中银量化大类资产跟踪 A 股市场缩量反弹，贵金属涨幅居前 金融工程| 证券研究报告 —周报 2025 年 11 月 30 日 股票市场概览 本周 A 股市场整体上涨，港股市场整体上涨，美股市场普遍上涨，其 他海外权益市场普遍上涨。 A 股风格与拥挤度 成长 vs 红利：相对拥挤度及超额净值近期处于历史较高位置，需注 意成长风格的配置风险。 小盘 vs 大盘：相对拥挤度及超额净值均未处于历史高位，小盘风格 当前具有较高的配置性价比。 微盘股 vs 中证 800：相对拥挤度及超额净值持续处于历史高位，需注 意微盘股风格的配置风险。 A 股行情跟踪 A 股估值与股债性价比 A 股资金面 汇率市场 近一周在岸人民币较美元升值，离岸人民币较美元升值。 商品市场 本周中国商品市场整体上涨，美国商品市场整体下跌。 风险提示 量化模型因市场剧烈变动失效。 中银国际证券股份有限公司 具备证券投资咨询业务资格 金融工程 证券分析师: 郭策 (8610) 66229081 ce.guo@bocichina.com 证券投资咨询业务证书编号：S1300522080002 联系人：宋坤笛 (8610) 83949524 kundi.s ...

Core Viewpoint - The article discusses the performance of private equity index enhancement strategies in the A-share market over the past five years, highlighting the challenges faced due to geopolitical tensions, the pandemic, and tariff impacts, while identifying products that have consistently outperformed their benchmarks [2][4]. Group 1: Performance of Index Enhancement Strategies - The A-share market has experienced significant fluctuations, with the CSI 300 index showing returns of -5.20%, -21.63%, -11.38%, and 14.68% from 2021 to 2024, with a year-to-date increase of 14.75% as of November 21 [5][6]. - Only five products have achieved positive excess returns for five consecutive years in the CSI 300 index enhancement category, with four from large private equity firms and one from a mid-sized firm [5][6]. Group 2: Notable Products in CSI 300 Index Enhancement - The top-performing product is "JiuZhang HuanFang CSI 300 Quantitative Multi-Strategy No. 1," managed by Xu Jin, which has shown remarkable cumulative excess returns since 2021 [7]. - Other notable products include those from Longqi Technology, MingHuan Investment, and MingShi Fund, with the only mid-sized firm being BaiLu Asset [6][7]. Group 3: Performance of Other Indexes - The CSI 500 index has seen returns of 15.58%, -20.31%, -7.42%, and 5.46% from 2021 to 2024, with a year-to-date increase of 21.40% as of November 21, and 43 products have achieved positive excess returns over five years [8][9]. - Among these, 27 products are from large private equity firms, with JQ Investment having 11 products listed [8][9]. Group 4: Performance of CSI 1000 Index Enhancement - The CSI 1000 index has recorded returns of 20.52%, -21.58%, -6.28%, and 1.20% from 2021 to 2024, with a year-to-date increase of 21.82% as of November 21, and only seven products have achieved positive excess returns over five years [13][14]. - The leading product is "JiuKun Daily Enjoy CSI 1000 Index Enhancement No. 1," managed by Yao Qicong, which has shown significant cumulative excess returns since 2021 [14][15]. Group 5: Quantitative Stock Selection - Quantitative stock selection, referred to as "air index enhancement," has yielded 15 products with positive excess returns over five years, with notable firms including TianYan Capital and JiLu Asset [16][17]. - The top product in this category is "JiLu No. 9," managed by Yu Xuezhi, which has achieved high cumulative excess returns since 2021 [18][19].

