梁文锋 梁文锋此前曾表示，DeepSeek的研究经费来源于幻方量化的研发预算。(作者/箫雨) 幻方量化已成为梁文锋的"摇钱树"。他仍然持有这家资产管理公司的多数股权，并且在几年前就已停止 为旗下基金引入外部资金。幻方量化的强劲业绩表现有望为DeepSeek提供更多资金支持。DeepSeek是 由幻方量化在2023年孵化出来的AI公司，其多数股权同样由梁文锋持有。 "梁文锋现在无疑拥有更多资金来扩大团队规模，并为DeepSeek购置更多算力和硬件。当你的第一个创 业项目进展顺利时，你就能更好地孵化第二个项目。"上海弈泰私募基金管理有限公司投资总监李明鸿 表示。 李明鸿估算，若按1%的管理费和20%的绩效费计算，该基金去年的亮眼表现可能为其创造了超过7亿美 元的收入。这一数字比DeepSeek据称用于开发其震撼市场的AI模型的不足600万美元预算高出几个数量 级。 凤凰网科技讯北京时间1月12日，据彭博社报道，DeepSeek创始人梁文锋旗下量化对冲基金去年取得了 超过50%的收益率，进一步充实了DeepSeek的潜在资金储备。尽管DeepSeek的支出远低于竞争对手，但 它已撼动了全球科技格局。 根据深圳市排排 ...

Core Insights - The article discusses the disconnect between the Federal Reserve's discussions on interest rate cuts and the actual market activities, particularly in the context of a $6.5 trillion balance sheet manipulation by the Fed [1] - It highlights how institutional investors, particularly hedge funds, are already positioning themselves in the oil futures market, indicating a proactive approach to market movements [3] - The article emphasizes the prevalence of algorithmic trading in the market, which accounts for 80% of trading volume, and how this impacts stock movements beyond traditional analysis [6][15] Group 1: Market Dynamics - The Federal Reserve's discussions on interest rate cuts are perceived as a facade while they manage a substantial balance sheet [1] - Institutional investors are leveraging quantitative models to anticipate market movements, as evidenced by their early positioning in oil futures [3] - The article critiques the reliance on traditional technical analysis in a market dominated by algorithmic trading, suggesting that understanding liquidity arbitrage is crucial [6][15] Group 2: Trading Behavior - The trading behavior of stocks is influenced by institutional inventory data, which reveals patterns that are not visible through conventional analysis [4][14] - The article illustrates that the market operates like a battlefield, where understanding the underlying dynamics is essential for success [14] - The mention of abnormal institutional inventory in treasury futures indicates a strategic approach to trading based on anticipated Federal Reserve actions [15]

◇ 作者：华安基金首席固收投资官 邹维娜 华安基金固收投资二部基金经理助理 肖乐鸣 ◇ 本文原载《债券》2025年11月刊 另外，债券收益率在下行至低位后波动率增加，金融机构利率风险管理难度上升。以我国中债-新综合财富（总值）指数（CBA00101.CS）为例，截至8月 上旬，该指数2025年的26周波动率与2021—2024年的中枢水平相比，由1%大幅提升至2%左右（见图1）。 参考日本、美国、德国等境外市场实践，当债券收益率大幅下行降至较低水平之后，往往进入时间较长的震荡阶段，甚至还会出现上行（见图2）。此时 金融机构需要更加重视利率风险管理。 摘 要 在低利率环境下，金融机构面临的债券投资诉求更为复杂，既要获取利率下行收益，又要防范利率上行风险。本文基于实践案例探讨了国债期货在债券投 资风险管理中的应用方法，发现在利率大幅上行阶段使用国债期货进行对冲可以显著降低损失，但持续对冲反而会降低风险收益比。因此，本文创新性地 提出采用量化对冲机制提高风险管理效果，并讨论了应用国债期货精细化管理久期缺口等风险的操作方法，以期助力金融机构控风险、御波动。 关键词 利率风险 国债期货 修正久期法 量化对冲 低利率环境 ...

