1、本篇报告观点基于量化模型及客观数据统计，存在模型失效风险。2、基金仓位监 测等模型结果由数理统计方法估算得到，与实际情况可能存在差异。3、测算偏差风 险，市场环境变化可能造成测算数据相较于实际数据偏离。 核心观点 A 股微观结构再平衡进入临界点，我们更倾向于判断本轮回调是量化对冲产品平仓， 结合微观结构再平衡过程达到新一阶段临界点所致，后市回调空间相对有限，后市建 议加仓红利 ETF、化工 ETF。 ❑ 如何理解本轮回调的底层逻辑？ 理解本轮调整的本质：不确定性上升。11 月 20 日美股在英伟达财报超预期催化 下显著高开，但最终反而在没有明显催化的情况下大幅收跌。对于下跌的原因， 主流解释包括：1、美国 9 月非农数据超预期，带来降息预期下修；2、英伟达财 报超预期并未能消除市场对 AI 泡沫的担忧。不过，一方面，当日短端利率反而 下行，市场并未定价降息预期下修，另一方面，即便英伟达财报无法证伪 AI 泡 沫担忧，至少其积极表述也不应加剧抛售。我们认为，本轮调整的本质在于经济 数据缺失带来的不确定性上升。由于 11 月非农数据的公布时间延后至 12 月 16 日，美联储无法在议息会议前获知经济的最新动态 ...

这样的投资成绩也迎来真金白银的认可。最新消息显示，在本月完成逾10亿人民币的募资后，Two Sigma在华机构——腾胜投资管理(上海)有限公司的资管规模正式超过100亿关口。 吴舰于2018年4月加入顶尖量化对冲基金Two Sigma，从量化研究员做起，三年时间不到就升任Two Sigma量化研究部的副总裁，2023年1月，工作不到五年的吴舰被提拔为高级副总裁。 知情人士透露，约四分之三的新募集资金将进入前述中证500策略基金，剩余25%将进入另一只宏观策 略基金。该宏观基金今年前9个月的回报为11.6%，从2020年启动以来的累计回报达到119.9%。 吴舰2023年曾在小红书"悄悄炫富"，并称"不敢发朋友圈，自己心态还是太年轻，想找个没人认识的地 方偷偷炫耀下......"。该帖子显示，其2022年的薪资相较往年出现暴涨，高达2350万美元(约合人民币 1.67亿元)。 据蓝鲸新闻此前报道，桥水基金于2019年在中国推出全天候增强型基金，成立以来每年都能录得正收 益。其中2024年的收益率达到37%，跻身全球对冲基金前十。稳定的超额表现，也使得桥水基金近两年 愈发抢手，甚至需要"配货"才能分到些许额度。桥 ...

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]

Core Insights - The overall market has been bullish over the past year, yet nearly 70% of quantitative hedge funds have reported negative unit net value growth [1] - Key factors contributing to the underperformance of quantitative hedge funds include rising hedging costs, insufficient style adaptability, liquidity pressures, and strategy homogeneity [1] - To broaden their sources of returns, many hedge funds are adjusting their allocation ratios flexibly based on hedging costs, while also enhancing the cost-effectiveness of their portfolios through strategies involving interest rate bonds, convertible bonds, and long equity positions [1]

Group 1: Structural Changes in Capital Markets - Global capital markets are undergoing structural changes as they approach the investment crossroads of 2025, with a focus on balancing portfolio stability and growth under the Federal Reserve's 4.25% benchmark interest rate policy [1] Group 2: Stock Market Opportunities - Intelligent manufacturing companies, represented by (9899.HK/3L8P9), are trading at a 40% premium over traditional manufacturing due to patented AI quality inspection systems [2] - In the renewable energy sector, (9899.HK/D4Q6M) has reduced sodium-ion battery production costs to 0.35 CNY/Wh, increasing the internal rate of return (IRR) for energy storage stations to 12.8% [2] - In the medical technology field, (9899.HK/7H3JY) received FDA breakthrough device designation for its brain-computer interface, leading to a 117% stock price increase over three months based on clinical trial data [2] - The biopharmaceutical sector's (9899.HK/5R9TX) AI drug screening platform has shortened new drug development cycles to 2.3 years, maintaining a high dynamic P/E ratio of 62 times [2] - In consumer electronics, (9899.HK/W2Z4K) achieved a yield rate of over 92% for flexible screens, securing a $3.5 billion order from a leading international manufacturer [2] - These innovation-driven stocks, including (9899.HK/A4B7C, 9899.HK/E8F3G, 9899.HK/J6K9L), form the main line of growth stock investment [2] Group 3: Bond Market Dynamics - The 10-year U.S. Treasury yield remains stable in the 3.8%-4.2% range, while (9899.HK/N5M2R) issued green bonds with a coupon rate of 5.75%, achieving a subscription multiple of 3.8 times, a new high [3] - The credit bond market shows a bifurcated landscape, with investment-grade bonds (e.g., 9899.HK/P4Q8S) seeing spreads narrow to 120 basis points, while high-yield bonds (e.g., 9899.HK/T7U1V) experience a default rate of 6.2% [3] - Among convertible bonds, (9899.HK/X3Y9Z) has seen a 22% decrease in option value due to reduced volatility of the underlying stock [3] Group 4: Gold Market Attributes - Spot gold fluctuates between $1950 and $2050 per ounce, showing a clear negative correlation with the holdings of (9899.HK/2D4F6) gold ETF [4] - Amid increased volatility in digital currencies, gold's hedging properties are highlighted, with a 47% surge in average daily trading volume for gold futures when Bitcoin experiences a single-day drop exceeding 15% [4] - On the industrial application front, (9899.HK/V8B3N) has developed a nano-gold catalyst that reduces hydrogen fuel cell costs by 28%, creating new demand growth opportunities [4] Group 5: Dynamic Asset Allocation Strategy - A "core + satellite" allocation strategy is recommended, with 60% in basic positions like (9899.HK/C5M8Q) broad-based ETFs, 20% in high-rated corporate bonds (e.g., 9899.HK/G2H7J), 10% in gold ETFs (e.g., 9899.HK/L4P9T), and 10% in frontier technology stocks (e.g., 9899.HK/Z9X3R) [5] - When the VIX index exceeds 25, it is advisable to increase gold allocation to 15% and reduce high-valuation stocks (e.g., 9899.HK/K8M2S) [5] - Investors should seek a balance between defensive assets (e.g., 9899.HK/R3T6Y) and growth stocks (e.g., 9899.HK/U8I2O) in the current market environment [5] - Monthly evaluations of portfolio volatility are suggested, with a rebalancing mechanism activated when 30-day annualized volatility exceeds 18%, utilizing quantitative hedging tools (e.g., 9899.HK/Y7H1J) to reduce risk exposure [5]

