□究其原因：一方面，年初大量资金出于避险需求涌入市场中性策略，拥挤度有所提升；另一方面，融 券余额的逐步下降使市场中性策略只能用股指期货对冲，基差波动自然会有所加剧，导致策略的夏普比 率出现变化 ◎记者 马嘉悦 年初资金追捧的市场中性策略，如今面临尴尬境地。 据私募排排网统计，截至11月14日，该策略年内平均收益不足10%。与此同时，该策略产品年内波动率 （区间收益率的标准差）超过150%，相较去年明显提升。用投资者的话来说：收益率表现平庸，波动 还加大了，说好的"固收替代品"呢？ 在此背景下，私募和投资者开始重新审视市场中性策略的价值。据悉，部分量化私募已暂停市场中性策 略的新增投资者申购，或者只对机构进行售卖。多位渠道人士透露，近期不少客户选择赎回市场中性策 略产品。 业内人士表示，过去几年，市场中性策略被投资者理解为"固收替代品"，但资金涌入、融券对冲暂停等 都不可避免地加剧了策略波动。接下来，该不该把市场中性策略类产品提供给个人投资者？如何通过策 略创新、风控升级、投资者陪伴等手段，满足仍在持续增长的稳健型理财需求？如何真正实现资金与资 产的风险匹配？ 郭晨凯 制图 □截至11月14日，有业绩记录的6 ...

Core Viewpoint - The article focuses on the investment management firm Square and Investment, highlighting its strong performance in the quantitative hedge fund sector and its commitment to research-driven investment strategies [2][6]. Company Overview - Square and Investment Management Partnership (Limited Partnership) is a registered quantitative hedge fund company established in August 2015, recognized with over 70 prestigious awards [6]. - As of October 2025, the firm has surpassed a management scale of 10 billion [2]. Investment Strategy and Team - The company adheres to a core value of "research-driven excellence," with a team composed of experienced fund managers and senior quantitative researchers, each with over 15 years of industry experience [8][10]. - Square and Investment employs a combination of mathematics, statistics, computer science, and finance to develop quantitative hedge fund strategy models aimed at delivering stable long-term performance across different market cycles [8]. Core Strategies and Representative Products - The market-neutral strategy aims to achieve excess returns (alpha) independent of market movements by employing a long-short equity approach [12]. - The firm offers various products, including the Square and Smart Growth No. 1 Private Securities Investment Fund, which focuses on maintaining low correlation with market indices and achieving stable excess returns [14][16]. - The Square and Enhanced Index No. 9 Securities Investment Fund aims to closely track indices while generating potential excess returns through quantitative models [20]. Research and Risk Management - The strategy framework has evolved through localization and continuous iteration, adapting to market changes while maintaining core principles [26]. - The risk management system encompasses pre-trade, intra-trade, and post-trade controls, ensuring comprehensive risk oversight [31][32]. Competitive Advantages - Square and Investment's strategies have demonstrated resilience over a decade, effectively navigating various market conditions [43][44]. - The firm combines traditional and cutting-edge technologies to continuously refine its strategies, ensuring they remain relevant and effective [46]. - The investment team is composed of elite professionals from prestigious institutions, contributing to a robust research and investment culture [47]. Future Development Plans - The company is implementing its "third five-year plan" to balance research and operational efficiency while ensuring growth aligns with strategy capacity [51]. - Plans include expanding data sources, enhancing factor evaluation systems, and developing new model structures to improve service customization [52][54]. - The talent strategy focuses on attracting industry experts and establishing a comprehensive training system to support growth and innovation [55].

