- The report discusses the **ETF Risk Appetite Index**, which has been declining since September 19, indicating a contraction in market risk appetite. This is evidenced by the outperformance of low-valuation stocks over high-valuation stocks and a gradual decline in trading volume. However, the **Active Capital Indicator** shows that speculative funds remain active, particularly in technology-related ETFs like cloud computing, military, and science innovation, while defensive ETFs like dividend and consumption are underperforming. This suggests a fragile market balance where risk appetite is declining, but active funds are narrowing their focus within the technology sector[1][11] - The report highlights the **High-Frequency Trading Regulation Impact**, which aims to level the playing field by increasing transaction delays and removing exclusive equipment. The regulation primarily targets microsecond-level ultra-high-frequency trading strategies, which are mostly proprietary or market-making strategies. These strategies have minimal impact on the overall market due to their small scale, typically under 100 million RMB per product. The report concludes that the regulation has limited influence on the profitability of quantitative strategies, as their excess returns are driven by asset pricing rather than trading speed. The report also notes that market volatility recovery could further enhance quantitative excess returns[2][12] - The report analyzes the **Micro-Cap Stock Trends**, noting that short-term fluctuations are influenced by hedging products, while medium-term trends are supported by incremental funds from quantitative products. Since December, the issuance of quantitative products has remained robust, though the proportion of "air index enhancement" (quantitative stock selection) has decreased by 12%, while "1000 index enhancement" and other index enhancements have increased. This shift has slightly reduced the allocation to micro-cap stocks. Additionally, as market risk appetite declines, funds are concentrating on high-growth sectors, strengthening mid-cap stocks like CSI 500 and CSI 1000. Despite short-term adjustments, the report remains optimistic about medium-term inflows into micro-cap stocks[3][13]

以下文章来源于领航配置 ，作者莱卡 领航配置 . 应对 > 预测，帮认可分散配置理念的私募投资者做好资产配置。 在上一篇 不靠运气，不赌方向，量化基金到底怎么赚的钱？ 我们介绍了量化股票策略到底是怎 么赚钱的，量化赚钱的方法和主观到底有什么本质区别，这一篇我们再来接着介绍一下如何区分 不同的量化基金、量化策略啥时候失灵、量化策略在组合中的作用。 不同量化 基金 之间的区别？ 知道了量化策略到底是怎么赚钱之后，我们就可以更好地从以下几个维度去拆解一只量化基金： 1）收益来源：赚Beta+Alpha，还是纯Alpha？ 最主流的指增策略，赚的就是Beta+Alpha的钱，基金经理会选定一个市场指数作为基准Beta， 模型会复制指数的大部分成分股进行跟踪，再留出一定的仓位用来增强。 既然有Beta+Alpha，那就会有人想要纯Alpha策略，也就是市场中性。它在指增策略的基础上， 会同时做空等值的股指期货，就像左手买入500指增，右手卖出500期货，把大盘的涨跌对冲 掉，只获得Beta之外的Alpha，这部分收益就不会跟随市场Beta的涨跌而上下起伏，成为一种绝 对收益产品。在这里我们先不对中性策略做过多展开，后面 ...

Core Insights - Despite recent fluctuations in the A-share market, many private equity funds have reported positive returns in November, significantly outperforming major indices year-to-date [1][2] - Quantitative private equity funds have shown particularly strong performance, with strategies focused on small and mid-cap stocks leading the way [1][4] Performance Overview - As of November 2025, 73 billion private equity funds reported an overall decline of 0.27%, with 42 funds achieving positive returns, representing 57.53% [2] - Year-to-date, billion private equity funds have achieved an overall return of 29.44%, with 71 funds (97.26%) reporting positive returns; 33 funds are in the 20% to 39.99% range, and 19 funds exceeded 40% [2] - Quantitative funds have an average return of 33.28% year-to-date, while subjective funds average 24.05% [2] Strategy Insights - The most successful strategies this year have been those focused on small and mid-cap indices, with 30 out of 57 products in the CSI 1000 index exceeding 50% returns, and 9 out of 11 products in the CSI 2000 index exceeding 60% [4] - Only 5 out of 45 billion quantitative private equity funds reported returns below 20%, while 14 funds exceeded 40% [4] Market Outlook - Several billion private equity firms maintain a positive long-term outlook for the A-share market, citing a confirmed profit bottom in Q3 and an end to three consecutive years of profit decline [6] - The appreciation of the RMB against the USD and improvements in the domestic real estate market are seen as factors that could enhance the valuation of Chinese assets [6] - The market is expected to transition from a single growth focus to a more balanced approach, with institutions concentrating on high-growth sectors for future momentum [6]