Group 1 - The A-share market is experiencing a strong performance, leading to an acceleration in the registration of foreign private equity funds in China [1] - Maideri Investment Management (Zhuhai Hengqin) Co., Ltd. has completed its registration as the 28th foreign-owned private securities investment fund manager in China, and the 5th this year [1] - Maideri Investment was established on March 26, 2019, with a registered capital of 3 million USD, and is fully owned by Metori Capital Management [1] Group 2 - The legal representative of Maideri Investment, Xie Wenjie, has over 20 years of experience in the financial industry, having worked for HSBC and Societe Generale in Hong Kong before joining Maideri [2] - This year, five foreign private equity firms have entered the Chinese market, bringing the total to 28 registered foreign-owned private securities investment fund managers [2] - As of now, 23 out of 28 foreign private equity firms have launched private fund products, totaling 83 products, with 18 new products registered this year [2] Group 3 - UBS Asset Management has been particularly active this year, registering 16 products, the highest among foreign private equity firms [3] - The investment outlook remains positive for risk assets and A-shares, driven by improved corporate earnings and stable economic activity [3] - The technology sector, particularly in 5G and consumer electronics, is viewed favorably for investment due to expected strong spending in these areas [3]

Group 1 - The core viewpoint of the news is the official launch of the Puyin Ansheng North Index 50 Component Index Fund, which is the only broad-based index on the Beijing Stock Exchange, selecting the top 50 securities based on market capitalization and liquidity [1][2] - The fund includes many specialized and innovative enterprises across emerging industries such as AI, humanoid robots, innovative pharmaceuticals, and new energy, showcasing both technological content and growth potential [1] - This launch signifies the deepening of Puyin Ansheng's "Global Sci-Tech Innovator" and "Index Family" brands, representing a significant move by financial institutions to implement technology finance initiatives [1] Group 2 - The North Index 50 Component Index Fund is part of Puyin Ansheng's strategic layout for index products, complementing existing index enhancement products and ETFs across major exchanges, thus achieving comprehensive tracking of various market segments [2] - This initiative further advances Puyin Ansheng's "Global Sci-Tech Innovator" brand by guiding long-term capital towards the main battlefield of technological innovation in the capital market, enhancing wealth management for residents, and sharing the dividends of China's "hard technology" development [2] - The fund enriches the "Index Family" product matrix, providing differentiated allocation tools for small and micro-cap growth styles, catering to investors' demand for high elasticity and high growth [1][2]

Core Viewpoint - In the first half of 2025, the popularity of quantitative trading continues to rise amid increased activity in small-cap stocks and market volatility, with a significant number of quantitative funds showing positive returns [1][3]. Group 1: Performance of Quantitative Funds - As of June 30, 2025, there are 1,258 quantitative funds with an average return of 4.72% and a median return of 3.74%, with 86.15% of these funds achieving positive returns [1]. - Among the three categories of public quantitative funds, active quantitative funds have the highest returns, with average and median returns of 7.5% and 5.91% respectively [1]. - Index-enhanced funds, while slightly lower in returns, have the highest proportion of positive returns at 92.09% [1]. Group 2: Top Performing Funds - The threshold for the top 10 index-enhanced quantitative funds is set at 18.77%, with all top 10 funds tracking small-cap stock indices [3]. - The top three funds in the index-enhanced category are managed by 创金合信基金, 招商基金, and 长盛基金 [3]. - The top-performing index-enhanced fund, 创金合信北证50成份指数增强A, achieved a return of 37.17% in the first half of 2025 [5]. Group 3: Active Quantitative Funds - The threshold for the top 10 active quantitative funds is the highest at 24.64%, with the top three funds managed by 诺安基金, 中加基金, and 汇安基金 [8]. - The leading active quantitative fund, 诺安多策略A, recorded a return of 40.62% [10]. - The second-ranked fund, 中加专精特新量化选股A, achieved a return of 35.55% [11]. Group 4: Quantitative Hedge Funds - The threshold for the top 10 quantitative hedge funds is 0.82%, with 中邮基金, 富国基金, and 申万菱信基金 managing the top three funds [12]. - 工银瑞信基金 has two funds listed among the top 10 [12].