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - Since 2020, the annualized hedging costs of stock index futures for the three major stock indices (SSE 50, CSI 300, and CSI 500) have been more significantly affected by stock dividends, especially on the expiration date [2]. - The hedging costs of the far - season contracts of SSE 50 and CSI 300 stock index futures have long been stable around zero, and are slightly higher than the break - even point in most periods. The cost of the far - season contracts of CSI 500 stock index futures also fluctuates around zero, and before 2023, it was overall superior to the contracts of SSE 50 and CSI 300 in terms of return performance, showing relatively better cost - return characteristics [2]. - Based on the prediction for the fourth quarter of 2025, under the current market structure, preferentially allocating hedging tools represented by IC stock index futures may be a better choice for constructing market - neutral strategies [2]. 3. Summary According to the Table of Contents 3.1. Introduction - In the practice of the stock market - neutral strategy, although the hedging means of the strategy portfolio have been significantly enriched, stock index futures are still the core hedging tool for constructing market - neutral exposure. The basis structure of stock index futures directly determines the hedging cost of the neutral strategy and affects the final return performance [6]. - The basis of stock index futures can be decomposed into three core driving dimensions: the cost dimension from the time value of funds, the cash - flow dimension from index component stock dividends during the period, and the sentiment and expectation dimension reflecting the balance of market long - and short - side forces. The model is simplified to: Futures price - Index price = Corrected basis - Index dividends during the period [6]. 3.2. Dividend Situations of the Three Major Index Component Stocks 3.2.1. Dividend Point Indices of the Three Major Stock Indices - The dividend behavior of the three major index component stocks has significant seasonal characteristics, with dividend payments highly concentrated from April to September each year, peaking from June to August, especially from June to July [8][12]. - Compared with the market practice before 2020, in recent years, the phenomenon of the three major index component stocks paying dividends in the fourth quarter has increased. Since 2023, the A - share market dividend pattern has shown three new trends: year - end dividends, postponed dividend dates for some companies, and a deeper impact of dividend behavior on stock index and derivatives pricing [9][12]. 3.2.2. Dividend Yield Situations of the Three Major Stock Indices - The dividend yields of the SSE 50 and CSI 300 indices showed a "V - shaped" trend of first decreasing and then increasing from 2020 to 2024, which is related to the market adjustment from the end of 2023 to the beginning of 2024. The dividend yield center of the CSI 500 index has shifted down compared with the level before 2020 [13][15]. - The average annual dividend yields of the SSE 50 and CSI 300 indices, representing large - cap blue - chip stocks, are stable in the range of 2% - 3%, while the average dividend yield of the CSI 500 index, representing small - and medium - cap stocks, is relatively low. The dividends from June to July have a significant impact on futures pricing and basis structure [15][16]. 3.3. Annualized Hedging Costs of the Three Major Stock Index Futures 3.3.1. Estimation of Historical Data of Annualized Hedging Costs of the Three Major Stock Index Futures - A simplified model is used to estimate the dividend points of index component stocks and calculate the corrected basis. The annualized hedging costs of the near - month, far - month, near - season, and far - season contracts of the three major stock index futures in the past three years are calculated [18][20]. - The hedging costs of the far - season contracts of SSE 50 and CSI 300 stock index futures are long - term stable around zero and slightly higher than the break - even point, with low historical average hedging costs. Before 2023, the far - season contracts of CSI 500 stock index futures were overall superior to those of SSE 50 and CSI 300 in terms of return performance [20]. - The annualized hedging cost of near - month contracts may show significant peaks, indicating that the basis of stock index futures contracts may fluctuate extremely (deep premium or discount) when approaching the expiration date, which affects the actual cost of roll - over operations and strategy returns [26]. 3.3.2. Prediction of the Performance of Annualized Hedging Costs of the Three Major Stock Index Futures in the Fourth Quarter - From the fourth quarter of 2025 to the beginning of 2026, the impact of dividends on the basis of stock index futures and hedging strategies has weakened. The hedging costs of the current IC and IF main contracts are generally positive, providing a favorable window for market - neutral strategies [27][28]. - Based on the closing data on September 22, 2025, the overall hedging costs of the three major stock index futures are relatively low. After considering dividends, most of the hedging costs of IC and IF contracts are positive, especially for IC near - month and far - month contracts. The hedging costs of IH contracts are relatively high and even negative after considering dividends [29][30]. - Currently, market - neutral strategies using IC or IF futures contracts for hedging have relative advantages. IC near - season main contracts have lower hedging costs, while IF far - season contracts have more obvious cost advantages. IH contracts have relatively low cost - performance. Therefore, preferentially allocating hedging tools represented by IC stock index futures may be a better choice [30][31].

Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - The report systematically analyzes the basis structure of China's three major stock index futures and its impact on market-neutral strategies, finding that the basis can be deconstructed into three core dimensions: time value of funds, dividend cash flow, and market sentiment expectations. By introducing the concept of "corrected basis", it more accurately reflects the real hedging cost. A-share dividends show significant seasonal characteristics and three new trends since [year]. The dividend rates of the SSE and CSI 300 indices show a "V-shaped" trend, while the dividend rate center of the CSI 500 index has shifted downward. Currently, the costs of IC and IF contracts are generally positive, while the IH contract shows a negative value. It is recommended to prioritize the allocation of IC contracts and consider the far-quarter IF contracts, and be cautious with IH contracts [1][2]. Summary by Relevant Catalogs I. Basis Driving Factor Deconstruction and Theoretical Framework - The basis of stock index futures can be deconstructed into three core driving dimensions: the cost dimension from the time value of funds, the cash flow dimension from index component stocks' dividends, and the sentiment and expectation dimension reflecting the market's long-short power comparison. The "corrected basis" is defined by combining the time value and market sentiment expectations to simplify the analysis and focus on the core influencing factors of hedging costs [5]. II. Dividend Behavior Characteristics and Dividend Point Index Analysis - The dividend behavior of the three major index component stocks has significant seasonal characteristics, with dividends highly concentrated from [month] to [month], and [months] being the peak. Since [year], there have been three new trends in the A-share market's dividend pattern: the emergence of year-end dividends, the delay of some companies' traditional dividend dates, and the deepening of the impact of dividend behavior on stock index and derivative pricing [8]. III. Dividend Income Quantitative Calculation and Historical Trends - By comparing the yield differences between the total return index and the price index, the annual dividend income performance of the three major indices in the past five years is calculated. The SSE and CSI 300 indices show a "V-shaped" trend, while the dividend rate center of the CSI 500 index has shifted downward. The annualized dividend income of the SSE and CSI 300 indices is stable in the 2%-3% range, while that of the CSI 500 index is relatively low. The impact of dividends on futures pricing and basis structure during the concentrated dividend period cannot be ignored [10][11]. IV. Hedging Cost Time Series Analysis and Market Structure - A simplified model is used to estimate the dividend points of index component stocks and calculate the corrected basis. The far-quarter contracts of the SSE and CSI 300 stock index futures have long-term stable hedging costs around zero, and most of the time are slightly higher than the break-even point. The far-quarter contracts of the CSI 500 stock index futures also fluctuate around zero, and had better cost-benefit characteristics before [year]. The annualized hedging cost of near-month contracts has significant peaks, indicating extreme basis fluctuations near the contract expiration date, such as the abnormal peaks of over 150% observed in [year] [21]. V. Current Hedging Cost Comparison and Strategy Recommendations - From the fourth quarter of [year] to the beginning of [year], the impact of dividends on the stock index futures basis and hedging strategies has weakened. Currently, the hedging costs of IC and IF main contracts are generally positive, providing a favorable window for market-neutral strategies. IC and IF contracts have relatively low hedging costs, while IH contracts have relatively high costs. It is recommended to prioritize the allocation of IC contracts and consider the far-quarter IF contracts, and be cautious with IH contracts [22][24].

Core Insights - A new investment trend is emerging in Asia, with family offices increasingly turning their attention to cryptocurrencies, which are becoming a significant part of investment portfolios [1][3]. Group 1: Investment Trends - Family offices are shifting from minimal exposure to cryptocurrencies to more substantial investments, with some planning to allocate around 5% of their portfolios to digital assets [3][12]. - The launch of NextGen Digital Venture's second long-short crypto fund, which raised over $100 million in a few months, exemplifies this trend, following a previous fund that achieved a 375% return in less than two years [3]. Group 2: Evolving Investment Strategies - Investment approaches are evolving from tentative exploration to professionalization, with family offices now engaging in more sophisticated strategies such as basis trading and arbitrage [5][7]. - Family offices are increasingly viewing Bitcoin as a hedge against macroeconomic risks due to its low correlation with stocks and bonds, indicating a shift towards more strategic asset allocation [7]. Group 3: Market Dynamics - The trading environment is reflecting this enthusiasm, with significant increases in user registrations and trading volumes on platforms in Hong Kong and South Korea [8]. - Legislative developments, such as the U.S. GENIUS Act and Hong Kong's stablecoin legislation, are providing clearer legal frameworks, further boosting confidence in the crypto market [10][11]. Group 4: Future Directions - The trend indicates that cryptocurrencies are transitioning from optional to essential assets for family offices, with a clear movement towards direct holdings and upgraded strategies [12][14]. - Future investment directions may include diversification into DeFi yields, structured products, and tokenized physical assets, alongside the deepening of regulatory benefits [14].