Core Insights - The "2025 Quantitative Industry High-Quality Development Conference and Financial Technology Quantitative Institution Golden Bull Award Ceremony" was held in Shanghai, where Square and Investment won the "Three-Year Golden Bull Quantitative Institution (Long/Short Hedge Strategy)" award [1][2] Group 1: Company Achievements - Square and Investment has received over 70 prestigious awards since its establishment in August 2015, including the Golden Bull Award, highlighting its long-term stable strategy performance [2] - The award coincides with the tenth anniversary of Square and Investment, recognizing the company's development achievements under the theme "Ten Years of Strategy, Ten Years of Longevity" [2] Group 2: Research and Development Strategy - The company employs a five-in-one strategy development model that includes data processing, factor mining, factor synthesis, portfolio optimization, and trading, based on over ten years of historical data [3] - The factor research is conducted using a "strong effectiveness + low correlation" quantitative standard, ensuring high quality and strong logical consistency while controlling for overfitting [3] Group 3: Future Outlook - Square and Investment aims to continue adhering to its core values of "research-driven, pursuit of excellence," focusing on strategy innovation, technology upgrades, and risk control [3] - The company is committed to enhancing its comprehensive service capabilities and contributing to the high-quality development of the quantitative industry [3]

Quantitative Models and Construction Methods 1. Model Name: PB-ROE-50 Combination - **Model Construction Idea**: The PB-ROE-50 combination is designed to capture excess returns by selecting stocks with favorable Price-to-Book (PB) and Return on Equity (ROE) characteristics[25] - **Model Construction Process**: The model selects stocks based on PB and ROE metrics, with adjustments for market capitalization and rebalancing on a periodic basis. The detailed construction process is referenced in a prior report[25][26] - **Model Evaluation**: The model demonstrated significant excess returns across different stock pools during the analyzed period, indicating its effectiveness in identifying profitable investment opportunities[25][26] 2. Model Name: Institutional Research Combination - **Model Construction Idea**: This model leverages the insights from public and private institutional research to identify stocks with potential for excess returns[28] - **Model Construction Process**: The model uses a strategy that tracks stocks selected by public and private institutional research, with adjustments made relative to the CSI 800 index. The methodology is detailed in prior reports[28] - **Model Evaluation**: The model showed strong performance, achieving positive excess returns, which highlights the value of institutional research in stock selection[28][29] 3. Model Name: Block Trade Combination - **Model Construction Idea**: This model identifies stocks with high block trade activity and low volatility, which are likely to outperform[32] - **Model Construction Process**: The model is constructed based on the "high transaction, low volatility" principle, using monthly rebalancing. The detailed methodology is outlined in a prior report[32] - **Model Evaluation**: The model effectively captures excess returns, demonstrating the informational value of block trade activity[32][33] 4. Model Name: Private Placement Combination - **Model Construction Idea**: This model focuses on stocks involved in private placement events, aiming to capture event-driven excess returns[38] - **Model Construction Process**: The model is constructed by considering factors such as market capitalization, rebalancing cycles, and position control, with the private placement announcement date as the key event. The detailed methodology is provided in a prior report[38] - **Model Evaluation**: The model showed a slight negative excess return during the analyzed period, suggesting limited effectiveness in the current market environment[38][39] --- Model Backtesting Results 1. PB-ROE-50 Combination - Weekly excess return: CSI 500: 0.47%, CSI 800: 1.54%, All-market: 1.59%[25][26] - Year-to-date excess return: CSI 500: 2.06%, CSI 800: 15.14%, All-market: 18.32%[26] 2. Institutional Research Combination - Weekly excess return: Public research: 3.63%, Private research: 3.32%[28][29] - Year-to-date excess return: Public research: 16.50%, Private research: 15.79%[29] 3. Block Trade Combination - Weekly excess return: 2.93%[32][33] - Year-to-date excess return: 39.24%[33] 4. Private Placement Combination - Weekly excess return: -0.01%[38][39] - Year-to-date excess return: -3.70%[39] --- Quantitative Factors and Construction Methods 1. Factor Name: Momentum Spring Factor - **Factor Construction Idea**: Captures momentum effects by identifying stocks with strong recent performance trends[12][13] - **Factor Construction Process**: The factor is calculated based on recent price movements, adjusted for market and sector effects. The exact formula is not provided in the report[12][13] - **Factor Evaluation**: Demonstrated strong positive returns across multiple stock pools, indicating its effectiveness in capturing momentum effects[12][13] 2. Factor Name: Early Morning Return Factor - **Factor Construction Idea**: Measures the return performance of stocks during the early trading hours[12][13] - **Factor Construction Process**: The factor is calculated by isolating returns during the early trading hours and adjusting for market and sector influences[12][13] - **Factor Evaluation**: Showed consistent positive returns, highlighting its potential as a predictive factor[12][13] 3. Factor Name: Single Quarter ROA - **Factor Construction Idea**: Focuses on the return on assets (ROA) for a single quarter to identify efficient companies[12][13] - **Factor Construction Process**: The factor is derived from quarterly financial reports, specifically the ratio of net income to total assets, adjusted for market and sector effects[12][13] - **Factor Evaluation**: Demonstrated positive returns, indicating its utility in identifying fundamentally strong companies[12][13] --- Factor Backtesting Results 1. Momentum Spring Factor - Weekly return: CSI 300: 2.26%, CSI 500: 2.56%, Liquidity 1500: 3.25%[12][13][19] - Monthly return: CSI 300: 3.00%, CSI 500: 0.55%, Liquidity 1500: -0.79%[13][15][19] - Year-to-date return: CSI 300: 8.96%, CSI 500: 5.35%, Liquidity 1500: 9.79%[13][15][19] 2. Early Morning Return Factor - Weekly return: CSI 300: 1.88%, CSI 500: 2.66%, Liquidity 1500: 3.21%[12][13][19] - Monthly return: CSI 300: 1.48%, CSI 500: 1.81%, Liquidity 1500: 0.66%[13][15][19] - Year-to-date return: CSI 300: 4.90%, CSI 500: 4.18%, Liquidity 1500: 11.40%[13][15][19] 3. Single Quarter ROA - Weekly return: CSI 300: 1.90%, CSI 500: -0.90%, Liquidity 1500: 0.68%[12][13][19] - Monthly return: CSI 300: 1.19%, CSI 500: 0.47%, Liquidity 1500: -1.20%[13][15][19] - Year-to-date return: CSI 300: 20.46%, CSI 500: -3.19%, Liquidity 1500: 10.47%[13][15][19]

