朋友们，沪指创下新近10年新高了。 在群里、在微信后台，风云君最近是越发感受到大家的投资热情。 还有哪些产品能买？ xx这类策略现在入怎么样？ 以下文章来源于风云君的研究笔记 ，作者专注私募研究的 风云君的研究笔记 . 专注私募研究 先来看看近几年各私募策略在不同市场环境中的表现 大家有没有发现，其实在熊市中做投资决策，其实不怎么纠结，往往是行情来了，或者行情在持 续高涨的时候，我们才会反复犹疑，担心踏空、担心踩高。 所以今天风云君不推荐什么具体的投资策略，因为越是这个时点，我建议投资人更需要关注自己 投资组合的健康程度。 我知道这很难，毕竟有些逆人性，但它非常非常重要，为什么这么说呢？ 2019-2021年，流动性驱动下的权益牛市 2020年三次降准累计释放 1.75 万亿流动性，推动市场进入货币宽松周期；与此同时，新能源补 贴加码、半导体国产替代加速推进等产业政策持续落地，为相关板块注入增长红利，随之催生A股 走出结构化牛市。 这种行情下，主观多头基金经理凭借集中配置白马股的策略操作显著跑赢市场其他策略，主观多 头策略在当时也是风光无限。 2022年，地缘风险催生危机Alpha 前期白马股集中抱团带来的估 ...

Core Viewpoint - The article discusses the performance of various private equity strategies in the A-share market amid geopolitical tensions and economic downturns, highlighting the recovery of stock strategies since the "9.24" market event and the strong performance of quantitative long strategies in the first half of 2025 [1][2][4]. Group 1: Private Equity Strategy Performance - As of June 30, 2025, all private equity secondary strategies achieved positive returns in the first half of the year, with quantitative long strategies leading at an average return of 16.31%, followed by subjective long strategies at 10.55% and macro strategies at 9.19% [2][4]. - The total trading volume of the A-share market exceeded 160 trillion yuan in the first half of the year, significantly higher than over 100 trillion yuan in the same period last year, indicating a notable increase in market activity [4]. - The strong performance of quantitative long strategies is attributed to their focus on small-cap stocks, which have performed well, with the CSI 2000 index rising over 15% and the micro-cap stock sector increasing over 40% [4]. Group 2: Top Performing Private Equity Products - As of June 30, 2025, there were 345 quantitative long private equity products with performance data, with the top three products being "Fengshou No. 2," "Liangying Risheng Exclusive No. 1 A Class," and "Baolit Quantitative No. 1," achieving significant excess returns [5][6]. - The top ten quantitative long strategies included products from major firms such as Longqi Technology and Wenbo Investment, with their excess returns also being noteworthy [6][11]. Group 3: Recent Trends in Private Equity Strategies - Over the past year, the top three performing private equity secondary strategies were quantitative long, subjective long, and other derivative strategies, with average returns of 48.32%, 32.00%, and 31.52% respectively [8][10]. - In the last three years, the top three strategies shifted to subjective CTA, other derivative strategies, and bond enhancement, with average returns of 69.36%, 69.29%, and 45.18% respectively, indicating a significant change in market dynamics [12][14].