Core Viewpoint - The A-share market experienced a broad rally last week, with the Shanghai Composite Index reaching the critical level of 3700, while index-enhanced strategy products significantly underperformed the benchmark indices [2] Group 1: Market Performance - The excess returns of various index-enhanced products were negative, with the Shanghai 300 Index Enhanced, CSI 500 Index Enhanced, and CSI 1000 Index Enhanced showing excess returns of -0.49%, -1.09%, and -1.26% respectively [2] - The performance of individual stocks was relatively weak, with less than 50% of stocks in the quant management pool outperforming the benchmark indices during the week [2][3] - The proportion of stocks outperforming the Shanghai 300 Index was below 40% for most of the week, indicating increased difficulty in achieving excess returns [2] Group 2: Strategy and Market Dynamics - The difficulty in obtaining alpha returns is attributed to rapid convergence of basis, where the short positions in futures are weaker than long positions, leading to a decline in neutral strategy products [3] - Market sentiment was high, but the rapid rotation of sector styles made it challenging for stock selection strategies to generate excess returns [2][3] - Quant managers believe that the recent alpha pullback is within a normal range and is not indicative of issues with stock selection strategies [7] Group 3: Future Expectations - Historical data suggests that after periods of alpha decline, there is a high probability of recovery in subsequent market conditions, even if indices experience profit-taking [7][10] - Investors are encouraged to remain optimistic about the potential for recovery in quant management products despite current challenges [7]

Core Viewpoint - The recent announcement from Qingdao Leang Asset Management indicates that market-neutral strategies experienced significant weekly drawdowns due to three main factors: poor Alpha environment, unfavorable style Beta, and substantial convergence of basis spreads [1][4][5]. Group 1: Reasons for Drawdown - The Alpha environment was unfavorable, with the average stock market increase of 2.0% and a median increase of only 0.36%, indicating insufficient market momentum and low inherent volatility, leading to fewer Alpha opportunities for quantitative strategies [4]. - There was a notable structural differentiation in the A-share market, with the CSI 300 index rising by 2.37%, the CSI 500 by 3.88%, and the CSI 1000 leading with a 4.09% increase, while micro-cap stocks fell by 0.65%. Only 23% of stocks outperformed the CSI 1000 index, posing challenges for market-neutral strategies [4][5]. - The basis spread for the main contract (IM2509) converged by over 1% within the week, resulting in an additional 1% drawdown in product net value. Overall, the market-neutral products experienced approximately a 3% drawdown [5]. Group 2: Company Overview - Qingdao Leang Asset Management was established in November 2018 and registered with the Asset Management Association of China in April 2019. The company has a registered capital of 10 million yuan and operates in Shanghai with a total of 14 full-time employees [6]. - The firm manages 32 private equity products with an asset management scale ranging from 2 billion to 5 billion yuan [6].

Core Viewpoint - The article discusses the significant weekly drawdown in market-neutral strategies by quantitative private equity firms, attributing it to three main reasons: poor Alpha environment, unfavorable style Beta, and substantial convergence of basis [2][3][6]. Group 1: Reasons for Drawdown - The Alpha environment was poor, with the average stock in the market only rising by 2.0% and the median increase being just 0.36%, indicating insufficient overall market momentum [6]. - There was a notable structural differentiation in the A-share market, with the CSI 1000 index leading with a 4.09% increase, while only 23% of stocks outperformed the CSI 1000 index, posing challenges for market-neutral strategies [6][10]. - The basis for the main futures contract used for hedging (IM2509) converged by over 1% within the week, leading to an additional 1% drawdown in product net value [6][7]. Group 2: Performance Summary - The market-neutral products experienced an approximate 3% drawdown due to the combined effects of a poor excess return environment, the strong performance of the CSI 1000 index, and the convergence of the basis [7]. - Despite the drawdown, firms believe that the overall basis environment will improve, allowing for recovery in market-neutral strategies [7][12]. Group 3: Company Profile - Qingdao Leang Asset Management Co., Ltd. was established in November 2018 and registered with the Asset Management Association of China in April 2019, with a registered capital of 10 million yuan [8]. - The company currently manages 32 private equity products with a management scale ranging from 2 billion to 5 billion yuan [7][8].