中证报中证网讯(王珞)11月28日，由中国证券报主办，华鑫证券、西岸集团联合承办，深圳数据经济研 究院提供独家学术支持的"2025量化行业高质量发展大会暨金融科技.量化机构金牛奖颁奖典礼"在上海 徐汇西岸举行。上海锐耐私募基金管理有限公司荣获"年度金牛量化机构(多空对冲策略)"奖。 锐耐私募作为国内量化投资领域的杰出代表，是一家以低延时套利策略为核心，深度融合顶尖信息技术 (IT)、前沿算法与严谨投研团队的专业机构。10月15日，锐耐私募获得"金牛私募管理公司(年度相对价 值策略)"奖。 市场的认可是衡量一家私募管理公司成功与否的最终标准。在过去短短三年多时间，锐耐私募凭借其出 色的策略表现，在各类大小规模的行业实盘竞赛中，累计斩获了超过一百个冠亚军奖项，不仅体现了其 策略的强大普适性与盈利能力，更彰显了团队在不同市场环境下的卓越适应性和稳定性。 锐耐私募旗下产品以其鲜明的"低回撤、高夏普"特征而备受市场青睐。在追求阿尔法收益的同时，公司 将风险控制置于首位。通过精密的模型设计和严格的风控体系，其产品净值曲线平滑，回撤幅度远低于 行业平均水平，为投资者提供了卓越的持有体验。极高的夏普比率则意味着，投资者在承担 ...

