债市展望方面，国金资管认为，2026年积极财政政策或持续发力，通胀预期有望逐步升温，叠加机构行 为扰动加剧，债市利率下行空间或受到限制。但与此同时，央行大概率将维持流动性宽松以配合财政政 策落地，政策工具箱仍有发力空间。综合来看，2026年债市收益率或将继续维持宽幅震荡行情。 新华财经上海12月25日电（记者魏雨田）2025年已步入收官阶段，岁末之际，如何精准布局2026年资产 配置、把握新一轮市场周期中的潜在投资机会，成为市场关注焦点。展望2026年，国金资管表示，2026 年权益投资机会将更具广度与纵深，有望成为资产配置的主战场；而债市方面，收益率大概率延续宽幅 震荡格局。 国金资管分析认为，当前流动性环境与政策监管环境持续优化，长期资金呈现持续流入态势。叠加科技 领域持续突破、经济结构性亮点凸显，有望驱动部分行业基本面景气向上，进而催生结构性投资机会。 在此背景下，权益市场的投资机会或将成为2026年财富配置的核心发力点。 权益量化策略方面，国金资管表示，总体策略深度正不断提升。在市场波动、成交量逐步下行的大背景 下，量化策略的超额收益表现，或将印证策略深度已实现新突破，因此该类策略明年仍具备一定配置价 ...

本文首发于公众号"私募排排网"。 （点击↑↑ 上图查看详情 ） 近年来随着量化技术的进步，量化投资在单一资产如股票、商品期货、股指期货、可转债等资产中的运用已经较为普遍，同时 一些私募管理人 也开始尝试在 各种 策略方向 量化赋能，如期权、套利、转债、 FOF等各大策略中，均出现量化的身影。 私募排排网数据显示， 量化投资模式下涉及的二级策略有 14种，其中比较热门的十大量化策略分别是： 包括量化多头、量化CTA、股票市场中 性、复合策略、期权策略、套利策略、转债交易策略、宏观策略、股票多空、FOF。 业绩方面来看，截至11月底，1793只量化产品今年来收益均值为27.29%，其中825只量化多头策略今年来收益均值为高达41.12%，以明显优势 领先。其次是复合策略、股票多空策略。 | 二级策略 | 符合排名规则 的量化产品数 | 今年来收益均值 | 今年来夏普均值 | 近3年收益均值 | | --- | --- | --- | --- | --- | | 曹帆亲杀 | 825 | 41.12% | 2.86 | 74.10% | | 量化CTA | 372 | 16.87% | 1.41 | 48.46% ...

Group 1 - The core viewpoint of the articles highlights the impressive performance of quantitative long strategies in the private equity market, with an average excess return of over 17% year-to-date as of the end of November, and over 90% of funds achieving positive excess returns [1][2] - The strong performance of quantitative strategies is attributed to increased market activity and low strategy crowding at the beginning of the year, with expectations for continued active trading in the equity market due to asset reallocation and declining risk-free interest rates [1][4] - Large and mid-sized private equity firms are leading in excess returns, with funds managing between 20 billion to 50 billion achieving an average excess return of 20.12%, and those managing over 100 billion achieving 19.98% [2] Group 2 - The influx of capital into quantitative strategies has been significant, with the number of billion-level quantitative private equity firms increasing from 33 to 55 this year, and many firms raising over 100 billion in new funds [3] - Despite recent market volatility, the pace of capital inflow remains stable, with a clear trend of residents reallocating funds to equity assets and institutions showing a positive attitude towards equity investments [4] - Looking ahead, while the rapid growth of the industry may lead to diminishing effectiveness of single factors, the integration of multi-strategy approaches is expected to provide advantages, with a focus on deep understanding of industry trends and broad coverage [5]

东证衍生品研究院金工首席分析师：李晓辉（CTA） 金工策略周报 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：常海晴（股指期货） 从业资格号：F03087441 投资咨询号：Z0019497 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 股指期货量化策略 东证衍生品研究院金工高级分析师：常海晴（股指期货） 从业资格号：F03087441 投资咨询号：Z0019497 ★股指期货行情简评： 市场上周震荡，市场风格偏向大盘，上证50收涨。分行业看，金融板块贡献了上证50和沪深300主要的涨幅，电子、电力设备贡献了中证500和中 证1000主要的跌幅。 各品种成交环比上行，IF、IC、IM基差走强。(股指期货基差=期货收盘价-现货收盘价) ★股指期货基差策略推荐： 各品种基差走强，IH升水，IF维持浅贴水、IC、IM贴水收敛。当前股指期货上的套保需求依然以空头为主，预计IC、IM的深度贴水格局仍将维持， 建议关注跨期正套的交易机会。展期策略推荐多近空远。 ★股指期货套利策略跟踪： 跨 ...

