报告摘要 量化市场跟踪 点击注册小程序 查看完整报告 特别申明： 本订阅号中所涉及的证券研究信息由光大证券研究所编写，仅面向光大证券专业投资者客户，用作新媒体形势下研究 信息和研究观点的沟通交流。非光大证券专业投资者客户，请勿订阅、接收或使用本订阅号中的任何信息。本订阅号 难以设置访问权限，若给您造成不便，敬请谅解。光大证券研究所不会因关注、收到或阅读本订阅号推送内容而视相 关人员为光大证券的客户。 沪深300股票池中，本周表现较好的因子有5日平均换手率(4.90%)、换手率相对波动率(4.59%)、单季度营 业收入同比增长率(3.92%),表现较差的因子有动量调整大单(-1.11%)、ROA稳定性(-1.15%)、ROE稳定性 (-1.43%)。 中证500股票池中，本周表现较好的因子有毛利率TTM(1.29%)、单季度净利润同比增长率(1.09%)、总资 产增长率(0.81%),表现较差的因子有市净率因子(-3.51%)、市盈率TTM倒数(-4.06%)、市盈率因子 (-4.69%)。 流动性1500股票池中，本周表现较好的因子有毛利率TTM(2.17%)、单季度营业收入同比增长率(2.14%)、 单季度 ...

证券研究报告·金融工程·金工专题报告 金工专题报告 20260110 深度学习系列之一：AI 重塑量化，基于大语 言模型驱动的因子改进与情绪 Alpha 挖掘 2026 年 01 月 10 日 ◼ 风险提示： 东吴证券研究所 2 / 106 请务必阅读正文之后的免责声明部分 证券分析师 于明明 执业证书：S0600525120002 yumm@dwzq.com.en 东吴证券研究所 1 / 106 请务必阅读正文之后的免责声明部分 [Table_Tag] [Table_Summary] ◼ 本文是深度学习系列报告第一篇。本文系统性地构建了一套基于大语言 模型（LLM）与提示工程（Prompt Engineering）的自动化因子研究框架， 旨在探索 AI 在量化投资全链条中的应用潜力。本文首先在低频量价因 子领域，通过人机交互的迭代循环，实现了对经典 Alpha158 因子库的 深度优化，并进一步从"优化"范式升级为"生成"范式。随后，该自 动化框架被成功迁移并应用于基本面和高频数据领域，系统性地挖掘并 扩充了传统因子库，验证了 AI 在多数据源、多频率场景下的因子发现 能力。最后，本文探索了 AI 在非结构 ...

2026 年 1 月 10 日 总量研究 市场大市值风格占优，反转效应显著 ——量化组合跟踪周报 20260110 要点 量化市场跟踪 大类因子表现：本周（2026.01.05-2026.01.09，下同），beta 因子、残差波动 率因子、规模因子获得正收益（1.07%、1.02%和 0.59%），动量因子获得显著 负收益（-1.08%），市场大市值风格占优、反转效应显著。 单因子表现：沪深 300 股票池中，本周表现较好的因子有 5 日平均换手率 (4.90%)、换手率相对波动率(4.59%)、单季度营业收入同比增长率(3.92%),表现 较差的因子有动量调整大单(-1.11%)、ROA 稳定性(-1.15%)、ROE 稳定性 (-1.43%)。 中证 500 股票池中，本周表现较好的因子有毛利率 TTM(1.29%)、单季度净利润 同比增长率(1.09%)、总资产增长率(0.81%),表现较差的因子有市净率因子 (-3.51%)、市盈率 TTM 倒数(-4.06%)、市盈率因子(-4.69%)。 流动性 1500 股票池中，本周表现较好的因子有毛利率 TTM(2.17%)、单季度营 业收入同比增长率(2 ...

