Core Viewpoint - The article discusses the upcoming Guosen Securities 2026 Investment Strategy Conference, highlighting the focus on financial engineering and risk management strategies in the context of new economic cycles and paradigms [1][2]. Group 1: Conference Details - The conference will take place from November 20 to November 21, 2025, at the Shangri-La Hotel in Futian, Shenzhen, China [1]. - The event will feature various sessions, including discussions on multi-strategy enhanced portfolios and comprehensive risk models [2]. Group 2: Key Presentations - Zhang Yu will present on "Multi-strategy Enhanced Portfolios from an Enlightenment Perspective" [2]. - Zhang Xinwei will discuss "Comprehensive Risk Model Strategies" [2]. - Hu Zhichao will introduce a unified improvement framework for selection gene factors from a latent risk perspective [2]. Group 3: Panel Discussion - A roundtable forum titled "Seeking Insights for 2026" will be held, featuring prominent figures from various fund management companies [3]. - Participants include executives from Huaxia Fund, Haitong Fund, and Southern Fund, among others, discussing the role and opportunities of ETFs in asset allocation [3][4]. Group 4: Expert Profiles - Xu Wen, Deputy General Manager of Huatai-PB Fund, has over 24 years of experience in securities and fund management, with significant expertise in ETF management [4]. - Liu Bin, Chief Investment Officer at Harvest Fund, has 19 years of experience in fund management, focusing on quantitative investment strategies [7]. - Yang Chao from Tianhong Fund specializes in quantitative investment, managing over 7 billion in index-enhanced products [9].

Core Viewpoint - The report explores whether the advantages of quantitative investment strategies can be sustained in the A-share market environment of 2026, highlighting the cyclical switching between "consensus" and "divergence" market conditions as a key determinant of strategy effectiveness [2][3][5]. Market Environment and Strategy Effectiveness - The A-share market is expected to enter a "central uplift platform period" after returning from historical lows, driven by the long-term trend of market institutionalization and the recovery of incremental funds, particularly from ETFs [3][38]. - The report identifies "institutional holding concentration" as a core indicator linking macro market patterns with micro Alpha sources, suggesting that increased concentration indicates a shift to "consensus" markets, while decreased concentration favors "divergence" markets [2][26][30]. Market Outlook for 2026 - The overall market environment for 2026 is assessed as optimistic, with a focus on structural opportunities due to attractive risk premiums and the absence of extreme overheating [4][44]. - The report anticipates a shift in investment strategies from capturing short-term opportunities in "divergence" markets to identifying core trends in "consensus" markets, particularly with the emergence of AI as a new investment theme [11][41]. Alpha Sources and Market Modes - The evolution of Alpha sources is linked to market modes, with "trading Alpha" being more effective in "divergence" markets and "cognitive Alpha" in "consensus" markets [17][25]. - "Trading Alpha" focuses on capturing short-term pricing inefficiencies, while "cognitive Alpha" emphasizes accurate predictions of future fundamentals [18][19]. Market Concentration Dynamics - High market concentration reflects a consensus-driven environment that rewards depth in research, while low concentration indicates a divergence-driven environment that favors breadth in strategy [27][28]. - The report constructs a market concentration index based on the top holdings of public funds, indicating stronger consensus when the index is high and greater divergence when it is low [30][31]. Investment Strategy Recommendations - In the anticipated "central uplift platform period," strategies that effectively combine depth (through alternative data and machine learning) with breadth (systematic capture of rotation opportunities) are expected to perform better [42][41]. - The report suggests that quantitative strategies may continue to outperform average active equity funds due to their ability to adapt to complex market conditions [42][43].