Core Insights - The average return of private equity stock strategies reached 10% in the first half of 2025, outperforming other strategies [1] - Over 80% of private equity securities products achieved positive returns, with an overall return of 8.32% [1] Summary by Category Stock Strategies - Stock strategies led with an average return of 10%, with quantitative long strategies showing impressive performance at an average return of 15.42% and a positive return ratio of 93.32% [1] - Subjective long strategies demonstrated explosive potential with a 35.68% return at the 5th percentile [1] Futures Strategies - Among futures strategies, subjective CTA outperformed quantitative CTA with an average return of 4.90% [1] Options Strategies - The options strategy exhibited a notable positive return ratio of 77.11% [1] Bond Strategies - Bond strategies showed the highest stability, with over 90% of products achieving positive returns [1] Multi-Asset Strategies - Combination funds and multi-asset strategies both exceeded a 6% return [1] Market Environment - In a volatile market environment, both quantitative and subjective strategies displayed their respective advantages [1]

Report Title - Private Equity Weekly Performance is Good, Remain Cautious about Small-cap Exposure and Basis Convergence Risk in the Future (May 26, 2025 - May 30, 2025) - Weekly Tracking Report on Private Equity Strategies of China Merchants Futures [2] Report Industry Investment Rating - Not provided in the report Core Viewpoints - As of May 30, 2025, three types of private equity index enhancement strategies had positive returns this week. Approximately 50% of stock neutral strategy funds had positive returns, with the 75th percentile of weekly returns at 0.13%. The median return of two types of cycle-labeled dimension neutral strategies was positive, and the performance of the partial holding Alpha neutral strategy was relatively good, with a median return of 0.15%. Approximately 75% of option strategy pool funds had positive returns, and the partial selling option strategy had relatively good returns, with the 75th percentile return at 0.58%. [5] - From the perspective of the monthly performance of sub - strategies, the top three sub - strategies were CSI 1000 Index Enhancement (+4.35%), Quantitative Stock Selection (+3.65%), and CSI 500 Index Enhancement (+3.21%); the bottom three were Full Replication Neutral T (+0.23%), Partial Arbitrage (+0.40%), and 300 Neutral (+0.58%). [5] - As of May 30, 2025, most private equity index enhancement strategies rose this week. Specifically, CSI 1000 Index Enhancement rose 1.15%, Quantitative Stock Selection rose 0.68%, CSI 500 Index Enhancement rose 0.67%, and SSE 500 Index Enhancement fell 0.64%. From the perspective of the track - labeled dimension index enhancement strategies, the excess returns of the four types of index enhancement strategies were all positive, with Quantitative Stock Selection at 0.77%, CSI 1000 Index Enhancement at 0.55%, SSE 300 Index Enhancement at 0.48%, and CSI 500 Index Enhancement at 0.35%. [5] - The component stock monitoring model shows that small and micro - cap stocks had the highest investment return rate in the past three months, and one should remain cautious about the retracement risk of small and micro - cap stocks in the future. [5] Summary by Directory 01 Private Equity Review - **Private Equity Index Enhancement Fund Performance Tracking** - Three types of private equity index enhancement strategies had positive returns this week. Specifically, CSI 1000 Index Enhancement rose 1.15%, Quantitative Stock Selection rose 0.68%, CSI 500 Index Enhancement rose 0.67%, and SSE 300 Index Enhancement fell 0.64%. [12] - From the perspective of the track - labeled dimension index enhancement strategies, the excess returns of the four types of index enhancement strategies were all positive, with Quantitative Stock Selection at 0.77%, CSI 1000 Index Enhancement at 0.55%, SSE 300 Index Enhancement at 0.48%, and CSI 500 Index Enhancement at 0.35%. [19] - From the perspective of the cycle - labeled dimension index enhancement strategies, the median excess returns of the four types of cycle - labeled dimension index enhancement strategies were all positive. Specifically, the partial holding type index enhancement excess median was 0.45%, the holding type index enhancement excess median was 0.43%, the trading type index enhancement excess median was 0.31%, and the partial trading type index enhancement excess median was 0.18%. [25] - **Track - Labeled Dimension Neutral Strategy Tracking** - Approximately 50% of the stock neutral strategy funds had positive returns this week, with the 75th percentile of weekly returns at 0.13%. After deducting the basis impact, the median weekly return of the 300 neutral strategy was 0.27%, the median weekly return of the 500 neutral strategy was 0.60%, and the median weekly return of the 1000 neutral strategy was 0.23%. [28] - **Cycle - Labeled Dimension Neutral Strategy Tracking** - The median