Core Insights - The development of quantitative investment is at a new historical starting point, emphasizing the integration of innovation and responsibility for sustainable growth [1][3] - The 2025 Securities Industry Golden Bull Award highlights outstanding quantitative institutions, showcasing their innovation and compliance in the industry [1][3] Industry Development - Quantitative investment has evolved over more than half a century globally, significantly impacting capital market operations [3] - Despite its late start in China, quantitative investment is experiencing a golden development period characterized by innovation and responsibility, driven by a large market capacity and advancing financial technology [3][4] Technological Innovation - Quantitative investment is a core application of financial technology, integrating big data, artificial intelligence, and cloud computing to shift investment management from experience-driven to data-driven and intelligent [3][4] - The focus on rational investment principles enhances decision-making logic and objectivity, reducing irrational trading impacts on the market [3][4] Market Efficiency - Quantitative investment acts as an engine for market efficiency, improving trading liquidity and price discovery mechanisms through innovative trading tools and pricing models [4] Social Responsibility - Financial institutions, including quantitative firms, must uphold social responsibility while innovating, ensuring the protection of investors' legal rights [6] - Quantitative institutions play a crucial role in guiding investor structure optimization and providing professional investment channels [6] Regulatory Alignment - The development of quantitative investment aligns with the regulatory focus on enhancing capital market functions, particularly in technology finance, green finance, and inclusive finance [6] Company Strategy - The company has positioned financial technology at the core of its development strategy since 2017, focusing on technology-driven competitive differentiation [7] - A comprehensive service ecosystem is being built, covering product design, strategy incubation, trading execution, risk control, and custody services [7] Future Outlook - The company aims to leverage this event to reinforce its innovation-driven path and fulfill its industry mission, contributing to the high-quality development of the capital market and the transformation of the real economy [8]

Group 1 - The conference themed "Innovation Driven, Responsibility Undertaken" focused on the high-quality development of the quantitative industry and the application of financial technology and AI in the securities sector [1][4] - The quantitative investment sector is experiencing a golden development period, driven by advancements in AI, big data, and high-performance computing, which are reshaping the financial ecosystem [2][3] - The importance of integrating innovation and responsibility into the industry was emphasized, with a call for the sector to leverage its strengths in technology and finance to support the real economy and enhance capital market quality [2][3] Group 2 - Companies are focusing on improving investment efficiency in secondary markets by enhancing quantitative investment infrastructure, emphasizing speed, capacity, and latency [2] - AI is transforming the foundational logic of financial research and investment, moving the industry from human-driven processes to intelligent empowerment [2][3] - The need for a deep integration of technical capabilities and investment expertise was highlighted as essential for building competitive advantages in the digital era [3] Group 3 - The conference served as an effective dialogue platform for the quantitative industry, providing guidance on innovative development paths and forming consensus on key issues such as AI governance and compliance risk control [4]

Group 1 - The article lists various quantitative investment institutions recognized for their performance in different strategies, including index enhancement, macro quantitative, fundamental quantitative, and long-short hedging strategies [1][2] - Notable institutions include Ningbo Huansquare Quantitative Investment Management, Shanghai Yipai Investment Management, and Beijing Xinhong Tianhe Asset Management, which have been awarded for their excellence in specific quantitative strategies [1][2] - The recognition is categorized into annual and three-year awards, highlighting the sustained performance of these institutions over time [1][2] Group 2 - The article identifies key individuals recognized as industry experts in quantitative technology, such as Xu Zhongxiang from Shanghai Ruilian Jingchun Investment Management and Zhang Xiaoqian from Shenzhen Qianhai Chaoliangzi Fund Management [2] - It also mentions emerging institutions in the technology innovation sector, including Shenzhen Qianhai Chaoliangzi Fund Management and Beijing Weiguan Boyi Private Fund Management [2] - The focus on technology-driven investment strategies indicates a trend towards innovation within the quantitative investment industry [2]