Core Insights - The article highlights the career journey of Shi Jing, who has successfully navigated multiple cycles in China's asset management industry, showcasing her expertise in quantitative strategies and risk management [1][2][3] Group 1: Career Development - Shi Jing began her career in 2007 during a bull market, working in product development at a joint venture fund company, where she learned to identify effective strategies for excess returns using quantitative thinking [7][9] - Transitioning to a leading insurance asset management firm, she experienced the evolution of the fund industry from a "star" model to a team-based approach, witnessing significant market events and adapting her strategies accordingly [2][11] - Her role as the Director of Multi-Asset Research at China Universal Asset Management involves using hundreds of factor indicators to assess market funds and construct diversified FOF products [2][19] Group 2: Investment Philosophy - Shi Jing emphasizes the importance of building a systematic approach to investment, drawing from her early experiences with overseas institutions, which shaped her understanding of product design and risk control [10][12] - She believes that the key to successful investment lies in understanding the unique styles of fund managers and adapting to market conditions, rather than relying solely on star managers [13][14] - The investment landscape has shifted towards a focus on risk management and the ability to navigate high volatility, particularly highlighted by the market fluctuations in 2015 [15][17] Group 3: FOF Product Development - Shi Jing's involvement in the establishment of FOF products reflects a strategic focus on stability and risk management, prioritizing diversified and balanced investment approaches [19][20] - The FOF team at China Universal Asset Management utilizes advanced quantitative tools for comprehensive market tracking and risk assessment, enhancing their investment decision-making capabilities [22][24] - The team is expanding its research capabilities and product offerings, including a new FOF product aimed at conservative investors, which incorporates a broader range of asset classes [26][27]

Group 1 - UBS's report predicts that the S&P 500 could reach 7500 points driven by AI breakthroughs, corporate earnings growth, and expectations of Federal Reserve rate cuts [1] - There is a notable divergence between the bullish sentiment in the market and the actual flow of institutional funds, with hedge funds showing a record low in long-short positions despite rising stock prices [1][4] - The distinction between "allocation funds" and "trading funds" is becoming blurred, with public funds trading more frequently than speculative funds [4] Group 2 - The current market dynamics suggest that ordinary investors may misinterpret their participation in value investing, potentially getting caught in high-frequency trading instead [4] - Recent data indicates that while AI stocks are experiencing a surge, institutional inventory for some leading stocks is quietly declining, signaling a potential shift in market sentiment [11] - The "China+1" strategy reflects a structural change in international capital flows, indicating a shift along the supply chain rather than a simple withdrawal from China [11] Group 3 - The low valuation of A-shares is widely recognized, but foreign investors are more focused on the arbitrage opportunities presented by historically low implied volatility [13] - The unique appeal of China's policy toolbox is highlighted, especially as the Federal Reserve's rate cut expectations reach their limits, leaving the Chinese central bank with more policy space [13] - The restructuring of the supply chain may benefit high-end manufacturing companies in China as Southeast Asia rises [13] Group 4 - Investors should abandon the fixation on specific index levels like 7500 or 8000 points and instead focus on sectors that can consistently attract institutional inventory [13] - Modern institutions employ a multi-dimensional strategy that includes hedging and cross-market arbitrage rather than solely taking long positions [13] - Embracing quantitative thinking is essential as fundamental analysis becomes less reliable, with data providing a more truthful representation of market conditions [13]

Core Insights - The conference highlighted the long-term confidence in the A-share market and the recognition of China's economic fundamentals, capital market reforms, and policy support as the underlying logic for the quantitative investment industry [3][4]. Group 1: Market Performance and Quantitative Strategies - From Q4 2021 to Q4 2024, the market has undergone a three-year adjustment cycle, indicating a long-term demand for market growth from a mean reversion perspective [4]. - Since September 24 of the previous year, both market indices and quantitative strategies have shown positive performance, aided by improved market sentiment and activity [4]. - The average return of quantitative index-enhanced products in the current year exceeds 40%, while market-neutral products generally yield over 10%, marking a favorable operational environment for the quantitative industry [4]. Group 2: Regulatory Impact on Quantitative Trading - The scale of quantitative and algorithmic trading has reached approximately 1.5 trillion yuan, necessitating regulatory policies to ensure long-term healthy development [6]. - The core of the new regulatory guidelines is to standardize the development of the quantitative industry without stifling its vitality, focusing on curbing potentially unfair market practices [6][7]. - The introduction of regulations is expected to shift the focus of quantitative strategies from speed to quality, thereby improving market liquidity and creating a fair trading environment [7]. Group 3: Future Outlook and Strategy Development - In 2026, the quantitative industry needs to enhance both trading and cognitive capabilities to adapt to different market phases and improve the ability to generate excess returns [8]. - The effectiveness of Alpha strategies varies with market conditions, where trading-type Alpha performs better during periods of market divergence, while cognitive-type Alpha is more valuable during consensus phases [8]. Group 4: Company Growth and Achievements - Square and Investment successfully entered the 10 billion yuan club in 2025, attributed to market recovery, enhanced research capabilities, and increased brand influence [5].