returns of two types of cycle - labeled dimension neutral strategies were positive. Specifically, the partial holding Alpha neutral median was 0.15%, the holding Alpha neutral median was 0.05%, the partial trading Alpha neutral median was -0.01%, and the trading Alpha neutral median was -0.05%. [32] - **Track - Labeled Dimension Option Strategy Tracking** - Approximately 75% of the option strategy pool funds had positive returns this week. From the 75th percentile, the fund pool's weekly return was 0.37%, and the one - year return was 13.17%. From the track - labeled dimension, the partial selling option strategy had relatively good returns, with the 75th percentile return at 0.58%. [36] 02 Performance Attribution - **Private Equity Index Enhancement Strategy Component Stock Disassembly** - The small and micro - cap exposure is large, and one should remain cautious about the retracement risk of small and micro - cap stocks in the future. [38] - The investment cost - effectiveness of CSI 1000, CSI 2000, and other (including small and micro - cap) stocks is relatively high. Specifically, the return rate of unit SSE 300 component stocks in the past three months was -1.28%, the return of unit CSI 500 component stocks was -3.22%, the return of unit CSI 1000 component stocks was -3.90%, and the return of unit other (including small and micro - cap) stocks was over 28%. [46] 03 Risk Monitoring - **Private Equity Index Enhancement Risk Monitoring - SSE 300 Index Enhancement Fund** - As of May 30, 2025, the three factors with the largest excess exposure of the SSE 300 index enhancement fund were the leverage factor, the mid - cap factor, and the growth factor, which were -1.28, 1.15, and -0.61 respectively. Generally speaking, the SSE 300 index enhancement fund has relatively large excess risk exposure in the leverage factor and the mid - cap factor. [51] - **Private Equity Index Enhancement Risk Monitoring - CSI 500 Index Enhancement Fund** - As of May 30, 2025, the three factors with the largest excess exposure of the CSI 500 index enhancement fund were the residual volatility factor, the BETA factor, and the momentum factor, which were 0.65, -0.63, and 0.55 respectively. Generally speaking, the excess risk exposure of the CSI 500 index enhancement fund is not large. [60] - **Private Equity Index Enhancement Risk Monitoring - CSI 1000 Index Enhancement Fund** - As of May 30, 2025, the three factors with the largest excess exposure of the CSI 1000 index enhancement fund were the BETA factor, the residual volatility factor, and the momentum factor, which were -0.59, 0.54, and 0.48 respectively. Generally speaking, the excess risk exposure of the CSI 1000 index enhancement fund is not large. [69]

Group 1 - The private equity industry in China is experiencing accelerated head-to-head competition, with a significant "Matthew Effect" where top firms are consolidating their advantages, leading to a market characterized by a "20/80" distribution [2][24][26] - As of February 2025, there are 7,893 private equity managers and 86,708 products in the private securities investment fund sector, with a total management scale of 5.24 trillion yuan, reflecting a decline from historical peaks due to regulatory pressures and market challenges [20][24][26] - The top 1% of private equity firms manage over 100 billion yuan, while 84.91% of managers have a scale of less than 500 million yuan, indicating a significant disparity in the industry [24][26] Group 2 - The report categorizes private equity strategies into five main types: stock strategies, bond strategies, futures and derivatives strategies, multi-asset strategies, and combination funds, with a detailed breakdown into 16 secondary strategies [36][39] - Stock strategies dominate the private equity landscape, with subjective long positions and quantitative long positions accounting for approximately 60% of the market, while bond strategies have seen a significant decline due to low interest rates [39][40] - The subjective long strategy focuses on active management through in-depth research, while quantitative long strategies utilize mathematical modeling and algorithms to construct stock portfolios, highlighting a shift towards data-driven investment approaches [44][52] Group 3 - The report outlines the performance characteristics of various strategies, noting that subjective long strategies achieved an average return of 40.2% during the 2020 bull market, while quantitative long strategies have shown a consistent annualized excess return of 13.5% over the past five years [3][50][56] - The report emphasizes the importance of strategy innovation and compliance capabilities for survival in the competitive landscape, as smaller firms face increasing challenges in fundraising and differentiation [24][26][39] - A diversified strategy configuration is proposed, offering combinations from conservative to aggressive profiles, with the conservative portfolio achieving a 6.1% annualized return and a maximum drawdown of less than 3% [5][39]