□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 ...

新华财经北京11月22日电近期，A股主要股指在年内高位区域持续震荡，前期领涨的科技成长主线热度 下降，个股赚钱效应明显减弱。 在这一背景下，量化多头策略业绩呈现显著分化，头部机构凭借全频段阿尔法与多维度策略迭代展现出 更强韧性。面对因子衰减、成本攀升及合规趋严等多重挑战，量化行业正加速向平台化、人工智能 （AI）化及多策略化演进，以适应愈发复杂的市场环境，行业竞争步入精细化比拼的新阶段。 业绩面临考验 11月以来，市场进入股指高位震荡、个股分化格局，量化多头策略面临严峻考验。百亿级量化私募蒙玺 投资相关负责人直言，在此市况下，"量化多头策略承压明显，短期内部分传统因子和风格类信号有效 性出现变化，导致策略超额获取能力减弱"。 上海蝶威私募创始合伙人魏铭三提供的数据显示，在10月市场赚钱效应边际回落时，量化多头产品当月 仍实现了约0.93%的平均回报率和1.5%的超额收益率，优于同期主观多头策略的表现。但某第三方渠道 机构的数据显示，第四季度以来，多数头部及腰部量化机构在超额收益率方面出现明显分化。 这种分化在11月以来的行情中继续演绎。念空科技总经理王丽观察发现，随着中小盘和微盘股有所回 暖，量化多头策略里的 ...

10月债市出现反弹，股市行情出现分化，科创50指数10月下跌5.33%，而大盘股权重占比较高的上证指数上涨1.85%。 一、信托产品发行：10月发行量环比减少16% 数据显示，以产品成立日统计，10月发行信托产品1124只，环比减少15.87%。其中证券投资信托发行877只，占比78.02%，环比上升0.24个百分点。其他投 资信托发行222只，占比19.75%，贷款类信托发行19只，占比1.69%。 证券投资信托无论数量占比还是规模占比均相比9月出现上升，规模占比也由9月的36.43%上升至10月的42.37%。 从发行机构来看，10月发行信托产品最多的还是对外经济贸易信托，中粮信托发行数量排第二，华鑫信托发行数量排第三。 二、证券投资类产品表现：股票型信托10月回报缩水 具体产品来看，前10个月回报最高的债券型信托为"华鑫信托慧智投资154号"，该产品10月净值出现快速攀升，10月回报达42.55%，贡献了前10个月大部分 收益。前9个月净值波动较小，收益率仅3.11%。 "启航12号"前10个月回报排第二，但近1个月表现一般，回报为0.38%。"华鑫信托慧智投资153号"排第三，前10个月回报为39.5 ...

Core Viewpoint - The A-share market has shown a strong upward trend in 2023, with significant internal style differentiation, particularly between small and large-cap stocks, leading to varying performances among quantitative long strategies [2][3]. Group 1: Market Performance - As of the end of October 2023, the Shanghai Composite Index, Shenzhen Component Index, and ChiNext Index have increased by approximately 17.99%, 28.46%, and 48.84% respectively [2]. - In the first half of the year, small-cap stocks outperformed large-cap stocks, but a style switch occurred in late August, with the CSI 300 Index outperforming small-cap stocks in August and September [2]. Group 2: Quantitative Long Strategy Performance - Quantitative long strategy products faced negative excess returns in the months of August and September, marking the worst monthly performance of the year [2]. - However, since October, the excess returns of quantitative long strategies have begun to recover as institutional investors loosened their collective positions [2]. Group 3: Top Performing Private Equity Firms - For firms with over 10 billion in assets, the top three in terms of average excess returns for quantitative long products are Ming Shi Fund, Ping Fang He Investment, and Meng Xi Investment [3][4]. - Ming Shi Fund leads with four qualifying quantitative long products and a total product scale of approximately 5.62 billion, achieving an average excess return of ***% [4]. - Ping Fang He Investment and Meng Xi Investment follow, with their best-performing products achieving excess returns of ***% [5]. Group 4: Mid-Sized Private Equity Firms - In the 50-100 billion category, Bei Yang Quantitative topped the list with five qualifying products and an average excess return of ***% [7][8]. - The firm is noted for its AI-driven quantitative investment approach, led by a team with significant academic credentials [8][9]. Group 5: Smaller Private Equity Firms - In the 20-50 billion category, Han Rong Investment and Lu Xiu Investment ranked first and second, respectively, with average excess returns of ***% [10][11]. - Han Rong Investment focuses on short-cycle price-volume predictions, while Lu Xiu Investment employs a strategy of diversified holdings to achieve stable excess returns [11][12]. Group 6: Smallest Private Equity Firms - In the 0-20 billion category, Shanghai Zi Jie Private Equity ranked fourth, with three qualifying products and an average excess return of ***% [13][15]. - The firm primarily focuses on small-cap strategies, particularly targeting stocks that have experienced significant declines [15].

