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 ...

Group 1 - The core viewpoint is that 2026, as the starting year of China's "14th Five-Year Plan," will see positive policy orientation, with expected fiscal spending expansion and infrastructure projects driving investment growth, particularly in infrastructure [1] - The industry focus includes cyclical recovery, capacity clearing, technological innovation, and domestic demand expansion, with particular attention on non-ferrous metals, basic chemicals, food and beverage, and electrical equipment sectors [1] - Cyclical sectors are expected to see a rebound in revenue and net profit growth, with profit margins recovering from the bottom, and capital expenditure growth nearing an inflection point, while ongoing projects decline to historical lows, aligning with past cyclical trends [1] Group 2 - The domestic computing industry is positioned for historic opportunities driven by external blockades and domestic demand surges, with accelerated iterations in AI, servers, and data centers [1] - The consumer services sector is anticipated to experience a recovery cycle with simultaneous increases in volume and price, supported by policy backing, economic recovery, and structural transformation, focusing on healthcare, elderly care, childcare, and cultural tourism [1] - The 300 Enhanced ETF (561300) aims to achieve excess returns on top of the CSI 300 index by incorporating quantitative strategies, having achieved a 10.92% excess return relative to the CSI 300 over the past three years as of the end of Q3 2025 [1]

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]

Group 1 - The overall public fund issuance data is positive, with 111 public funds currently in the issuance phase, indicating a concentrated issuance trend as the year-end approaches [1] - In November, a total of 191 new public funds were established, raising a total of 147.315 billion yuan, reflecting strong market activity [1] - Major fund companies are actively launching multiple products, with E Fund leading with 7 products, followed by Penghua Fund with 6 products, and others like Guotai Fund and China Merchants Fund also participating [1] Group 2 - Nearly 30% of the new products are passive index funds, covering hot market sectors such as the Sci-Tech Innovation Board and artificial intelligence, indicating a focus on trending investment themes [2] - There is a notable increase in enhanced index funds, showing continued institutional interest in quantitative strategies [2] - Over 40% of the funds are focused on low-volatility assets, reflecting a trend towards conservative investment strategies among institutions [2] Group 3 - There are currently 31 funds awaiting issuance, with a significant portion set to start fundraising in December 2025, indicating a forward-looking approach by fund companies [3] - Many companies are launching funds focused on the Hong Kong market and low-carbon economy themes, showcasing a strategic focus on emerging sectors [3] - The active year-end issuance reflects both the importance of year-end performance for fund companies and the strong demand from investors for quality fund products [3]

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]

