一、行情回顾与市场背景 2024年9月24日，国新办举行关于金融支持经济高质量发展的新闻发布会，央行、金融监管总局、证监会联合宣布了一系列重磅金融政策。两 天后，中央政治局会议定调：要努力提振资本市场，大力引导中长期资金入市。这些政策信号彻底改变了市场预期。 去年9月24日，A股市场在政策组合拳的推动下启动了一轮波澜壮阔的牛市行情。 转眼一年过去，核心指数涨幅惊人：创业板指涨幅为 97.21%，上证指数上涨34.60%，深证成指上涨58.33%，两市日均成交量达到1.66万亿元。 在这一特殊时点，私募基金作为市场重要参与者， 其业绩表现尤为引人关注，不同策略、不同规模的私募机构上演了一场精彩的业绩竞争。 图1：市场主流宽基指数近一年收益表现情况 数据来源：私募排排网，截至日期为2024年9月24日至2025年9月24日 "924行情"先经历了快速上涨，随后高位横盘震荡数月，其中伴随今年2月科技行情以及4月中美对等关税事件的巨幅冲击，在6月继续向上突 破。8月13日，沪指突破去年10月8日的高点3674点，创下近4年新高。结构性机会层出不穷。北证50指数飙升逾160%，成为市场最亮眼的风景 线。科技主线强势领跑 ...

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].

Group 1 - The core viewpoint is that over 90% of billion-level private equity firms have achieved positive returns this year, indicating a strong profit effect and increased capital inflow into the market [1][2] - As of the end of July, the average return for billion-level private equity firms with performance disclosures is over 16%, with a positive return ratio of 98% [2][3] - The number of billion-level private equity firms has increased to 90, reflecting an expanding tier of firms benefiting from structural market opportunities [1][2] Group 2 - Quantitative private equity firms are leading in performance, with an average return of 18.92% and a 100% positive return ratio, compared to 13.59% and 93.75% for subjective private equity firms [3] - The private equity issuance market has significantly rebounded, with 1,298 private equity securities investment funds registered in July, an 18% increase from the previous month [4] - Major billion-level private equity firms are maintaining aggressive positions and actively adjusting their portfolios to seize structural opportunities in the market [4][6] Group 3 - Companies are focusing on sectors such as technology, innovative pharmaceuticals, non-ferrous metals, new consumption, and non-bank financials, with a high portfolio allocation of over 80% [5][6] - The current market environment is expected to continue providing structural opportunities for Chinese equity assets, supported by increased capital inflow and ongoing policy effects [6]

Core Viewpoint - The "fixed income +" fund market has been experiencing continuous growth since 2025, reaching approximately 1.5 trillion yuan by the end of June, with an increasing number of funds incorporating quantitative strategies [1] Group 1: Fund Performance - The "fixed income +" funds managed by Wu Di, including Guangfa Xinhao, Guangfa Hengxiang, and Guangfa Jirui, have shown strong performance, with Guangfa Xinhao achieving a one-year return of 8.23% and a maximum drawdown of 1.94% as of July 25 [1] - Guangfa Hengxiang and Guangfa Jirui, which Wu Di took over on May 7, reported net value growth rates of 4.91% and 3.54% over the last six months, significantly outperforming their benchmarks [2] - The maximum drawdown for both Guangfa Hengxiang and Guangfa Jirui was kept under 2%, indicating excellent risk-return characteristics [2] Group 2: Investment Strategy - The investment strategy for "fixed income +" funds requires high standards for both bond and equity investments, utilizing an active duration strategy in the bond market to enhance win rates [3] - On the equity side, a quantitative long strategy is employed, leveraging data analysis, factor modeling, and deep learning to cover various market themes comprehensively [3] Group 3: Asset Allocation - Guangfa Hengxiang limits its equity investments to no more than 20% of total assets, with a maximum of 50% in Hong Kong stock connect stocks, while Guangfa Jirui also maintains a similar cap on equity assets [2] - As of the latest reports, Guangfa Hengxiang's equity investments accounted for nearly 18% of total assets, with stock investments at approximately 9.41% and convertible bonds at 8.07% [2] - Guangfa Jirui's equity investments totaled around 10%, with stock investments at about 5.24% and convertible bonds at 4.64% [2]

