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主动量化研究系列:2025H1:从市值到超额收益
ZHESHANG SECURITIES· 2025-07-18 10:56
金融工程专题 报告日期:2025 年 07 月 18 日 2025H1:从市值到超额收益 ——主动量化研究系列 证券研究报告 | 金融工程专题 核心观点 针对 2025H1 指增策略高超额表现,本报告讨论了三个问题:与市值相关性;是否非 市值不可;如何复现相关策略收益。核心结论是:超额收益中枢抬升与市值相关;极 致市值暴露非必要;可通过调整市值分布复制典型产品业绩。 ❑ 高超额收益是否与市值相关 是。风格维度,2025H1 市值分组效应最强,多头组超额最高,其次是中盘。行 业维度,域内小市值风格表现相对稳定,且收益更高。 ❑ 市值与中盘的逻辑关联 中盘,即非线性市值,以三次曲线刻画大小盘之外的市值分组。定量看,中证 1000 和中证 500 为中盘集中域。从分组重合度看(十分组),市值最小、次小 组,与中盘最小、次小组高度重合(中盘内唯二具有显著超额的分组)。 ❑ 为获取超额收益,极致市值偏离是否必须 否。与 2023 年和 2024H2 相比,2025H1:可提供正超额收益的市值分组更多, 组间分化更为平滑,收益更高,各组收益更为稳定。在相近市值偏离下,超额收 益更高;为获取更高超额,极致小盘非必须选择。 ...
上半年期市交投活跃 黄金期货仍是“最靓的仔”
Zheng Quan Shi Bao· 2025-07-06 18:25
Group 1: Market Overview - The national futures market in China has maintained a double-digit growth in trading volume and value in the first half of the year, with a total trading volume of 40.76 billion contracts and a total trading value of 339.73 trillion yuan, representing year-on-year increases of 17.82% and 20.68% respectively [3][4] - Gold futures continue to dominate the commodity futures market, with a trading value of 44.34 billion yuan in the first half of the year, surpassing last year's total trading value of 41.49 billion yuan, reflecting a year-on-year increase of 149% [4][5] Group 2: Gold Market Performance - The trading volume of gold options surged from 28.86 billion yuan in the first half of last year to 1017.87 billion yuan in the same period this year, marking a year-on-year increase of 252.64% [4][5] - The overall trading value of precious metals, including gold and silver, accounted for 17.61% of the national market [3][4] Group 3: Financial Futures - In the financial futures sector, the trading volume of the CSI 1000 index futures increased by 70.51% year-on-year, with a total trading value of 34.06 trillion yuan in the first half of the year [7][8] - The CSI 1000 index futures are seen as a representative of small-cap stocks, reflecting market preference for small-cap styles, as evidenced by the performance of the CSI 1000 index, which rose by 6.69% year-to-date [8]
量化市场追踪周报:主动权益基金仓位回落至年内低点-20250602
Xinda Securities· 2025-06-02 07:02
Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - As of May 30, 2025, the average position of active equity funds dropped to a low point this year [2]. - In the short - term, one should be cautious about the sustainability of the excess returns of micro - cap stocks and control the allocation risk of micro - cap style related assets [3]. - It is recommended to focus on high - quality targets with improved profitability and solid fundamentals [3]. - The service innovation of the public fund industry is expected to enhance its comprehensive competitiveness [3]. Summary According to Relevant Catalogs 1. Weekly Market Review - From May 26 to May 30, 2025, the overall trading in the A - share market became dull, with the average daily trading volume falling to a relatively low level near one trillion yuan, and risk appetite declined [3][11]. - The previous strong Beizheng 50 index continued to lead the gains, but one should be cautious about the sustainability of the excess returns of micro - cap stocks [3][11]. - The net outflows of domestic Hong Kong - related ETFs have occurred in recent weeks, and the net buying strength of southbound funds has also weakened [3]. - The public fund industry is accelerating the optimization of products and services, and many fund companies have opened the conversion business between different shares of the same fund [3][12]. - The performance of major broad - based indexes was differentiated. The Beizheng 50 performed relatively strongly, while the Shanghai Composite Index, Shenzhen Component Index, ChiNext Index, and CSI 300 all declined [12]. - The performance of primary industries was also differentiated. The automobile sector had the largest decline, while the top - performing industries included comprehensive finance, national defense and military industry, medicine, agriculture, forestry, animal husbandry, and fishery, and communication [15]. 2. Public Funds 2.1 Public Fund Position Calculation - As of May 30, 2025, the average position of active equity funds was about 85.98%. The average positions of common stock funds, partial - stock hybrid funds, and allocation funds decreased, and the average position of "fixed - income +" funds also decreased [2][20]. 2.2 Style Trends of Active Equity Products - As of May 30, 2025, the exposure of the mid - cap style of active partial - stock funds increased relatively. The positions of large - cap growth and small - cap value increased, while the positions of large - cap value, small - cap growth decreased [3][28]. 2.3 Industry Trends of Active Equity Products - From May 26 to May 30, 2025, the allocation ratios of active equity funds in industries such as food and beverage, machinery, and commercial retail increased, while the ratios in industries such as computer and electronics decreased [3][31]. 2.4 ETF Market Tracking - From May 26 to May 30, 2025, the funds of broad - based ETFs flowed back, exchange - traded credit bond ETFs continued to attract capital, and some medical theme ETFs had obvious profit - taking [33]. - The net inflow of broad - based ETFs was about 6.171 billion yuan, the net outflow of industry ETFs was about 121 million yuan, the net inflow of style and theme ETFs was 1.403 billion yuan, the net outflow of cross - border ETFs was about 2.049 billion yuan, the net inflow of bond ETFs was about 15.106 billion yuan, and the net outflow of commodity ETFs was 106 million yuan [33]. 2.5 Newly Established Funds - From May 26 to May 30, 2025, there were 30 newly established domestic funds, including 4 active equity funds. The total newly issued shares of active equity funds were about 1.735 billion shares, at the 78.4% quantile in the past year [38]. 3. Main/Active Fund Flows - From May 26 to May 30, 2025, the main and active funds had a net inflow into the banking sector and a net outflow from sectors such as electronics, computers, automobiles, and power equipment and new energy [5][51]. - In terms of individual stocks and industries, there were differences in the net inflow and outflow directions of main funds and active funds [5][51].