Core Viewpoint - The article emphasizes the performance and investment strategy of the Jianxin Flexible Allocation Mixed Fund, highlighting its ability to adapt to market changes and achieve significant returns compared to benchmarks [3][8]. Investment Strategy - Jianxin Flexible Allocation Mixed Fund employs an active quantitative strategy focused on index enhancement, utilizing a proprietary multi-factor model to identify risks, select quality stocks, and manage investment risks [3][4]. - The fund primarily invests in small-cap growth stocks across high-growth sectors such as pharmaceuticals, machinery, and computers, which have shown superior performance this year [6]. Performance Metrics - The fund's performance in the past year has been impressive, with returns of 64.47% and 32.97% over the last six months, significantly outperforming its benchmark by 26.01% and 12.24% respectively [8][12]. - The Jianxin Flexible Allocation Mixed Fund ranks in the top 10% of its peers over the past year, two years, and three years, indicating strong relative performance [12]. Market Context - The small-cap growth style has been favored this year, with the CSI 2000 Index and CSI 1000 Index rising by 33.78% and 25.66% respectively, supported by improved market sentiment and ongoing liquidity support from the central bank [6][7].

非常的简单，就是创业板、纳指、豆粕三个之间动量轮动，参数是 3：溢价率3％以上的不纳入（等溢价率回落了再纳入）， 结果令人惊喜，十多年下来30％以上的年化，但是总感觉哪里怪怪的，大佬们看看给拍个砖 | 10:29 2 @ @ | | | | | | | 2 N Q * 3 01 37 1, | | --- | --- | --- | --- | --- | --- | --- | --- | | 投资组合 | 总收益 ● | 年化收益 | | 夏普比率 ● 最大回撤到 收益波动率9 | | 信息比率 9 | Beta 0 | | 本策略 | 2900.29% | 30.15% | 1.00 | 36.39% | 26.05% | 1.00 | 0.50 | | 上证指数 | 69.59% | 4.18% | 0.01 | 52.30% | 19.85% | । | - | | 相对收益 | 1669.12% | 24.93% | 0.80 | 53.34% | 26.12% | 0.54 | -0.51 | | 收益曲线 | 周收益 | 收益分布 | | 最大回撤分布 | 换手率分布 | 仓位分布 | | | ...

FOF市场在经历三年蛰伏后，今年迎来关键转折，规模回升与市场关注度双双回暖。 在低利率与高波动交织的市场环境中，投资者对收益稳健、风险分散产品的需求日益迫切。FOF产品凭借资产配 置与风险控制能力，正成为连接投资者与优质资产的重要桥梁。 在这场资管机构竞相布局的赛道上，作为FOF模式市场先行者，第一创业证券基金投资管理部负责人景殿英近期 接受专访，分享公司九年积累的实战经验，阐述券商系FOF的差异化优势与发展路径。 10 P # # 2 eddy (日) A 200 FOF回暖券商亮剑 在经历连续三年规模缩水后，FOF市场正迎来久违的"小阳春"。四季度以来，FOF的发行规模已超过今年前三个季 度的单季水平。与此同时，FOF市场存量规模也在本季度重新站上2000亿元关口。 谈及FOF今年以来受追捧的原因，第一创业基金投资管理部负责人景殿英表示，当前资产收益率整体下行，投资 者希望参与潜在收益率更高的资产的投资，然而这类资产通常具有更高波动的属性，而FOF产品可以通过构建分 散化的投资策略降低波动，并通过专业化的资产配置获取收益，较好满足投资者需求。 他解释，投资研究是业务发展的基础，核心课题是在市场收益率普遍下 ...