- The report discusses the microstructure timing model, which evaluates market timing based on microstructure indicators such as informed trader activity. This model identifies market trends by analyzing the activity of informed traders, which is positively correlated with market performance. The report highlights that informed trader activity increased alongside the equity market's rise this week, indicating cautious optimism for the future[17][14] - The report also mentions the BARRA style factor model, which analyzes the performance of various style factors in the equity market. This week, fundamental factors showed reduced dispersion, with a preference for value over growth. High-beta stocks and those with strong short-term momentum outperformed, while small-cap stocks gained favor as large-cap factors retreated[24][25] - The report evaluates the turnover factor, which measures the impact of trading activity on stock performance. This week, the turnover factor showed a positive return of 0.2%, indicating that stocks with higher turnover rates performed better[25] - The momentum factor, which captures the tendency of stocks with strong recent performance to continue performing well, exhibited a significant positive return of 1.0% this week, reflecting strong market momentum[25] - The BP value factor, representing book-to-price ratio, showed a positive return of 0.1%, suggesting that stocks with higher book-to-price ratios were slightly favored by the market[25] - The non-linear size factor and size factor, which measure the impact of market capitalization on stock performance, both showed negative returns of -0.3% and -0.5%, respectively, indicating a shift in market preference towards smaller-cap stocks[25] - The report highlights that the microstructure timing model and style factor models suggest a favorable environment for quantitative strategies, with significant room for growth in quantitative private equity funds, estimated at an additional RMB 400-600 billion[14][24]

Core Insights - Square and Investment won the "Three-Year Golden Bull Quantitative Institution (Long/Short Hedge Strategy)" award at the "2025 High-Quality Development Conference of the Quantitative Industry and Financial Technology" held in Shanghai, recognizing its long-term stable strategy performance [1][3] Company Overview - Square and Investment, established in August 2015, has received over 70 prestigious awards, including the Golden Bull Award, since its inception [3] - The award coincides with the company's tenth anniversary, highlighting its "Ten Years of Strategy, Ten Years of Longevity" development achievements [3] Strategy and Operations - The company employs a five-in-one strategy development model encompassing data processing, factor mining, factor synthesis, portfolio optimization, and trading, based on over ten years of historical data [4] - The factor research is conducted using a "strong effectiveness + low correlation" quantitative standard, ensuring high quality and strong logical consistency while controlling for overfitting [4] - The portfolio construction relies on machine learning, primarily using day-ahead predictions supplemented by intraday predictions, optimizing the portfolio through a multi-model integration framework while adhering to strict risk control measures [4] Future Outlook - Square and Investment aims to continue its core values of "research-driven, pursuit of excellence," focusing on strategy innovation, technology upgrades, and risk control, while prioritizing investor interests and enhancing comprehensive service capabilities [4]

- The report discusses the concept of "microstructure rebalancing" in the A-share market, which has reached a critical point, suggesting that the recent market pullback is primarily due to the unwinding of quantitative hedging products, with limited downside potential in the future[1][4][14] - The report highlights the significant narrowing of the basis in the market, indicating that the impact of hedging product unwinding has been largely absorbed, and quantitative strategies are expected to shift towards identifying new entry points, potentially bringing incremental funds to small-cap stocks[3][13] - The report evaluates the performance of BARRA style factors, noting that fundamental factors remain divergent, with a preference for value over growth stocks, particularly high-dividend assets with EP value, and stocks with high investment and earnings quality, which are expected to deliver higher excess returns[25] - The report also mentions the performance of trading-related factors, indicating that both short-term momentum and long-term reversal stocks experienced significant pullbacks during the week, while high-volatility stocks showed some excess returns[25] - The report identifies that the market is currently transitioning from a phase of uniform upward movement to a phase of divergence and then to a phase of uniform downward expectations, driven by the microstructure rebalancing process[4][14] - The report suggests that the current market correction is an opportunity to increase positions in dividend ETFs and chemical ETFs, as the upward trend is expected to continue[1][11][14]

Group 1 - Two Sigma's index-enhanced strategy fund focusing on the CSI 500 index achieved a return of 52.5% in the first nine months of 2023, outperforming its benchmark by 23 percentage points [1] - The fund has an average annualized return of 20.8% since its establishment in 2023, and the firm raised over 1 billion RMB in new funding, pushing its asset management scale over 10 billion RMB [1] - Approximately 75% of the new funds will be allocated to the CSI 500 strategy fund, while the remaining 25% will go to another macro strategy fund, which has returned 11.6% in the first nine months of 2023 and 119.9% cumulatively since its launch in 2020 [1] Group 2 - Two Sigma is a quantitative hedge fund based on Wall Street, managing over $60 billion as of 2023, utilizing big data analysis and AI models across various asset classes [2] - The firm has faced management issues, including a model parameter tampering incident in 2022 that resulted in a $170 million loss for clients and a $90 million penalty from the SEC in 2024 [2] - Two Sigma's governance structure is undergoing reform following the exit of its two co-founders due to long-standing disagreements [2] Group 3 - Wu Jian, a former vice president at Two Sigma, was involved in the 2022 model parameter tampering incident and was later dismissed in 2024 after an internal investigation [2] - Wu Jian's salary in 2022 reportedly surged to $23.5 million (approximately 167 million RMB), which he showcased on social media, leading to industry discussions [3]

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].