Report Industry Investment Rating No relevant information provided. Core Viewpoints of the Report - The stock index futures market fluctuated last week, with different sectors contributing to the gains of various indices. The basis of each variety showed different trends, and it is recommended to pay attention to the trading opportunities of inter - period positive spreads. The performance of various quantitative strategies in stock index futures, treasury bonds, and commodity CTA factors was also analyzed, and the performance of tracking strategies was evaluated [3][4]. Summary by Relevant Catalogs Stock Index Futures Quantitative Strategy Market Review - The market fluctuated last week. Non - bank and pharmaceutical sectors contributed to the rise of the Shanghai 50 Index, communication and electronics sectors contributed to the rise of the CSI 300 Index, and the electronics sector contributed to the rise of the CSI 500 and CSI 1000 Indices. The trading volume of each variety increased month - on - month, the basis of IH and IF weakened, and the basis of IC and IM strengthened [3][4]. Basis Strategy Recommendation - The basis of each variety fluctuated. IH turned to a discount, IF maintained a shallow discount, and IC and IM maintained a deep discount. It is expected that the deep discount pattern of IC and IM will continue, and it is recommended to pay attention to the trading opportunities of inter - period positive spreads. The roll - over strategy recommends going long on the near - term contract and short on the far - term contract [4]. Arbitrage Strategy Tracking - In the inter - period arbitrage strategy, the net value of each strategy fluctuated last week. The annualized basis rate factor lost 0.4%, the positive spread factor gained 0.1%, and the momentum factor gained 0.0% (6 - times leverage). The annualized basis rate factor mainly issued positive spread signals. The net value of the cross - variety arbitrage time - series synthetic strategy remained flat last week, and the latest cross - variety signal recommends a 50% position to go long on IC and short on IM, and keep IF/IC positions empty [5][6]. Timing Strategy Tracking - The timing strategy retracted last week. The daily timing strategy for the Shanghai 50 Index made a profit, while the other indices suffered losses. The Shanghai 50, CSI 300, CSI 500, and CSI 1000 Indices had a profit of 0.5%, a loss of 0.2%, a loss of 0.3%, and a loss of 1.3% respectively last week. The latest timing signal is bearish on the Shanghai 50 and CSI 300 Indices and bullish on the CSI 1000 Index [7]. Treasury Bond Futures Quantitative Strategy Market Review - Last week, all four treasury bond futures varieties rose first and then fell. The 30 - year, 10 - year, 5 - year, and 2 - year main contracts were reported at 112.47 yuan, 107.985 yuan, 105.82 yuan, and 102.464 yuan respectively. In terms of the basis of treasury bond futures, the basis declined this week, the IRR continued to rise, and the inter - period spread fluctuated strongly [42]. Timing Strategy - For the 10 - year treasury bond, in terms of this year's performance, ranked by the Sharpe ratio, the basis factor, risk assets, and member positions had Sharpe ratios of 1.68, 1.93, and 0.59 respectively in 2025. For the 5 - year treasury bond, the high - frequency capital flow, intraday volume - price, risk assets, member positions, and basis factor had Sharpe ratios of 2.51, 2.27, 1.71, 1.33, and 0.78 respectively in 2025. For the 2 - year treasury bond, the high - frequency capital flow, basis factor, intraday volume - price, and member positions had Sharpe ratios of 2.45, 1.82, 1.59, and 0.82 respectively in 2025 [42]. Commodity CTA Factor and Tracking Strategy Performance Factor Performance - Last week, the domestic commodity market was generally weak. Only a few varieties rose, including precious metals, lithium carbonate, polysilicon, and copper. Silver rose by more than 10% last week, while most other industrial products fell, with coking coal falling by more than 10%. For commodity factors, most commodity factors rose last week. The value - based and volume - price trend - based factors rose by nearly 2%, and the term structure - based factors rose by more than 1%. Among the basis - based factors, the basis momentum performed well, while the warehouse receipt - based factors had no returns. In general, it is believed that the recent market volatility may continue, but short - term fluctuations do not change the long - term performance ability of factors. There may be a risk of factor return retraction in the near term, but the overall performance of commodity factors is still optimistic in the medium and long term [59]. Tracking Strategy Performance - The CW FT strategy had an annualized return of 9.5%, a Sharpe ratio of 1.64, a Calmar ratio of 1.08, a maximum drawdown of - 8.81%, a return of 1.05% last week, and a return of 5.64% this year. The C_frontnext & Short Trend strategy had an annualized return of 11.7%, a Sharpe ratio of 1.78, a Calmar ratio of 1.74, a maximum drawdown of - 6.72%, a return of 0.55% last week, and a return of 5.34% this year. The Long CW FT & Short CW FT strategy had an annualized return of 12.2%, a Sharpe ratio of 1.37, a Calmar ratio of 0.93, a maximum drawdown of - 13.07%, a return of - 0.07% last week, and a return of 0.68% this year. The CS XGBoost strategy had an annualized return of 6.1%, a Sharpe ratio of 1.01, a Calmar ratio of 0.36, a maximum drawdown of - 16.70%, a return of - 0.94% last week, and a return of - 9.15% this year. The RuleBased TS Sharp - combine strategy had an annualized return of 12.2%, a Sharpe ratio of 1.59, a Calmar ratio of 1.47, a maximum drawdown of - 8.26%, a return of 1.36% last week, and a return of 11.42% this year. The RuleBased TS XGB - combine strategy had an annualized return of 12.2%, a Sharpe ratio of 2.12, a Calmar ratio of 2.71, a maximum drawdown of - 4.49%, a return of 0.82% last week, and a return of 9.33% this year. The CS strategies, EW combine strategy had an annualized return of 12.8%, a Sharpe ratio of 1.81, a Calmar ratio of 1.73, a maximum drawdown of - 7.38%, a return of 0.06% last week, and a return of - 1.64% this year [60].

- 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]

Core Viewpoint - The article discusses the differentiation of quantitative funds and strategies, their performance in various market conditions, and the importance of understanding their underlying logic for effective asset allocation [3][27]. Group 1: Differentiation of Quantitative Funds - Quantitative funds can be categorized based on their sources of returns: those that earn both Beta and Alpha, and those that focus solely on Alpha through market-neutral strategies [6][8]. - A specific strategy called quantitative timing adjusts positions based on model calculations to capture timing Alpha, often combined with stock index CTA for a composite approach [8]. - The choice of benchmark is crucial for index-enhanced strategies, with common benchmarks including CSI 300, CSI 500, and others, each having distinct characteristics [9][10]. Group 2: Performance Analysis - Over the past five years, small and micro-cap indices have generally outperformed larger indices, attributed to their higher turnover and the presence of mispricing opportunities [12]. - Quantitative index-enhanced strategies have shown significant excess returns, especially when the underlying Beta is smaller, leading to better performance in volatile markets [13][14]. - The annualized volatility and maximum drawdown for quantitative strategies are generally lower compared to traditional indices, providing a more favorable investment experience [14][15]. Group 3: Effectiveness and Limitations of Quantitative Strategies - Quantitative strategies thrive in high-volatility environments where numerous trading opportunities exist, allowing for the capture of mispricing [18]. - Conversely, these strategies may fail in low-volatility markets where crowded trades lead to diminished excess returns and increased risk of significant drawdowns [19][21]. - The evolution of quantitative strategies is essential as market conditions change, requiring continuous adaptation to maintain effectiveness [23]. Group 4: Role of Quantitative Strategies in Asset Allocation - Quantitative strategies provide a distinct source of return and risk, complementing subjective strategies in a diversified portfolio [27]. - In aggressive portfolios, quantitative strategies can serve as more traceable and explainable positions, while in balanced allocations, they can enhance overall sharpness [28][29]. - The value of a multi-strategy approach lies in its ability to perform optimally across different market conditions, mitigating the risks associated with relying on a single strategy [31].

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]