Core Viewpoint - Quantitative long strategies have become an important choice for institutional investors and high-net-worth individuals in asset allocation due to their data-driven investment logic, strict discipline, and systematic execution [2] Group 1: One-Year Low Drawdown Performance - The top-performing quantitative long products in terms of low drawdown over the past year include "Xingran Army Selected Class A" from Xingran Private Investment, which achieved a drawdown of only ***% [3] - "Boyi Weihuaxiang No. 3 Class B" from Boyi Asset ranked second with a drawdown of ***%, achieving absolute returns of ***% and excess returns of ***% [3][4] - Four products from billion-yuan private equity firms also made the top 20 list, all maintaining drawdowns within ***% [4] Group 2: Three-Year Low Drawdown Performance - The top product over the past three years is "Dingyuan Yinuo Value Discovery" from Dingyuan Innovation, with a drawdown of only ***% and an excess return of ***% [6] - The number of private equity products using quantitative stock selection strategies increased to 15, accounting for 75% of the top 20 list [6] - "Jilu No. 11" from Jilu Asset and "Shouzheng Yiqi Longzhu No. 1 Class A" from Guangzhou Shouzheng also ranked highly, with drawdowns of ***% and ***%, respectively [6] Group 3: Five-Year Low Drawdown Performance - "Jilu Asset Quantitative Hedging" topped the five-year low drawdown list with a drawdown of ***%, showing a consistent upward trend in net value since its inception [12] - The number of quantitative stock selection products decreased to 9 in the five-year category, indicating a shift in strategy classification [12] - Products from Dragon Flag Technology, Jingqi Investment, and Shengquan Hengyuan also performed well, with drawdowns maintained within ***% [17]

Group 1 - Several leading private equity firms have voluntarily suspended new client subscriptions, indicating a significant market trend [1][3] - On June 16, a quantitative private equity firm announced the closure of new client subscriptions for specific index-enhanced products starting July 1, while existing investors can still add funds [1] - Another firm announced on May 30 that it would pause new client subscriptions for a specific product, with the resumption date to be announced later, while existing clients remain unaffected [3] Group 2 - The private equity market has shown signs of recovery, as many firms are proactively closing subscriptions during a hot issuance phase to protect investor interests and manage strategy capacity [3] - As of the end of May, there were 12,843 private equity securities investment funds with an average return of 4.34% this year, with stock strategy products leading at an average return of 4.81% [3] - Quantitative long strategy products have performed exceptionally well, with an average return of 8.46% and 86.62% of products achieving positive returns [3]

Core Viewpoint - The article highlights the growing significance of quantitative strategies in the investment landscape, particularly within private equity funds, showcasing their ability to generate excess returns compared to benchmark indices [2][3]. Group 1: Quantitative Strategies Overview - Quantitative strategies, especially quantitative long strategies, have become essential in the market, focusing on stock selection and optimization through models and algorithms to achieve excess returns [2]. - In May, 574 quantitative long products reported an average return of 3.77%, with an average excess return of 2.45%, indicating strong performance [2][3]. - The average excess returns for specific indices were as follows: CSI 300 at 0.97%, CSI 500 at 3.03%, and CSI 1000 at 2.84% [3]. Group 2: Performance of Specific Strategies - The top-performing products in the CSI 300 index over the past six months included those from Hainan Pengpai Private Equity and Ningbo Huansheng Quantitative, with excess returns of 6.81% and 5.67% respectively [4][5]. - For the CSI 500 index, the leading product was from Jintong Investment, achieving an excess return of 11.91% [8][10]. - In the CSI 1000 index, the top product was managed by Xiaoxiongmao Asset, with an excess return of 13.26% [10][12]. Group 3: Other Index Strategies - Other index products reported an average excess return of 14.41%, with the top performers coming from Liangchuang Investment and Longqi Technology [13][15]. - The strategy shift of certain products, such as the change from CSI 500 to other indices, has led to significant performance improvements [15]. Group 4: Quantitative Stock Selection - The average return for quantitative stock selection products was 9.83%, with an average excess return of 12.34% [17]. - The leading product in this category was managed by Zhuhai Zhengfeng Private Equity, achieving an excess return of ***% [19].

Group 1 - The average return of stock strategy private equity funds is close to 5% as of the end of May, with over 70% of funds showing positive returns and more than 400 products yielding over 20% this year [1] - Among 12,843 private equity funds with performance records, stock strategy funds lead with an average return of 4.81% and a positive return ratio of 73.5% [1] - The strong performance of stock strategy private equity is attributed to active small-cap stock styles and structural market trends in sectors like innovative drugs, technology, and new consumption [1] Group 2 - As of May 30, 60.96% of large-cap stock private equity funds have over 80% of their positions, indicating a significant bullish stance [2] - The current price-to-earnings ratio of the CSI 300 index is around 12 times, and the Hang Seng index is about 10 times, suggesting that Chinese assets are not overvalued [2] - Private equity funds are increasingly favoring equity assets, particularly in technology and pharmaceutical sectors, with recent group research focusing on leading companies in semiconductors and healthcare [2][3]