Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - In 2025, quantitative strategies are recommended over subjective ones in private securities investment institutions [1] - The private securities investment fund industry in China is characterized by increasing industry concentration with significant advantages for leading institutions, and an enhanced trend of diversified and international investment strategies [23][24] Summary by Relevant Catalogs Market Background - Affected by geopolitical conflicts and US tariff policies, the global stock market rose in the first half of 2025. A-shares showed an "N-shaped" trend, Hong Kong stocks performed better, and US stocks achieved a "V-shaped reversal". By the end of June 2025, the number of A-share listed companies reached 5,420, an increase of 37 from the end of 2024, and the total market value exceeded 100.02 trillion yuan, hitting a record high. The Beizheng 50 Index soared 39.45% in the first half of the year, leading the world in terms of gains. Industries such as non-ferrous metals (17.93%) and enterprise services (16.85%) led the rise, while industries such as coal (-10.02%) and real estate (-6.52%) faced pressure [4] - Chinese private securities investment funds are privately raised from qualified investors and mainly invest in publicly traded financial assets. They have more flexible investment strategies compared to public funds, lower liquidity, and can achieve differentiated returns through personalized strategies. Their operation must meet strict standards for qualified investors and emphasize the principle of self-risk assumption [5] - The development of Chinese private securities investment funds has evolved from disorderly exploration to standardization and specialization. Since 2025, driven by structural opportunities in the A-share market and excess returns from quantitative strategies, the issuance of private securities funds has recovered. In the first half of the year, over 5,400 new products were filed, with the filing scale increasing by 75% year-on-year [6] Market Status - As of the end of August 2025, the outstanding scale of Chinese private securities investment funds reached 5.56 trillion yuan, accounting for 27.4% of the total scale of private funds, a 6.5% increase from 5.24 trillion yuan at the beginning of 2025. Stock strategies dominate, and diversified strategies such as quantitative hedging and macro strategies are also developing rapidly. In July 2025, 1,313 new private securities funds were filed, with a scale of 79.281 billion yuan, a record high for the year. In the first half of the year, a total of 5,461 new filings were made, a 53.6% increase year-on-year, reflecting a significant trend of funds "entering the market through funds" [7][8] - As of the end of August 2025, there were 7,722 private securities fund managers, 385 fewer than at the end of 2024, mainly due to regulatory cleanup of "fake private funds". Geographically, Shanghai, Beijing, and Shenzhen account for over 50% of the total number of managers, and their management scales account for 25.2%, 23.2%, and 9.7% respectively [9] - The market demand for private securities funds shows a trend of diversification and stratification. The number of qualified investors has continued to expand, covering high-net-worth individuals, insurance funds, pensions, and foreign institutions. Insurance funds are accelerating the allocation of equity assets through pilot programs, and foreign institutions are also increasing their layout in the A-share market. Investor demand is significantly differentiated, with conservative funds preferring low-volatility products such as quantitative hedging and macro strategies, and aggressive funds focusing on stock long strategies. Market structural opportunities and policy guidance also affect the flow of funds and drive the continuous iteration of private securities fund strategies [10] Market Competition - The selection of the top ten private securities investment institutions follows a multi-dimensional quantitative evaluation model, with core indicators including management scale and stability, historical performance, and excess