Core Viewpoint - The role of traditional quantitative fund managers is expected to be replaced by artificial intelligence (AI) in the near future, as AI is seen as a powerful modeling tool that can enhance investment strategies [1][2]. Group 1: AI's Impact on Fund Management - AI is predicted to lead to a structural transformation in quantitative investment, with firms that do not adopt AI technology potentially facing obsolescence within 3 to 5 years [1]. - The introduction of AI in quantitative investment is likened to the impact of personal computers on Wall Street, suggesting a significant shift in investment methodologies [1]. - AI's ability to explore a wider range of possibilities in investment strategies is compared to the advancements seen in the game of Go with the introduction of AlphaGo [1]. Group 2: New Talent Requirements - The future of fund management will require hybrid talents who understand both investment research and AI technology, shifting focus from traditional research tasks to maintaining and developing advanced AI systems [2]. - The demand for personnel may decrease, but the required understanding of AI technology will be significantly higher [2]. Group 3: AI-Driven Quantitative Approach - The company adopts a unique approach by treating the traditional components of quantitative research—factors, signals, models, and strategies—as a unified process centered around machine learning [2]. - The firm does not employ individuals with financial backgrounds, instead opting for a team composed primarily of engineers and computer scientists [2]. Group 4: Competitive Advantages - The company claims competitive advantages in three areas: high talent density in AI, superior computational power compared to domestic universities, and a proprietary AI experimental platform designed for real-time modeling and trading tasks [3]. - The vision is to evolve from a traditional quantitative private equity firm to an AI-native "computational company" [3]. Group 5: Long-term Goals - The mid-term goal is to become a global quantitative manager, while the long-term aspiration is to establish itself as a significant computational company [3]. - The company envisions that Chinese fund managers will be able to compete on a global scale within the next decade, leveraging AI and new computational methods [3].

Core Viewpoint - The development of quantitative investment is at a new historical starting point, emphasizing the integration of innovation and responsibility for sustainable growth [1] Industry Development - Quantitative investment has evolved over more than half a century globally, impacting the capital market ecosystem [1] - In China, despite a later start, quantitative investment is showing robust growth driven by a large market capacity, advancing financial technology, and an improving regulatory environment [1] - The current phase of quantitative investment is characterized by innovation-driven quality improvement and responsibility-based foundations [1] Technological Innovation - Quantitative investment is a core application of financial technology, integrating big data, artificial intelligence, and cloud computing to shift investment management from experience-driven to data-driven and intelligent [2] - It enhances investment decision-making through rational investment principles, scientific model iteration, and systematic strategy optimization, reducing irrational trading impacts [2] Market Efficiency - Quantitative investment acts as an engine for market efficiency, innovating trading tools and optimizing pricing models to capture market pricing deviations and improve liquidity [2] Investor Protection - Financial institutions, including quantitative firms, must uphold social responsibility and protect investors' legal rights while innovating [3] Asset Management Responsibility - Quantitative institutions bear fiduciary responsibilities in asset management, providing professional investment channels for general investors and promoting an "institution-led" market transformation [3] Alignment with Regulatory Initiatives - The innovation in quantitative investment aligns with the regulatory focus on technology finance, green finance, inclusive finance, pension finance, and digital finance as outlined by the China Securities Regulatory Commission [3] Strategic Positioning - The company has positioned financial technology at the core of its development strategy since 2017, focusing on technology-driven differentiated competition [4] Comprehensive Service Ecosystem - The company aims to create a comprehensive, integrated professional service ecosystem, offering solutions from product design to risk control [4] Risk Management Framework - The company is enhancing its three-tier risk management system to ensure strategies are interpretable, behaviors are traceable, and risks are manageable [4] Future Outlook - The company is committed to driving the standardization and innovation of quantitative investment, contributing to the high-quality development of the capital market and the transformation of the real economy [5]