 6, 2026, it held 25.28% of the "Western Capital Growth Enterprise Market Large - Cap ETF" (fund code 159814.SZ), 25.10% of the "Huaxia Science and Technology Innovation Comprehensive Index ETF" (fund code 589000.SH), 24.82% of the "Science and Technology Innovation 50ETF" (fund code 588000.SH), and 24.80% of the "E Fund Science and Technology Innovation and Growth Enterprise Market ETF" (fund code 159781.SZ) [18][21] 1.3 Huabao Research Quantitative Fire - Wheel ETF Strategy Index - **Strategy**: It starts from a multi - factor perspective, including the grasp of medium - and long - term fundamental dimensions, the tracking of short - term market trends, and the analysis of the behaviors of various market participants. It uses valuation and crowding signals to indicate industry risks and multi - dimensionally digs potential sectors to obtain excess returns relative to the market [21][4] - **Performance**: As of February 6, 2026, the excess return since 2024 was 48.59%, the excess return in the past month was 5.45%, and the excess return in the past week was - 0.99%. The recent week's return was - 2.71%, the recent month's return was 4.02%, and the return since 2024 was 87.87%. The benchmark (CSI 800) had a recent - week return of - 1.72%, a recent - month return of - 1.43%, and a return since 2024 of 39.28% [21][23] - **Holdings**: As of February 6, 2026, it held 20.66% of the "E Fund Securities and Insurance ETF" (fund code 512070.SH), 20.05% of the "Steel ETF" (fund code 515210.SH), 19.97% of the "Penghua Petroleum ETF" (fund code 159697.SZ), 19.66% of the "Electronic ETF" (fund code 159997.SZ), and 19.65% of the "Chemical Industry ETF" (fund code 159870.SZ) [26] 1.4 Huabao Research Quantitative Balance Art ETF Strategy Index - **Strategy**: It uses a multi - factor system including economic fundamentals, liquidity, technical aspects, and investor behavior factors to build a quantitative timing system for trend analysis of the equity market. It also establishes a prediction model for the market's small - and large - cap styles to adjust the equity market position distribution and comprehensively obtains excess returns relative to the market through timing and rotation [25] - **Performance**: As of February 6, 2026, the excess return since 2024 was - 8.96%, the excess return in the past month was 2.38%, and the excess return in the past week was 0.90%. The recent week's return was - 0.44%, the recent month's return was - 0.04%, and the return since 2024 was 26.37%. The benchmark (CSI 300) had a recent - week return of - 1.33%, a recent - month return of - 2.42%, and a return since 2024 was 35.34% [25][26] - **Holdings**: As of February 6, 2026, it held 9.11% of the "10 - Year Treasury Bond ETF" (fund code 511260.SH), 6.50% of the "500ETF Enhanced" (fund code 159610.SZ), 6.26% of the "CSI 1000ETF" (fund code 512100.SH), 32.94% of the "Guotai CSI 300 Enhanced ETF" (fund code 561300.SH), 22.64% of the "Policy - Financial Bond ETF" (fund code 511520.SH), and 22.55% of the "Haifutong Short - Term Financing ETF" (fund code 511360.SH) [28] 1.5 Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy**: It uses strategies such as market sentiment analysis, industry major event tracking, investor sentiment and professional opinions, policy and regulatory changes, and historical deduction to track and dig hot - spot index target products in a timely manner, constructing an ETF portfolio that can capture market hotspots in time to provide investors with references for short - term market trends and help them make more informed investment decisions [28][5] - **Performance**: As of February 6, 2026, the excess return in the past month was 2.05%, and the excess return in the past week was - 2.46%. The recent week's return was - 4.02%, the recent month's return was 1.15%. The benchmark (CSI All - Share Index) had a recent - week return of - 1.56% and a recent - month return of - 0.90% [28][31] - **Holdings**: As of February 6, 2026, it held 41.13% of the "Huitianfu Non - Ferrous Metals ETF" (fund code 159652.SZ), 23.13% of the "Bosera Hong Kong Stock Dividend ETF" (fund code 513690.SH), 18.44% of the "E Fund Hong Kong - Stock Connect Pharmaceutical ETF" (fund code 513200.SH), and 17.30% of the "Haifutong Short - Term Financing ETF" (fund code 511360.SH) [31][32] 1.6 Huabao Research Bond ETF Duration Strategy Index - **Strategy**: It uses bond market liquidity indicators and price - volume indicators to screen effective timing factors and predicts bond yields through machine learning. When the expected yield is below a certain threshold, it reduces the long - duration positions in the bond investment portfolio to improve the portfolio's long - term returns and drawdown control ability [32] - **Performance**: As of February 6, 2026, the excess return in the past month was 0.29%, and the excess return in the past week was 0.00%. The recent week's return was 0.14%, the recent month's return was 0.76%, the return since 2024 was 9.76%, and the return since its establishment was 23.95%. The benchmark (ChinaBond Aggregate Index) had a recent - week return of 0.14%, a recent - month return of 0.47%, a return since 2024 of 3.26%, and a return since its establishment of 7.55% [32][33] - **Holdings**: As of February 6, 2026, it held 50.03% of the "10 - Year Treasury Bond ETF" (fund code 511260.SH), 24.99% of the "Policy - Financial Bond ETF" (fund code 511520.SH), and 24.98% of the "5 - to 10 - Year Treasury Bond ETF" (fund code 511020.SH) [32][35]