Core Insights - The A-share market has shown a slow upward trend this year, with 91.33% of private equity funds achieving positive returns and an average return rate of 24.32% as of the end of October [1] - Stock strategies lead the performance among five major strategies with an average return of 29.52%, and 92.73% of products reporting positive returns [1] - Multi-asset strategies have an average return of 19.71% and a positive return rate of 91.61%, effectively capturing market gains while diversifying risks [1] Group 1: Private Equity Fund Performance - As of October, 10,969 private equity funds were tracked, with 91.33% achieving positive returns and an average return rate of 24.32% [1] - The top 5% of funds achieved a remarkable return of 72.03%, indicating a strong performance in high-yield products [1] - Stock strategies outperformed with an average return of 29.52%, and 92.73% of products in this category reported positive returns [1] Group 2: Strategy Analysis - Multi-asset strategies ranked second with an average return of 19.71% and a positive return rate of 91.61%, benefiting from timely stock asset allocation [1] - Bond strategies showed a conservative approach with an average return of 8.77%, but 90.09% of products achieved positive returns, highlighting their risk defense capability [2] - Quantitative long strategies excelled with an average return of 36.76% and a positive return rate of 96.52%, outperforming subjective long strategies by 7.04 percentage points [2]

Group 1 - The core viewpoint of the articles highlights the sustained enthusiasm for private equity institutions to register securities products, with October seeing 994 products registered, a significant increase from 325 products in the same month last year, reflecting a growth of over 200% [1][2] - Factors driving this trend include a favorable A-share market performance, strong investor demand for private equity products, and active promotion by third-party sales institutions, alongside steady inflows of northbound capital and a loose funding environment [1] - In terms of strategy distribution, stock strategy products dominated with 679 registrations, accounting for 68.31% of the total, indicating strong demand for equity asset allocation [1] Group 2 - Quantitative private equity products showed remarkable performance in October, with 432 out of 994 registered products being quantitative, representing over 40% of the market, highlighting the strong appeal of quantitative strategies [2] - Among the registered quantitative products, over 75% focused on stock strategies, with 241 products in the quantitative long strategy being particularly favored by investors due to their ability to generate stable excess returns and benefit from index rises [2] - The registration activity involved 622 private equity institutions, with the majority being small institutions managing under 500 million yuan, while larger institutions with over 10 billion yuan were more active, reflecting their stronger product issuance capabilities [2]

Market Overview - The A-share market initiated a significant bull market on September 24, 2023, driven by a series of policy measures, with core indices showing remarkable gains: the ChiNext Index increased by 97.21%, the Shanghai Composite Index rose by 34.60%, and the Shenzhen Component Index climbed by 58.33% [2][4] - As of September 19, 2025, the total market capitalization of A-shares reached 104 trillion yuan, an increase of approximately 36 trillion yuan over the past year, with around 3,140 stocks rising over 50%, and more than 1,530 stocks doubling in value [4] Private Equity Performance - As of September 19, 2025, the stock strategy index recorded a gain of 45.46%, outperforming the comprehensive index's 35.13% increase, indicating a strong preference for equity investments among investors [6][11] - The average return for subjective long-only strategies was 64.80%, with an average alpha of 19.41% and a Sharpe ratio of 1.60, while quantitative long strategies showed even higher returns, particularly the CSI 1000 index-enhanced strategy, which achieved a return of 94.90% [8][11] Strategy Insights - The report highlights the importance of diversifying investment strategies to mitigate risks, especially in light of recent market volatility and policy changes that could impact stock performance [12] - Investors are encouraged to consider a mix of strategies, including bonds, CTA, and multi-asset strategies, which have shown promising average returns over the past year [12] Notable Trends - The private equity sector has seen an increase in the number of billion-yuan private equity firms, reaching 94, with significant performance from various funds focusing on technology and innovation sectors [14] - The report also notes the strong performance of certain technology stocks, particularly in the AI and robotics sectors, which have attracted substantial investment [14]

