（点击↑↑ 上图查看详情 ） 上周，A股核心指数迎来普涨行情，周五沪指盘中触及3700关键点位， 然而与之相反的则是指数增强策略产品大幅跑输基准指数表现。根据 私募排排网数据显示，沪深300指增、中证500指增、中证1000指增、量化多头（相对中证800）产品在上周的超额涨跌幅分别 为-0.49%、-1.09%、-1.26%、-1.16%，而市场中性产品同样在上周录得-0.83%的平均回撤。（可参考： 最新量化多头私募公司榜揭晓！鸣 石、黑翼、稳博位居前3！ ） 数据来源：同花顺iFinD，截至日期为2025年8月11日至2025年8月15日 图2：上周量化管理人指数成分股跑赢基准指数统计 图1：上周量化管理人基础选股池跑赢基准指数统计 为何上周再现beta涨alpha跌的怪象？ 实际上本次市场行情结构与2024年春节前一周以及924行情首周较为类似，即宽基指数表现强劲，但落 实到全市场选股层面则个股表现相对较弱，并且各版块风格在市场情绪高涨时会容易加速轮动，因此超额获取难度较前期增加。我们将量化 管理人基础选股池（无次新股、无ST股、无*ST股）个股在上周收益做统计后发现，五个交易日中跑赢对标指数的比例均小 ...

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 Viewpoint - The article discusses different levels of stock investment strategies and introduces the concept of market-neutral strategies as a way to mitigate market volatility and enhance returns [2][21]. Group 1: Investment Strategies - There are three levels of investment strategies: 1. **Beginner Level**: Randomly selecting stocks, which can lead to high volatility and uncertain profits [5][7]. 2. **Intermediate Level**: Selecting stocks based on specific criteria, such as market capitalization, which reduces volatility compared to individual stocks [9][11]. 3. **Advanced Level**: Selecting stocks from a pool based on multiple criteria, often using quantitative strategies to achieve excess returns [13][15]. Group 2: Market-Neutral Strategies - Market-neutral strategies involve going long on stocks expected to outperform the market while simultaneously shorting core indices using stock index futures [23][24][26]. - The cost of hedging in these strategies is referred to as the basis, which is the difference between spot prices and futures prices [28][33]. - In the domestic market, a common situation is that the spot price exceeds the futures price, leading to a state known as contango [30]. - An example illustrates the potential outcomes of a market-neutral strategy based on the relationship between spot and futures prices at expiration [34][36].

Core Viewpoint - The recent low level of stock index futures basis is linked to the dynamics of Dynamic Coupon Notes (DCN) products, which are believed to potentially reduce the basis rather than deepen it [1][4][31]. Group 1: Stock Index Futures Basis - The recent basis rates for IC and IM have reached historical lows, influenced by factors such as hedging, trading, dividend cycles, and policy restrictions [2][6]. - The basis rates are expected to exhibit cyclical fluctuations, with the current deep basis potentially benefiting the yield and scale of structured products like DCN and snowball products [2][7]. - The basis rates for IC and IM, after adjusting for dividends, remain at historical lows, indicating persistent pressure on the stock index futures market [8][9]. Group 2: Dynamic Coupon Notes (DCN) - DCN is characterized as a type of snowball product without an observation for knock-in, providing fixed income features combined with derivatives [3][25]. - The structure of DCN allows for monthly interest payments if the index price meets certain thresholds, with a risk of loss if the index falls below a specified level at maturity [25][30]. - The hedging mechanism of DCN is smoother compared to traditional snowball products, as it lacks a knock-in feature, resulting in a more stable impact on the stock index futures market [4][31]. Group 3: Market Dynamics and Product Scale - The total scale of snowball-like structured products is estimated to be around 100 billion yuan, which is less than half of the scale at the beginning of 2024 [4][31][38]. - The recent deep basis in stock index futures is expected to lead to a rapid increase in the yield and scale of DCN and similar structured products [4][45]. - The issuance of DCN products is seen as attractive in a low-interest environment, potentially leading to increased demand and market activity [4][31].