随着金银价格持续拉锯震荡，对冲基金行业的一个角落正从贵金属的巨大波动中挖掘机会。 商品交易顾问（CTAs），也被称为趋势跟踪或管理期货基金，是计算机驱动的投资策略，它们在包括 股票、债券、外汇和商品在内的不同期货市场中交易投资趋势。这些策略使用复杂的统计模型、机器学 习算法、因子和其他量化信号的组合来识别，并押注市场的上涨和下跌走势，从而在投资过程中剔除人 类的情绪和偏见。 这些系统化模型捕捉到了近几个月贵金属价格上涨的势头，帮助趋势跟踪量化基金收复了去年"解放 日"动荡中遭受的损失。尽管金银价格随后急剧逆转，该板块的表现依然坚挺。 CTA行业的主要业绩基准，即法兴银行的SG CTA指数在1月份上涨了5%。与此同时，追踪10大趋势跟 踪对冲基金的SG趋势指数在1月29日之前上涨了6.9%。这使得1月成为该指数自2000年以来表现最好的 月份之一。 截至2月4日，这两个基准指数今年以来均上涨超过4%，表明趋势跟踪量化基金经理成功驾驭了金银的 剧烈波动。 "敏捷且灵活" 与此同时，白银新兴的"Meme交易"地位使其与许多趋势跟踪模型的兼容性降低，这可能导致许多策略 师限制其风险敞口，从而最终避开了白银的下跌。 " ...

Core Viewpoint - The "fixed income +" products are a key focus for brokerage asset management this year, facing dual pressures from declining bond yields and increasing difficulty in enhancing equity components [1][2] Group 1: Challenges Facing "Fixed Income +" Products - The traditional operation model of "fixed income +" strategies is challenged by low bond yields and structural market conditions, weakening the safety net function of bonds [2][3] - Increased volatility in the bond market has reduced the contribution of traditional coupon income, with expectations of continued wide fluctuations in 2026 [2][6] - The structural differentiation in the equity market complicates the enhancement of equity components, raising the difficulty of stock selection and timing [2][3] Group 2: Strategic Adjustments and Innovations - Brokerage asset management firms are pushing for iterative upgrades of "fixed income +" products through multi-asset strategies, quantitative tools, and enhanced risk control [4][5] - Expanding asset boundaries and reducing correlation in portfolios is a key strategy, with firms incorporating low-correlation alternative assets to improve resilience [4] - Strengthening quantitative and systematic investment capabilities is emphasized, with firms utilizing data-driven methods to enhance investment discipline and stability [4] Group 3: Market Outlook for 2026 - Institutions expect bond market performance to improve compared to 2025, with yields anticipated to remain volatile [6][7] - The equity market is expected to strengthen amidst volatility, with structural opportunities identified in sectors such as technology, cyclical stocks, and emerging themes [6][8] - Specific sectors recommended for investment include AI, semiconductor, and renewable energy, reflecting a focus on growth and cyclical recovery [7][8]