Core Insights - In 2025, quantitative investment has become a key term in the capital market, with A-shares experiencing significant fluctuations and a transaction volume reaching trillions, leading to a doubling of the number of registered quantitative products compared to the previous year [1] - Square and Investment celebrates its tenth anniversary, marking a decade of growth and resilience in the quantitative investment sector, demonstrating the long-term effectiveness of quantitative methodologies in the Chinese market [1][3] Company Development - Square and Investment was founded in 2015 amidst skepticism about the suitability of quantitative investment for the Chinese market, but has since proven its strategies and delivered solid performance [1][3] - The company has maintained a consistent strategy framework while continuously iterating and evolving its methodologies, which has allowed it to create stable returns for investors [6][7] - The firm has experienced significant growth during market crises, leveraging its strategies and rigorous risk management to navigate challenges effectively [4][5] Strategy and Performance - The company primarily employs mid-to-low frequency strategies, with a current management scale of around 10 billion yuan, optimizing its capacity for returns [2][7] - Square and Investment has enhanced its computational power by approximately 2.3 times this year, enabling efficient testing of investment ideas and supporting robust research capabilities [7] - The firm emphasizes the importance of a solid risk management framework, which has evolved to include multi-dimensional risk assessments and a self-developed Bsim system for trade execution [6][9] Future Outlook - Looking ahead, Square and Investment aims to not only become a leader in China's quantitative investment space but also to establish itself globally [7][8] - The company is adapting to regulatory changes in the industry, focusing on sustainable alpha generation and reducing reliance on high-leverage strategies [8][9] - With the addition of new talent and a commitment to enhancing its research capabilities, Square and Investment is poised to navigate the evolving competitive landscape effectively [7][9]

Market Review - The A-share market saw all major broad-based indices rise, with the ChiNext Index, Sci-Tech 50, and SME Index leading gains at 7.74%, 7.49%, and 4.47% respectively, while the Shanghai Composite, CSI 1000, and CSI 300 lagged behind with returns of 0.84%, 1.03%, and 2.71% respectively [5][14] - The total net asset value of public funds reached a historical high of 35.08 trillion yuan as of the end of July 2025, an increase of 682.99 billion yuan compared to the end of June 2025 [11] - The central bank's net reverse repurchase operations amounted to 196.1 billion yuan, with a total of 22.731 trillion yuan in net open market operations [22][24] Fund Performance - Last week, newly established funds totaled 44, with a combined issuance scale of 27.205 billion yuan, showing an increase from the previous week [3] - Active equity, flexible allocation, and balanced mixed funds reported returns of 2.12%, 1.77%, and 1.51% respectively [33] - Year-to-date, active equity funds have performed the best with a median return of 25.09%, while flexible allocation and balanced mixed funds reported median returns of 19.08% and 10.88% respectively [36] Fund Issuance - A total of 46 funds were reported for issuance last week, including 9 FOFs and various ETFs focused on sectors such as new energy and technology [4][5] - This week, 42 funds are set to begin issuance, indicating a robust pipeline for new fund products [3] Central Huijin's ETF Holdings - Central Huijin's ETF investments reached 1.29 trillion yuan, covering 48 ETFs with a total holding of 383.5 billion shares [7] - The largest increases in holdings were seen in the Huatai-PB CSI 300 ETF, with an increase of 11.237 billion shares, followed by the Huaxia CSI 300 ETF and E Fund CSI 300 ETF [9][10] Industry Performance - The telecommunications, non-ferrous metals, and electronics sectors led the weekly gains with returns of 12.55%, 7.59%, and 5.94% respectively, while coal, transportation, and food and beverage sectors lagged with returns of -5.99%, 0.92%, and 1.21% [19][21] - Year-to-date, the telecommunications sector has shown the highest cumulative return of 62.57%, while the coal sector has the lowest at -5.99% [21] Bond Market - The central bank's net reverse repurchase operations and the downward trend in bond yields, except for the 10-year bonds, indicate a shift in the bond market dynamics [22][24] - The median premium rate for convertible bonds decreased to 23.78%, reflecting a reduction in market activity [28]