300增强ETF（561300）不仅紧跟沪深300指数，还叠加了量化策略，试图在优质beta的基础上追求超额 收益。截至2025年三季度末，300增强ETF过去三年相对沪深300超额达10.92%。 招商证券指出，2026年作为中国"十五五"规划开局之年，政策定调积极，预计财政支出将保持扩张，基 建与重大项目集中落地有望带动投资（特别是基建）增速回升，与潜在的房地产企稳政策形成合力，共 同推动内需回暖。行业层面，关注顺周期与产能出清、科技创新与优势制造、扩内需三条线索，重点关 注有色金属、基础化工、食品饮料、电力设备等行业。顺周期板块收入和净利润增速触底回升，利润率 底部修复，资本开支增速处于拐点附近，在建工程持续下滑至历史低位，与历史上几轮顺周期行情高度 契合。科技创新领域，国产算力行业在外部封锁与内需爆发双引擎驱动下处于历史性机遇期，AI、服 务器、数据中心等环节加速迭代。消费服务行业有望在政策支持、经济复苏与结构转型共同作用下迎来 量价齐升的复苏周期，重点关注医疗护理、养老托育、文化旅游等服务消费领域。 （文章来源：每日经济新闻） ...

Core Viewpoint - The article discusses the extreme market conditions in the AI sector and concerns regarding the potential for newly listed stocks to underperform, contrasting this with past worries about high valuations and fundraising practices in the market [1] Group 1: Market Dynamics - Since July 2023, regulatory bodies have addressed issues such as oversupply in the A-share market, excessive fundraising, and violations related to stock reductions, aiming to restore profitability in the A-share market, which has significantly contributed to the current bull market [1] - The market has seen a significant concentration of funds in a few hot stocks, with over 80% of stocks declining while major AI concept stocks exhibit divergence [2] Group 2: Institutional Investment Trends - Institutional funds have shown a strong preference for AI stocks, with 922 public funds holding shares in Cambrian Technology, amounting to a quarterly change of approximately 33.4 billion yuan, representing 12.86% of circulating shares [3] - From October 8 to December 15, institutional inflows into Cambrian Technology reached approximately 129.7 billion yuan, with other AI stocks like SMIC and Haiguang Information also receiving substantial inflows [3][4] Group 3: Regulatory Impact on Fund Management - New regulations for public funds emphasize long-term performance and investor returns over sales metrics, potentially leading fund managers to concentrate on established stocks with strong performance certainty, thus exacerbating market polarization [4][5] Group 4: Liquidity and Market Behavior - The influx of long-term capital, particularly from insurance funds, is expected to provide around 500 billion yuan annually to the market starting in 2025, with a significant portion directed towards ETFs [6][7] - The current market liquidity is characterized by a concentration of funds in a narrow range of stocks, leading to a situation where the market appears active but is actually driven by a limited number of assets [7][8] Group 5: Global Market Influences - While institutional investors in A-shares remain optimistic about AI stocks, Wall Street has begun to reduce valuations, influenced by factors such as the Federal Reserve's policies and disappointing earnings reports from major tech companies [9][10] - The global computing power market is projected to grow significantly, with estimates indicating an increase from 1,397 EFLOPS in 2023 to 16 ZFLOPS by 2030, highlighting the ongoing competition in the AI sector [11][12] Group 6: Conclusion and Future Outlook - The narrative surrounding AI and the bull market in A-shares is compelling, but there are concerns about potential liquidity issues that could affect investors not heavily invested in AI stocks [13] - The current trend of capital flowing into a structurally volatile market raises the possibility of an impending structural bear market [13]

从基金公司层面来看，有多家公司推出多只产品同步发行。其中易方达基金以7只产品的发行量位居首 位，鹏华基金紧随其后，发行6只产品。国泰基金、招商基金、平安基金分别发行5只和4只产品，形成 了头部公司引领、中小型公司积极跟进的竞争格局。 从时间分布来看，基金发行呈现显著的年末集中特征。数据显示，74只基金（占比66.7%）于12月份启 动募集，92只基金（占比82.9%）计划在12月完成募集，反映出基金公司普遍把握年终窗口，积极展开 年末发行收官战并布局来年。 在产品布局上，被动指数型基金数量占比近30%，覆盖科创板、人工智能、港股通、高端制造等市场热 点板块。例如，易方达推出科创板芯片ETF，国泰基金布局港股通互联网ETF，鹏华基金则集中发行了 卫星产业、通用航空等主题ETF。 今年公募基金发行数据整体向好，随着年末临近，仍有多家基金公司冲刺年末发行。 Wind最新数据显示，目前市场上共有111只公募基金处于正在发行状态，涵盖偏股混合型、被动指数 型、FOF、债券型等多类产品，形成了年内少有的集中发行热潮。另外，11月以来新发基金募集规模不 低，全市场新成立公募基金共计191只，合计募集资金规模达到1473.1 ...