"公募基金高质量发展之路"系列报道 国内量化基金的崛起，常被市场标签化为"微盘行情"的幸运儿。然而，深入研究国金量化多因子基金背 后的故事便会发现，这份持续五年的优胜业绩，远非单一风格红利所能概括。作为这只金牛基金的掌舵 人，国金基金量化投资中心总经理姚加红对此有着深刻的感触。 这份优秀的答卷，是团队前瞻布局人工智能、默默深耕技术的"慢功夫"结晶；是面对行业范式迁移 与"规模魔咒"时，保持战略定力、构建多元产品矩阵的理性回应；更是量化投资方法论在助力市场稳 定、改善持有人体验、赋能行业高质量发展进程中，一次扎实深入的实践。 国金量化多因子荣获第22届基金业金牛奖"五年期开放式股票型持续优胜金牛基金"，见证了一个团队凭 借远见与技术，在时代浪潮中踏出坚实足迹；也预示着当基金行业迈向高质量发展时，那些坚持理性、 专注创新、敬畏风险的量化力量，必将为行业发展注入持久动能。 姚加红，国金基金总经理助理兼量化投资中心总经理。11年投资管理经验。现任国金量化多策略、国金 量化多因子、国金中证A500指数增强、国金智远量化选股混合的基金经理。其管理的国金量化多因子 获第22届基金业金牛奖"五年期开放式股票型持续优胜金牛基金 ...

点击注册小程序 查看完整报告 特别申明： 本订阅号中所涉及的证券研究信息由光大证券研究所编写，仅面向光大证券专业投资者客 户，用作新媒体形势下研究信息和研究观点的沟通交流。非光大证券专业投资者客户，请勿 订阅、接收或使用本订阅号中的任何信息。本订阅号难以设置访问权限，若给您造成不便， 敬请谅解。光大证券研究所不会因关注、收到或阅读本订阅号推送内容而视相关人员为光大 证券的客户。 报告摘要 量化市场跟踪 大类因子表现： 本周全市场股票池中，杠杆因子获取正收益0.38%；市值因子、Beta因子和非线性市值因子分别获取负收 益-0.83%、-0.45%、-0.43%；市场小市值风格显著；动量因子获取负收益-0.32%，市场表现为反转效应； 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经营现金流比率 (2.56%)、大单净流入 (2.23%)、动量调整大单 (2.21%)。表现较差的因子有净利润断层 (-2.15%)、单季度净利润同比增长率 (-2.12%)、单季度ROA同比 (-1.81%)。 本周，基本面因子在各行业表现分化，每股净资产因子、每股经营利润TTM因子在家用电器、美容 ...

□本报记者 王宇露 姚加红，国金基金总经理助理兼量化投资中心总经理。11年投资管理经验。现任国金量化多策略、国金 量化多因子、国金中证A500指数增强、国金智远量化选股混合的基金经理。其管理的国金量化多因子 获第22届基金业金牛奖"五年期开放式股票型持续优胜金牛基金"奖项。 国内量化基金的崛起，常被市场标签化为"微盘行情"的幸运儿。然而，深入研究国金量化多因子基金背 后的故事便会发现，这份持续五年的优胜业绩，远非单一风格红利所能概括。作为这只金牛基金的掌舵 人，国金基金量化投资中心总经理姚加红对此有着深刻的感触。 这份优秀的答卷，是团队前瞻布局人工智能、默默深耕技术的"慢功夫"结晶；是面对行业范式迁移 与"规模魔咒"时，保持战略定力、构建多元产品矩阵的理性回应；更是量化投资方法论在助力市场稳 定、改善持有人体验、赋能行业高质量发展进程中，一次扎实深入的实践。 国金量化多因子荣获第22届基金业金牛奖"五年期开放式股票型持续优胜金牛基金"，见证了一个团队凭 借远见与技术，在时代浪潮中踏出坚实足迹；也预示着当基金行业迈向高质量发展时，那些坚持理性、 专注创新、敬畏风险的量化力量，必将为行业发展注入持久动能。 前瞻布 ...