Core Viewpoint - The A-share market in October experienced high-level fluctuations, with the Shanghai Composite Index showing relative strength, while the Shenzhen Component Index and the ChiNext Index faced pressure. The performance of large-scale private equity funds, particularly those with over 10 billion yuan in assets, stood out in this environment, demonstrating strong research and risk control capabilities [2][3]. Market Performance - In October, the Shanghai Composite Index rose by 1.85%, while the Shenzhen Component Index and ChiNext Index fell by 1.10% and 1.56%, respectively [2]. - The average return of 5,189 private equity products with performance data was 29.04% from January to October, with a mere 0.03% return in October. In contrast, the 662 products under large private equity funds achieved an average return of 1.10% in October and 30.38% year-to-date [2][3]. Private Equity Fund Performance - The performance of private equity funds categorized by size showed that funds with over 10 billion yuan had the highest returns, with an average of 30.38% from January to October [3]. - The average returns for different fund sizes in October were as follows: - 0-5 billion yuan: -0.11% - 5-10 billion yuan: -0.22% - 10-20 billion yuan: -0.12% - 20-50 billion yuan: 0.04% - 50-100 billion yuan: -0.32% - 100 billion yuan and above: 1.10% [3]. Strategy Performance - Among the strategies, stock strategies and multi-asset strategies performed best, with average returns of 33.65% and 23.17%, respectively, from January to October. The quantitative long strategy had the highest average return at 44.65% [3][4]. - The average returns for various strategies in October were: - Multi-asset strategies: 1.67% - Stock strategies: 1.12% - Quantitative long strategies: 1.10% [4][10]. Top Performing Products - The top-performing products in the stock strategy category achieved an average return of 33.65% year-to-date, with the top three products managed by Yuanxin Investment, Jiuku Investment, and Yinye Investment [5]. - In the quantitative long strategy, the top three products were from Longqi Technology, Evolutionary Theory Asset, and Stable Investment, with an average return of 44.65% year-to-date [10][12]. Notable Fund Managers - Wang Aoye from Yuanxin Investment, with a strong background in media and technology, managed a product that achieved significant returns despite market challenges [8]. - Zhu Xiaokang from Longqi Technology, with extensive experience in quantitative strategies, led a product that ranked first in excess returns [13].

Group 1: A-Share Market Overview - The A-share market is currently in a phase of reduced trading volume and volatility due to macroeconomic uncertainties, with market sentiment indicators returning to neutral levels [1] - Despite the market adjustments, there remains a willingness among investors to "buy the dip," suggesting limited downside in investor sentiment [1] - The main sectors for investment include technology, defensive dividend sectors, and selective consumer sectors, with specific focus on low-priced stocks in the technology space [1] Group 2: Coal Sector Insights - The coal sector has confirmed a cyclical bottom expected in Q2 2025, with a reversal in supply-demand dynamics and significant downward risks already priced in [3] - As of last week, coal prices have exceeded 770 RMB/ton, showing an unexpected upward trend driven by multiple favorable factors [3] - Short-term coal prices may see slight declines entering winter, but overall downward space is limited, with long-term upward trends expected due to fundamental changes in the coal supply-demand landscape [3] Group 3: Lithium Industry Outlook - The demand for energy storage and power batteries is anticipated to exceed expectations due to policy support and increased battery capacity [5] - The lithium industry is expected to experience a supply surplus from 2025 to 2028, with projected surplus amounts of 10.1, 7.8, 2.9, and 1.1 thousand tons respectively [5] - Lithium prices are expected to stabilize with a projected range of 80,000 to 100,000 RMB/ton by 2026, with a focus on low-cost and high-quality mining assets [5] Group 4: PCB Sector Analysis - The PCB sector has seen a recent pullback due to market sentiment and concerns over short-term performance of leading companies [5] - Despite these concerns, the underlying growth logic of the AI PCB industry remains intact, with potential catalysts expected in the near future [5] - Leading companies in the PCB sector are still expected to meet performance forecasts, indicating potential for further valuation increases [5] Group 5: Market Trends and Predictions - The overall market trend is expected to remain strong, with the Shanghai Composite Index likely to reach new highs, influenced by positive movements in foreign markets [10] - The entrepreneurial board index is following the main board but is expected to show weaker performance in November due to institutional fund reallocations [10] - Analysis of market capitalization versus earnings changes in various sectors indicates discrepancies, particularly in sectors like computing and pharmaceuticals, where market cap has increased despite negative earnings changes [10]