return ability [11] - The current industry competition shows a pattern of "siphoning by leading players" and "strategy differentiation". Leading quantitative private funds dominate with technical barriers and excess return ability. In 2025, the number of 10-billion-yuan quantitative private funds reached 41, exceeding that of 10-billion-yuan subjective private funds (40) for the first time. In the first half of the year, the average yield of quantitative private funds was 13.54%, significantly higher than that of subjective private funds (5.51%). Quantitative strategies perform well in volatile markets, while subjective strategies face challenges [12] - Ten institutions, including Gao Yi Asset, Orient Harbor, and Ningbo Magic Square Quantitative, are introduced, each with its own characteristics in terms of management scale, investment strategy, and core team [13][14][15] Development Trends - The Chinese private securities investment fund industry shows a significant "Matthew effect", with leading institutions having significant advantages in terms of funds, talent, technology, data, and trading systems. The number of 10-billion-yuan private fund managers has exceeded 100, and their share of the total industry management scale continues to rise. Small and medium-sized private funds face survival pressure, and foreign private funds are accelerating their localization layout, intensifying industry competition and promoting the concentration of resources to leading institutions [23] - With the deepening of China's capital market reform and the enrichment of financial derivative tools, private securities investment strategies are developing in a diversified direction from traditional stock long to quantitative hedging, macro strategies, event-driven, and cross-border investment. Regulatory authorities encourage private funds to serve the real economy and introduce long-term funds, and the cooperation between private funds and financial institutions such as securities firms and banks is deepening. In the future, strategy innovation and international layout will become core competitiveness [24]

Market Review - The equity market indices continued to strengthen, with the ChiNext Index showing the largest increase of 8.58% [4] - The bond market saw an increase in both short and long-term interest rates, with the 10-year government bond rising by 5.74 basis points to 1.747% [10] - The fund market experienced mixed results, with equity funds rising while medium and short-term pure bond fund indices declined [18] Equity Product Allocation Strategy - Event-driven strategies include focusing on the semiconductor sector due to the upcoming China Semiconductor Ecosystem Development Conference and the newly introduced personal consumption loan interest subsidy policy [21][20] - Asset allocation strategy suggests a balanced core plus a barbell strategy, emphasizing dividend and technology sectors [23] - Recommended funds include those focused on consumer and infrastructure sectors, as well as technology growth styles [23][27] Stable Product Allocation Strategy - The central bank's recent operations indicate a net withdrawal of 414.9 billion yuan, maintaining a balanced liquidity environment [29] - Economic data for July shows a year-on-year industrial value-added growth of 5.7% [29] - Social financing data indicates a total stock of 431.26 trillion yuan, with a year-on-year growth of 9% [29] Key Focus Products - Recommended products include short-term bond funds like Nord Short Bond A and Guotai Li'an Medium and Short Bond A, as well as funds benefiting from convertible bonds and equity market opportunities [2][34]

证券研究报告 | 金融工程 gszqdatemark 2025 08 03 年 月 日 量化专题报告 "量价淘金"选股因子系列研究（十三） 事件簇：量价事件驱动信号的规模化生产 前言：本文为国盛金工《"量价淘金"选股因子系列研究》的第十三篇报 告，也是"事件簇"系列研究的首次尝试。在截面多因子策略竞争加剧的 背景下，我们希望从"时序"视角挖掘不一样的 Alpha 信息，帮助策略迭 代。相比于基本面数据，量价数据在更新频率、股票覆盖度方面都更具优 势，因此本文先聚焦"量价类"事件驱动策略的研究。 趋势资金事件信号的体系化构建思路：将""因子簇"的研究理念拓展到事 件驱动信号的构建上。具体地，本文以"识别趋势资金入场信号"为例， 利用高频量价数据，多维度、多视角地识别趋势资金并分析其交易行为， 批量挖掘事件驱动信号，得到""趋势资金事件簇"。最终将事件簇中的有效 信号合成，得到更为稳定的综合信号，构建趋势资金事件驱动策略。 趋势资金事件信号的规模化生成：将趋势资金事件驱动信号的构建流程拆 分为"事件识别"、"信号定义"、"信号筛选与合成"这 3 个步骤，分别展 开详细讨论：（1）事件识别：通过观测成交量、价格涨跌 ...