Core Viewpoint - Market style rotation is a typical characteristic of A-shares, where no single style can consistently outperform the market. This rotation significantly impacts quantitative long strategies, influencing their excess returns directly [2][3]. Group 1: Impact of Style Rotation - Style rotation serves as a double-edged sword for quantitative long strategies, affecting performance and sustainability. When market style aligns with historical preferences of quantitative models (e.g., small-cap style), strategies can capture significant stock selection alpha, leading to outstanding performance [3]. - In the first half of 2023 and the small-cap market in 2024, many quantitative products achieved considerable returns. However, when market styles reverse sharply (e.g., collective pullback of small-cap stocks in early 2024), quantitative strategies face significant challenges, often resulting in noticeable drawdowns [3]. - Quantitative models rely on historical data to identify patterns. If a particular style (like small-cap) remains dominant, models will increase exposure to that style. A sudden style reversal can lead to the short-term failure of factors based on historical data, causing stock selection alpha to vanish or even turn negative [3]. Group 2: Performance Disparity Among Strategies - Style rotation exacerbates performance disparities among different quantitative products. Funds focusing on different tracks (e.g., 300 index enhancement vs. 1000 index enhancement) or employing varying style constraints or risk control capabilities will exhibit significant performance differences during style shifts [3]. - The average excess return of over 200 quantitative long strategy products under billion-yuan private equity was approximately -1.69%, with only 22.67% showing positive excess returns, indicating a high exposure to small-cap and growth styles [7]. Group 3: Market Conditions and Future Outlook - The market exhibited significant style switching from August to September 2025, driven by macroeconomic changes, capital flows, and policy expectations. The relative performance of broad-based indices reflects the rotation between large-cap and small-cap styles [7]. - The small-cap factor's return volatility has increased, and the average excess drawdown during rapid style transitions typically ranges from 1-4%, with the potential for a higher average excess drawdown of 8-9% in February 2024. However, subsequent recovery trends are generally smooth [11].

Core Insights - Since 2025, private equity securities products have shown significant profitability, with an average return of 20.41%, and stock strategy products achieving an impressive average return of 15.38% [1] - As of August 31, there are 10,135 private equity securities products with performance records, of which 9,208 have generated positive returns, resulting in a high positive return ratio of 90.85% [1] - Among various strategies, stock strategies have outperformed, benefiting from the structural market trends in A-shares, with 6,473 stock strategy products recording an average return of 25.38% and a positive return ratio of 93.09% [1] Stock Strategy Analysis - Within stock strategies, quantitative long strategies have excelled in the mid and small-cap market, with 1,303 products showing a positive return ratio of 96.24% and an average return of 31.84% [2] - In contrast, subjective long strategies have a positive return ratio of 92.68% but a lower average return of 25.62%, indicating a significant performance gap compared to quantitative strategies [2] - Multi-asset strategies follow closely with an average return of 15.61%, primarily due to timely allocation to stock assets, with 1,279 products showing a positive return ratio of 89.91% [2] Market Outlook - The rise in the A-share market is attributed to multiple factors, including policy adjustments, improved liquidity, and enhanced economic fundamentals, as analyzed by Fidelity International's economist Liu Peiqian [2] - Upcoming tourism expenditure data and weekly real estate transaction data are expected to serve as important indicators for observing the pace of economic recovery [2] - Looking ahead, the market is anticipated to continue a trend of oscillating upward, with a gradual shift towards large-cap growth stocks, focusing on sectors with low penetration rates such as AI computing power, semiconductor autonomy, solid-state batteries, humanoid robots, satellites, controllable nuclear fusion, and innovative pharmaceuticals [2]

Core Viewpoint - The A-share market has shown a continuous upward trend since the "9.24 market" last year, with significant gains in various indices, particularly in small and micro-cap stocks, driven by advancements in artificial intelligence and quantitative technology [2][4]. Performance Summary Overall Market Performance - As of July 2025, the Shanghai Composite Index increased by 24.10%, the Shenzhen Component Index by 30.01%, and the ChiNext Index by 42.76%. The CSI 2000 Index and the micro-cap index outperformed with gains of 59.21% and 129.62%, respectively [2]. Quantitative Long Strategies - A total of 651 quantitative long products were reported, with a combined scale of approximately 51.53 billion yuan, achieving an average return of 60.25% over the past year, significantly outperforming subjective long strategies [2][4]. Performance by Fund Size 100 Billion and Above - The top three quantitative long funds in the 100 billion and above category are Ming Shi, Hei Yi, and Wen Bo, with average returns of ***%, ***%, and ***% respectively [5][6]. 20-100 Billion - The leading fund in the 20-100 billion category is Sheng Guanda, followed by Yunqi Quantitative and Guangzhou Shouzheng Yongqi, with average returns of ***%, ***%, and ***% respectively [10][11]. 5-20 Billion - Shanghai Zhi Jie Private Fund tops the 5-20 billion category, with average returns of ***%, followed by Zhong Min Hui Jin and Shanghai Bing Qing Private Fund [14][15]. 0-5 Billion - Tian Zhi Hui, Guangzhou Tian Zheng Han, and Hangzhou Sai Pa Si lead the 0-5 billion category, with average returns of ***%, ***%, and ***% respectively [17][18]. Investment Strategies - Ming Shi Fund employs a comprehensive quantitative stock selection strategy across the market, aiming for broad coverage and strong timing discipline to achieve excess returns [8]. - Hei Yi Asset focuses on risk control and employs a diverse strategy matrix, including quantitative stock selection and index enhancement [9]. - Shanghai Zhi Jie Private Fund emphasizes small-cap strategies, targeting stocks that have significantly declined in value, aligning interests with major shareholders [16].