投容大咖啡 聂守华 在AI时代保持对市场的敬畏 ——访翰荣投资创始人聂守华 过去两年，关于"量化策略加剧市场波动""量化策略赌风格"等讨论一度成为市场关注的热点。不过，在 聂守华的眼中，量化策略是一种科学的方法，能一定程度上纠正错误定价。 聂守华分析称：从策略层面来看，量化可大致分为偏高频交易和偏中低频Alpha策略两类。对市场而 言，前者可以通过持续提供流动性，使市场参与者的交易成本得以降低，提升整体市场运行效率；后者 则可以发现并修正由于情绪或短期行为造成的价格偏离。 聂守华说，在AI时代量化策略大有可为，AI为中小型量化私募的发展造就了一条宽敞的路。 在聂守华看来，资本市场快速发展、人工智能浪潮汹涌的背景下，量化策略方兴未艾。管理人若想实现 长远发展，不仅要在科技发展中抢占先机，还要做好风险控制与超额收益来源的拓展，让更多投资者分 享中国经济转型和资本市场深化改革的红利。谈及量化策略亮眼业绩的可持续性，他认为，无风险收益 率震荡下行过程中，投资者将加大权益类资产的配置比例，市场交投活跃度大概率维持高位，量化策略 的超额表现有望维持在较高水平。 "AI给中小型量化开辟突围之路" 他举例称，当部分股票因追涨 ...

Market Overview - The A-share market maintained an upward trend, with the broad indices showing slight increases, specifically the CSI 300, CSI 500, and ChiNext Index recorded weekly changes of -0.08%, 1.01%, and 2.74% respectively [2] - The communication and defense industries performed strongly, ranking first and second in sector performance, while coal and oil & petrochemical sectors lagged behind [2] - Growth stocks outperformed value stocks, with the National Securities Growth Index rising by 1.01% while the National Securities Value Index fell by 1.37% [2] Future Outlook - The macroeconomic expectations indicate a neutral impact on the stock market, suggesting that the current economic conditions do not significantly influence market movements [3] - Valuation levels, market sentiment, and capital flows are currently optimistic, indicating a normal microstructure in the stock market [3] - The QRS indicator shows a bullish signal for most tracked indices, suggesting a certain level of support at the market bottom [3] Quantitative Model Performance - The industry rotation model outperformed the equal-weighted benchmark by 0.2 percentage points, with a cumulative return of 22.9% since August 1, 2023, compared to the benchmark's 16.5% [4] - The multi-factor stock selection model for the CSI 300 index enhanced returns by 0.61 percentage points this week, with a cumulative return of 143.10% since January 1, 2019, outperforming the benchmark by 88.83 percentage points [5] - The growth trend selection strategy yielded a return of -0.7% this week, with an annualized return of 29.8% since January 1, 2009, outperforming the benchmark by 19.6% [6] Sector Rotation Insights - The adaptive model for sector rotation indicates current holdings in non-ferrous metals, banking, consumer services, power equipment & new energy, and computers, with a recent weekly return of -0.9% [4] - The value stock selection strategy reported a return of -1.5% this week, with an annualized return of 17.9% since May 5, 2009, outperforming the benchmark by 12.6% [8] Timing Indicators - The left-side timing indicators suggest a neutral valuation level for the CSI 300, with a current value of 0.85, indicating a balanced market perspective [10] - The market sentiment indicators, such as the put-call ratio and the China VIX, show bullish signals, suggesting a favorable environment for equity investments [10] QRS Timing Indicators - The QRS timing indicators for major indices like the Shanghai Composite and CSI 300 show positive signals, indicating potential upward movements in these indices [11]

金工策略周报 东证衍生品研究院金工首席：李晓辉 从业资格号： F03120233 交易咨询号： Z0019676 东证衍生品研究院金工高级分析师：常海晴（股指期货） 从业资格号：F03087441 投资咨询号：Z0019497 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 上海东证期货有限公司 股指期货量化策略 东证衍生品研究院金工高级分析师：常海晴（股指期货） 从业资格号：F03087441 投资咨询号：Z0019497 上海东证期货有限公司 ★股指期货套利策略跟踪： 跨期套利策略方面，上周各策略净值震荡，年化基差率、正套和动量因子分别亏损0.4%、盈利0.1%、盈利0.0%（6倍杠杆）。年化基差率因子以正 套信号为主。 市场风格反复，跨品种套利时序合成策略净值上周走平。跨品种最新信号推荐50%仓位多IC空IM、IF/IC空仓。 ★股指期货择时策略跟踪： 上周择时策略有所回撤。日度择时策略上证50盈利、其余指数亏损，上证50、沪深300、中证500、中证1000上周分别盈利0.5%、亏损0.2%、亏 损0.3%、亏损1.3%。 ...