Report Overview - The report is a private equity fund special report focusing on the long - end analysis of market neutral strategies: quantitative stock selection, titled "How the Model Determines Your Return Cap" and is part of the Huabao Aggregation series of popular science articles [1] Core Viewpoint - The market neutral strategy, as an important pillar of the absolute return system, provides investors with a relatively stable return path through a long - short hedging mechanism [11] Section Summaries Market Neutral Strategy Long - end Construction Logic and Operational Characteristics - The long - end of the stock market neutral strategy constructs a stock portfolio with excess return capabilities through a systematic method, using a multi - level screening mechanism including initial screening based on core factors, further identification of targets, and dynamic adjustment to maintain risk balance. The strategy's return comes from the excess return difference between the long portfolio and the hedging instrument, and managers need to monitor key indicators and optimize the portfolio structure. The effectiveness of the quantitative stock - selection model is restricted by the market environment and requires parameter adjustment [5] Domestic Quantitative Model Development History - The development of the stock market neutral strategy's stock - selection method is coordinated with the capital market regulatory system. It has evolved from qualitative fundamental analysis in the early stage to the use of linear multi - factor models, and then to non - linear machine learning models and neural network models, affected by regulatory policies and market events such as the launch of margin trading and short - selling, the abnormal market fluctuations in 2015, and the implementation of registration systems [6] Secrets of Surviving Bull and Bear Markets: Survival Rules and Winning Logic of Neutral Strategies - The construction of quantitative models needs to balance historical rules and real - world changes. Investors should evaluate the strategy's full - cycle adaptability and the manager's ability to control drawdowns in special periods. Managers need to maintain the stability of core factors and establish a fast - response channel for new feature mining [7] How to Evaluate the Long - end of Market Neutral Strategies - Evaluating the long - end of market neutral strategies requires a multi - dimensional analysis framework, including examining the sustainability of returns and the completeness of the risk - control system. Ordinary investors should focus on the verifiability of the strategy's underlying logic, historical maximum drawdown, and the manager's ability to respond to market structure changes [9] Avoiding Three Cognitive Traps for Successful Neutral Strategy Investment - Investors should be aware of three cognitive blind spots: clarifying the essence of stock - selection logic, understanding the value of diversified allocation, and recognizing the inherent risk boundaries of the strategy. They should also check if the manager has a complete extreme stress - testing system [10]

Core Viewpoint - The deep discount of stock index futures has raised concerns in the market, impacting market-neutral strategy products and leading to net value declines, although quant hedge funds have managed to maintain overall excess returns this year [1][2]. Group 1: Market Conditions - Since April, the discount rates for IC (CSI 500 index futures) and IM (CSI 1000 index futures) have deepened, with IC reaching an annualized discount rate of 19.23% and IM at 22.36% as of April 16 [2]. - The significant drop in the CSI 500 and CSI 1000 indices on April 7, attributed to tariff shocks, resulted in extreme declines in stock index futures, causing a sharp increase in hedging costs for neutral products [2]. - The overall excess returns for quant strategies have improved compared to last year, despite increased market volatility and deepening discounts [2][4]. Group 2: Performance of Market-Neutral Strategies - As of April 18, the average return for 738 market-neutral strategy products since 2025 was 3.06%, but the average return over the past month dropped to 0.03%, with a slight recovery to 0.34% in the last week [3]. - Market-neutral products have maintained relatively stable operations since April, although new investors may face risks related to basis convergence [3][4]. - The overall return rate for market-neutral strategies this year is reported at 4%, with a yield of 0.47% since April [4]. Group 3: Risk Management and Strategy Optimization - Companies have implemented various methods for basis management and volatility response, including optimizing strategy models to enhance return stability [1][4]. - A multi-dimensional risk control system has been established, utilizing mixed hedging and automated dynamic management of basis [5]. - Recent upgrades to strategy frameworks have improved the ability to capture excess returns by integrating multi-frequency price and volume characteristics with AI models [5].