作为国内首批投入AI新浪潮的基金公司之一，中银基金早在2009年中银基金就已组建了量化投研团 队。 以量化研究员为例，当前AI 的价值首先体现在把非结构化、多源、海量的"边缘数据"低成本地纳入因 子框架。 早期研究员采用BERT等轻量级神经网络对上市公司公告进行情感分析，开创了文本数据量化分析的先 河。随着随着大语言模型成为新的技术基座，数据处理的广度和深度都得到了质的飞跃，把数据量更大 的券商研报、论坛评论等纳入语义分析，并对公司公告中的隐语进行识别。这些实践证实，AI 技术可 以在传统因子体系之外提供信息增量。 《推动公募基金高质量发展行动方案》明确提出，促进行业高质量发展，加快建设一流投资机构，鼓励 基金公司加大对人工智能、大数据等新兴技术的研究与应用。 当 DeepSeek 等国产开源大模型 渗透证券业务的各个脉络，公募基金行业正站在技术驱动的历史拐点。 AI正日益成为基金行业转型升级的核心引擎。中银基金已自主完成从数据库到投资策略模型的构建。 同时逐步形成了自己的特色，自主构建因子库，阿尔法模型、风险模型、优化器模型、归因模型等，严 格把控策略构建的各个环节。 探索投研系统AI应用 尽管AI技术展现 ...

Core Insights - The enhanced index ETFs (指增ETF) have shown remarkable performance in 2023, with an average net value growth rate of 30.21% as of November 10, 2023, and all 51 ETFs achieving positive returns [1][2] - The core logic of enhanced index ETFs is based on "passive tracking + active enhancement," utilizing quantitative methods such as multi-factor models and AI stock selection to capture market opportunities while closely tracking the underlying index [1][3] Performance Characteristics - The strong performance of enhanced index ETFs is characterized by a focus on small and mid-cap indices, with notable products tracking indices like 中证1000, 中证500, and 创业板指, among others [1][2] - The leading product, 广发中证科创创业50增强策略ETF, achieved a net value growth rate of 64.79%, benefiting from the underlying 科创创业50 index's increase of 60.74% [1] Market Environment and Future Outlook - The success of enhanced index ETFs is attributed to the alignment of market conditions and product characteristics, allowing them to capture beta returns while also seeking excess returns through quantitative models [3] - Industry experts believe there is significant growth potential for enhanced index ETFs, as investors increasingly seek to obtain beta returns while controlling tracking errors, which aligns well with the design logic of these products [3]

Group 1: Report Summary - The report focuses on the latest developments in US ETFs and public mutual funds, including new product launches, capital flows, and performance [2] Group 2: New US ETF Products - Last week, 19 new products were launched in the US, with more than half being single - stock products. These included 2x leveraged products, leveraged + option strategy products, and other types [5] - Stoneport Advisors issued a commodity long - short strategy product, which uses a quantitative method to construct a long - short strategy for US - listed commodity futures [6] - First Trust launched a "critical metals" ETF, investing in 50 stocks related to new - energy and technology metals [6] - iShares issued a large - cap core index enhancement product and a European corporate bond product [7] - KraneShares launched an options strategy product using a Delta - neutral spread strategy [7] Group 3: US ETF Dynamics 3.1 US ETF Capital Flows - In the past week, US ETF inflows exceeded $30 billion, with significant inflows into stock products and outflows from Bitcoin ETFs [8] - BlackRock's S&P 500 ETF ranked first in inflows, short - term bond ETFs had obvious inflows, while technology - related products and Bitcoin ETFs had outflows [11] 3.2 US ETF Performance - Korean - related products led the gains among US - listed stock ETFs this year. Two passive products had gains of over 80%, and a 3x leveraged product had a gain of over 300%. However, except for the largest product with a scale close to $7 billion, the other products had small scales [14] Group 4: Recent Capital Flows of US Public Mutual Funds - In September 2025, the total amount of non - money public mutual funds in the US was $23.47 trillion, an increase of $0.49 trillion from August 2025. The S&P 500 rose 3.53% in September, and the scale of US domestic equity products increased by 2.13%, but the redemption pressure increased [15] - Last week, the outflows of US domestic equity funds expanded to $37 billion, and bond products also had small outflows [16]