消息面，险资投资股市迎来重磅利好。12月5日，国家金融监管总局发布《关于调整保险公司相关 业务风险因子的通知》，其中保险公司持仓时间超过三年的沪深300指数成分股、中证红利低波动100指 数成分股的风险因子从0.3下调至0.27。该持仓时间根据过去六年加权平均持仓时间确定。 【免责声明】本文仅代表作者本人观点，与和讯网无关。和讯网站对文中陈述、观点判断保持中立，不对所包含内容 的准确性、可靠性或完整性提供任何明示或暗示的保证。请读者仅作参考，并请自行承担全部责任。邮箱： news_center@staff.hexun.com 注：数据来源基金2025年三季报，如提及个股仅供参考，不代表投资建议。指数/基金短期涨跌幅 及历史表现仅供分析参考，不预示未来表现。市场观点随市场环境变化而变动，不构成任何投资建议或 承诺。文中提及指数仅供参考，不构成任何投资建议，也不构成对基金业绩的预测和保证。如需购买相 关基金产品，请选择与风险等级相匹配的产品。基金有风险，投资需谨慎。 每日经济新闻 （责任编辑：张晓波 ） 兴业证券表示，本次调降旨在引导保险资金发挥长期资金优势，加大对特定权益资产（如大盘蓝 筹、红利低波、科创板块） ...

金工策略周报 东证衍生品研究院金工首席分析师：李晓辉（CTA） 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 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 股指期货量化策略跟踪周报主要内容 ★股指期货行情简评： 市场上周显著反弹。分行业看，有色贡献了上证50、沪深300主要的涨幅；机械、有色贡献了中证500和中证1000主要的涨幅。 IF、IC、IM成交环比下行，IH成交环比上行，各品种基差走弱。(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： 各品种基差走弱，IH升水，IF维持浅贴水、IC、IM维持深贴水。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 ...

Group 1 - The report suggests a cautious investment strategy in the convertible bond market due to reduced liquidity and market volatility, recommending a defensive approach with a focus on large-cap, debt-oriented products and value styles [2][50]. - The recommended allocation includes 70% in defensive sectors such as infrastructure, military, refining, and banking, while 30% is allocated to high-elasticity sectors like consumption and technology, which may benefit from potential policy support [2][50]. - The report highlights a recommended convertible bond portfolio for December, including specific bonds such as Shanlu Convertible Bond and Shenghong Convertible Bond, among others [2][50]. Group 2 - The report reviews the convertible bond market in November, noting a 2.2% decline in the stock market and a 0.7% decline in convertible bonds, with a shift towards defensive sectors [4][6]. - It indicates that the convertible bond market is expected to maintain high volatility, with a focus on the continuation of style shifts and policy impacts from upcoming central meetings [35][46]. - The report emphasizes the performance of various sectors, with steel bonds leading gains at 11.8%, while non-bank financials and telecommunications experienced declines [19][22]. Group 3 - The report discusses the performance of quantitative strategies, noting that low-volatility strategies outperformed high-volatility strategies in the recent period, with year-to-date returns of 16.55% for low-volatility strategies [52][53]. - It highlights the importance of low-price factors in convertible bond selection, which have historically provided a safety margin while allowing for upside potential [53][55]. - The report provides insights into the market structure, indicating a significant reduction in the overall market size of convertible bonds, which has implications for future valuations and investment strategies [35][39].

12月2日，由东吴证券与财视中国联合主办的"中国私募基金高峰论坛"在苏州隆重举行。本次论坛邀请了超过200位来自主观多头私募基金、量化私募基 金、FOF、信托、家族办公室、券商自营、银行、投资机构等领域的行业领袖，围绕私募行业的策略演进及生态共建展开深度交流。东吴证券党委副书 记、总裁薛臻，东吴证券公司执委、总裁助理丁文韬，东吴证券研究所所长郭晶晶，以及财视中国创始人兼首席执行官朱浩等嘉宾莅临现场。 论坛在东吴证券总裁薛臻的开幕致辞中正式拉开帷幕。薛臻在致辞中指出，"924"行情以来，资本市场发展超预期，中国正构建长期慢牛格局，为证券私 募基金带来重大发展机遇。量化策略表现尤为突出，受到投资者与渠道的广泛认可，这也对传统多头策略的收益稳定性提出了更高要求。 薛臻介绍，论坛主办方东吴证券坚持服务机构客户，推动业务差异化发展，在投行、研究与自营投资等领域形成特色优势。投行业务方面，东吴证券北交 所IPO数量位列行业前三，债券发行数量位居行业第六，江苏市场占有率达20%，且连续十多年实现领跑。研究业务方面，东吴证券深耕卖方服务，"十五 五"目标冲击行业前三。自营投资方面，东吴证券则精准把握权益和债券市场机遇，获业内 ...