Market Overview - In March 2025, the equity market entered a correction phase, while the commodity market continued to experience fluctuations. Early March saw a continuation of optimistic risk appetite, but by mid-March, the market became more cautious due to earnings season and various disturbances following Trump's administration, leading to a market decline. The market style shifted from small-cap growth to large-cap value, with trading focus diversifying towards sectors like non-ferrous metals, consumer services, and defense [3][14]. Equity Market Performance - The public quantitative strategy performance showed varied results across different indices. For the CSI 300 index, the monthly return was -0.07%, with strict constraint strategies yielding an excess return of 0.57%, SmartBeta strategies at 0.85%, and rotation strategies at 0.70%. The CSI 500 index had a monthly return of -0.04%, with excess returns of 1.39% for strict constraint strategies, 1.82% for SmartBeta, and 1.64% for rotation strategies. The CSI 1000 index saw a monthly return of -0.70%, with excess returns of 1.58%, 2.02%, and 2.45% for the respective strategies [4][17][25]. Private Fund Strategy Performance - In March 2025, the best-performing private fund strategy was the CSI 1000 index strategy with an annualized return of 26.20%. The quantitative stock selection strategy followed with a return of 20.50%, while the CSI 500 index strategy achieved 16.24%. The CSI 300 index strategy lagged with a return of only 0.17%. In the relative value strategy, the convertible bond strategy performed well with a return of 22.67%, while the market-neutral strategy returned 10.22% and the ETF arbitrage strategy returned 3.66%. In the managed futures strategy, the options arbitrage strategy led with a return of 9.31% [5][29][32]. Market Environment Factors - The equity market in March experienced a style shift towards large-cap value, which increased the difficulty for quantitative strategies to achieve excess returns. The volatility in value-growth styles also heightened market instability, impacting the performance of quantitative strategies. Despite a decrease in market volatility and turnover rate, trading volume remained within a "comfortable zone" for quantitative strategies, suggesting a lower likelihood of significant declines in excess returns in the short term [6][30][34]. Commodity Market Analysis - The commodity market in March showed mixed performance influenced by overseas disturbances. The energy sector saw oil prices rise due to new production cuts from OPEC+ and increased sanctions on Iran and Venezuela. Conversely, the black metal prices declined due to unmet domestic demand. Gold prices surged significantly as a safe-haven asset amid uncertainties regarding international trade and economic outlooks [14][36]. Conclusion - Overall, the report indicates a complex market environment with shifting styles and varied performance across different strategies. The quantitative strategies face challenges due to increased volatility and changing market dynamics, while certain sectors within the commodity market present potential opportunities for investors [30][34][36].

Group 1 - The overall economic outlook indicates a divergence between the US and Europe, with the US showing signs of short-term cooling while maintaining a strong economic foundation, whereas Europe continues to struggle with weak economic performance [4][23]. - The US economy is experiencing a marginal slowdown, with GDP growth forecasts declining, particularly in private consumption and trade deficits, while private investment remains robust [5][22]. - Inflation in the US is showing signs of persistence, with CPI inflation rebounding over the past four months, indicating a potential for sustained inflation levels above 2% [9][12]. Group 2 - The European Central Bank (ECB) is expected to continue lowering interest rates, potentially reaching 2% this year, as the Eurozone economy remains weak and requires stimulus [23][25]. - Japan's economy is on a recovery path, with expectations of interest rate hikes above 1% this year, supported by rising wages and inflation [30][32]. - The global interest rate environment is likely to exceed market expectations, with the US Federal Reserve maintaining high rates and the ECB facing risks of inflation interrupting its rate-cutting path [35]. Group 3 - The Chinese economy is showing signs of recovery post-Spring Festival, with consumer spending rebounding and real estate sales improving in major cities [36][37]. - Credit growth in China has surged, with January seeing a record high in new loans, although the sustainability of this growth remains uncertain [48][54]. - Inflation data in China reflects seasonal trends, with CPI rising due to increased consumer spending during the holiday period, while PPI remains subdued due to seasonal production slowdowns [43][50]. Group 4 - The US stock market is under increasing pressure due to economic indicators showing a downturn, with S&P 500 profit growth forecasts declining [64]. - The outlook for US Treasury bonds suggests a volatile environment, with recommendations to favor short to medium-duration bonds due to the high coupon advantage [67][68]. - The currency market is influenced heavily by tariff policies, with the US dollar expected to remain strong despite potential short-term corrections [72][73].