Group 1 - The market is reacting to speculation about the content of a recent phone call, indicating a heightened sense of anticipation among traders [1][2][3] - Initial market reactions show a slight increase in gold and U.S. Treasury yields, while U.S. stocks and the dollar index declined, suggesting that the call may not have yielded favorable outcomes [4] - The volatility in asset prices may be based on speculation rather than concrete information, highlighting the uncertainty surrounding the negotiations [5][6] Group 2 - The importance of resource accumulation, particularly rare earth elements, is emphasized as a strategic asset in negotiations [8][10] - The article suggests that the geopolitical landscape is shifting back to a focus on territorial resources, challenging the notion that nations no longer seek land [12] - The pursuit of land and resources is framed as a critical factor in international relations, with implications for future negotiations and power dynamics [12]

Core Viewpoint - Establishing a systematic investment thinking framework for gold futures requires integrating macroeconomic logic, commodity attributes, market sentiment, and trading strategies to form a comprehensive understanding of gold price fluctuations [1]. Group 1: Understanding the Gold Market - Gold's intrinsic properties include being a safe-haven asset that attracts risk-averse funds during geopolitical conflicts and economic crises, as seen during the 2022 Russia-Ukraine conflict [1]. - Gold futures have unique characteristics, such as leveraged trading through standardized contracts (e.g., COMEX gold at 100 ounces per contract) and a margin system that amplifies risk and returns [2]. Group 2: Analytical Framework Construction - Geopolitical events and black swan occurrences, like wars and sovereign credit crises (e.g., the 2011 European debt crisis), can trigger safe-haven buying, but caution is needed for profit-taking after events settle [3]. - Technical analysis involves assessing long-term trends through weekly/monthly charts (e.g., a decade-long bull market from 2001-2011) and capturing short-term fluctuations via hourly charts [4]. - Historical price points, such as the peak of $2075 per ounce in August 2020 and key psychological levels (e.g., $1800, $1900), are critical for analysis [5]. Group 3: Fundamental Analysis - Key macroeconomic indicators include the U.S. CPI and non-farm payroll data, which influence inflation and employment, subsequently affecting Federal Reserve policies and gold prices through real interest rates [6]. - The 10-year TIPS yield (real interest rate) shows a significant negative correlation with gold prices [6]. - Central bank policies, particularly during the initial phase of a rate hike cycle, can suppress gold prices, but expectations of economic recession may lead to a reversal in gold's favor [6]. - Global central bank gold purchases provide long-term support for gold prices [6]. Group 4: Trading Strategies - Trend-following strategies are suitable during rising recession expectations and ongoing central bank easing [12]. - Mean reversion strategies apply when gold prices deviate from implied values based on real interest rates or when overbought/oversold indicators signal a reversal [15]. - Event-driven strategies involve adjusting positions before key data releases (e.g., non-farm payrolls, CPI) and entering trades based on market reactions [17]. Group 5: Risk Management - Leverage control is essential due to gold futures' high volatility (daily fluctuations of 1-3%), recommending a maximum risk of 2% of the trading capital per trade [19]. - Dynamic stop-loss strategies can be based on support/resistance levels or volatility measures like the Average True Range (ATR) [21][22]. - Hedging strategies may involve inverse positions in the U.S. dollar index or balancing with equity assets [23]. Group 6: Trading Psychology and Cognitive Upgrades - Overcoming cognitive biases, such as anchoring effects and overtrading, is crucial for successful trading in gold [24][25]. - Recognizing the "inflation-recession" cycle of gold can help traders adapt their strategies accordingly [26]. - Continuous review and iteration of trading logic and strategy performance are necessary for improvement [29]. Group 7: Common Misconceptions and Responses - Misconception 1: Viewing gold solely as an inflation hedge; real interest rates must be negative for gold to be truly bullish [31]. - Misconception 2: Ignoring liquidity risks, especially during significant market events that may lead to liquidity shortages [32]. - Misconception 3: Confusing futures with physical gold, as futures contracts incur time costs and potential roll-over losses [33]. Summary of the Gold Investment Framework - The core of the gold investment thinking system is a triadic driving model comprising real interest rates (fundamentals), dollar cycles (monetary attributes), and risk-averse sentiment (emotional factors) [35]. - Strategies should align with market conditions, utilizing trend strategies in trending markets and mean-reversion strategies in sideways markets [36]. - Prioritizing risk management is vital due to gold's volatility, emphasizing survival over profit [37].