Report Investment Rating - The operation rating for the CITIC five-style - Cycle is ★☆☆ [4] Core Viewpoints - As of the week ending August 8, 2025, the weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were 1.94%, 0.03%, and -0.36% respectively. In the public fund market, index enhancement strategies led in returns with a weekly increase of 1.65%. In the equity product segment, market neutral strategies generally had more gains than losses. For bonds, convertible bond returns rebounded, but the growth of short - and medium - to long - term pure bond funds slowed compared to the previous week. Among commodity funds, energy and chemical ETFs remained weak, while precious metals saw a rebound in returns, with the net value of silver ETFs rising significantly by 3.84% [4] - In the CITIC five - style, the style index closed up last Friday, with the cycle style leading in returns, rising 3.49%. The style rotation chart showed a slight recovery in the relative strength of the financial and cycle styles, and all five styles strengthened in terms of indicator momentum. Among the public fund pools, the excess returns of consumer - style funds recovered in the past week, with a weekly excess return of 1.06%, while the average return of cycle - style funds did not outperform the benchmark. From the trend of fund style coefficients, some consumer - style funds shifted towards the growth style. Currently, the market congestion is in the historically high - congestion range [4] - In terms of Barra factors, the ALPHA factor had a better return performance in the past week, with a weekly excess return of 0.34%. The returns of the valuation and residual volatility factors weakened. In terms of win - rate, the reversal - type factors strengthened marginally, while the profitability and liquidity factors declined slightly. This week, the cross - sectional rotation speed of factors increased compared to the previous week and is currently in the historically low - quantile range [4] - According to the latest scoring results of the style timing model, the cycle and financial styles recovered this week, while the consumer style declined. The current signal favors the cycle style. The return of the style timing strategy last week was 0.77%, with an excess return of - 1.02% compared to the benchmark balanced allocation [4] Summary by Relevant Catalogs Fund Market Review - In the public fund market, index enhancement strategies led in returns with a weekly increase of 1.65%. Market neutral strategies in equity products generally had more gains than losses. Convertible bond returns rebounded, but the growth of short - and medium - to long - term pure bond funds slowed compared to the previous week. Energy and chemical ETFs remained weak, while precious metals saw a rebound in returns, with the net value of silver ETFs rising significantly by 3.84% [4] Equity Market Style - The CITIC five - style index closed up last Friday, with the cycle style leading in returns, rising 3.49%. The relative strength of the financial and cycle styles slightly recovered, and all five styles strengthened in terms of indicator momentum. The excess returns of consumer - style funds recovered in the past week, with a weekly excess return of 1.06%, while the average return of cycle - style funds did not outperform the benchmark. Some consumer - style funds shifted towards the growth style, and the market congestion is in the historically high - congestion range [4] Barra Factors - The ALPHA factor had a better return performance in the past week, with a weekly excess return of 0.34%. The returns of the valuation and residual volatility factors weakened. The reversal - type factors strengthened marginally, while the profitability and liquidity factors declined slightly. The cross - sectional rotation speed of factors increased compared to the previous week and is currently in the historically low - quantile range [4] Style Timing Model - The cycle and financial styles recovered this week, while the consumer style declined. The current signal favors the cycle style. The return of the style timing strategy last week was 0.77%, with an excess return of - 1.02% compared to the benchmark balanced allocation [4]

Core Insights - The A-share market experienced significant structural trends in the first half of 2025, driven by macroeconomic fluctuations and a rebound in market sentiment [1] - Quantitative private equity strategies showed strong overall performance, with a notable internal divergence among different funds [2][3] - The average return of large quantitative private equity funds reached 13.72%, with all achieving positive returns [2] - The performance gap among popular private equity products exceeded 20 percentage points, indicating a competitive landscape characterized by "strong head, weak tail" dynamics [2][3] Performance Metrics - The average excess return for the CSI 500 quantitative enhancement strategy was approximately 11%, while the CSI 1000 strategy achieved 14% [2] - The average return for quantitative neutral strategies was around 5% [2] - The top-performing quantitative private equity products in the CSI 500 strategy had a return of 27.97%, with a performance gap of 20.33% among the top and bottom funds [2][3] Market Dynamics - The market structure was described as a "dumbbell" shape, with strong performances in both large-cap bank stocks and small-cap indices, while the mid-range stocks underperformed [4] - The small-cap sector is becoming a fertile ground for excess returns, with strategies focusing on small-cap stocks showing significant potential [5] - The loosening of merger and acquisition policies has led to an increase in major asset restructuring events, boosting market confidence and liquidity [5] Fundraising Trends - The number of newly registered private equity funds significantly increased in the first half of 2025, with quantitative strategies dominating the fundraising landscape [6] - The overall scale of the quantitative strategy industry is expected to grow by approximately 20% to 30% compared to the same period last year [6] - Notable fundraising success was observed among both leading and mid-tier managers, with innovative strategy products contributing to this growth [6] Future Outlook - The mainstream quantitative private equity firms maintain an optimistic outlook for the A-share market in the second half of the year, anticipating a volatile upward trend [7] - Key sectors expected to provide structural return opportunities include innovative pharmaceuticals, consumer electronics, robotics, military, computing, and photovoltaics [7] - The current proportion of quantitative strategies in A-share trading is about 30%, indicating a reasonable range for enhancing market pricing efficiency, but caution is advised regarding the risks of strategy homogeneity [8]