Core Insights - In 2025, the private securities product registration surged, with a total of 12,645 products registered, marking a 99.54% increase from 6,337 in 2024 [2] - Equity strategies remain the preferred choice for private equity firms, with 8,328 equity strategy products registered, accounting for 65.86% of all registered products, indicating strong investor enthusiasm for equity assets [2] Group 1: Strategy Performance - Multi-asset strategies and futures/derivatives strategies ranked second and third in registration numbers, with 1,806 and 1,274 products respectively, representing 14.28% and 10.08% of the total [4] - Bond strategies and combination funds had 492 and 512 products registered, making up 3.89% and 4.05% respectively, contributing to a diversified strategy landscape [4] Group 2: Quantitative Products - Quantitative products showed remarkable growth, with 5,617 products registered in 2025, a 114.31% increase from 2,621 in 2024, and accounting for 44.42% of total registrations [4][5] - Within quantitative equity strategies, the quantitative long strategy was the most prominent, with 2,746 products registered, representing 48.89% of the total quantitative products [5] Group 3: Market Trends - The private equity product registration exhibited a clear concentration trend, with 29 private equity firms registering at least 50 products, of which 26 were billion-yuan firms, indicating their dominance in the market [7] - Quantitative investment has become a strategic focus for leading firms, with 24 out of 29 firms employing quantitative strategies, highlighting the market's increasing recognition of quantitative approaches [8] Group 4: Future Outlook - The private securities industry is expected to continue its steady growth, driven by deepening capital market reforms and ongoing advancements in strategy innovation and risk management [11] - The industry is likely to evolve towards higher quality development, offering investors a more diverse range of asset allocation options as market ecosystems improve [11]

2025年量化策略有何突出表现？海南盛丰私募总经理林子洋表示，2025年中国量化投资行业取得显 著进展，超九成私募获得正超额，主要得益于强劲的市场贝塔和量化私募公司技术的进步与迭代。未来 挑战在于：若出现市场下跌或流动性减弱情况，将造成对策略能力与客户耐心的考验；同时阿尔法衰减 成为量化私募不可避免的核心问题，需要我们持续迭代模型来解决。当前AI已成为重要的辅助投研工 具，广泛应用于投研全流程中，未来须积极拥抱此类新技术，构建可持续的创新体系，以持续发掘α， 保持核心竞争力。 尚雅投资董事长石波指出，2023年开始的AI牛市，或许会有10年的周期，空间预计比互联网的空 间要快10倍、大10倍，中国有望诞生上万亿美元的AI公司。AI智能水平每提高一倍，上游就要增长10 倍，算力还是主要的投资方向。未来5年，中国数据中心的投资或会超过房地产投资。芯片行业或将会 超过手机行业。此外，今年是推理和物理模型的元年，AI Agent、自动驾驶和机器人会实现突破，机器 人经济或即将取代人类生产活动。 思达星汇总经理曹青青强调，2026年的市场核心看点将集中于科技和顺周期领域。具体来看，科技 领域的焦点正从美国向中国的应用端 ...

2026 年 01 月 09 日 金融工程研究团队 魏建榕（首席分析师） 证书编号：S0790519120001 傅开波（分析师） 证书编号：S0790520090003 高 鹏（分析师） 证书编号：S0790520090002 证书编号：S0790522030001 王志豪（分析师） 证书编号：S0790522070003 盛少成（分析师） 证书编号：S0790523060003 蒋 韬（分析师） 证书编号：S0790525070001 相关研究报告 苏俊豪（分析师） 证书编号：S0790522020001 胡亮勇（分析师） 《量化产品季度点评：300&500 增强 Q3 超额回撤，公募红利量化表现优 异》-2025.10.11 请务必参阅正文后面的信息披露和法律声明 1 / 12 量化产品季度点评：宽基增强 Q4 超额优秀，885001 增强产品备受关注 ——开源量化评论（116） | 魏建榕（分析师） | 高鹏（分析师） | | --- | --- | | weijianrong@kysec.cn | gaopeng@kysec.cn | | 证书编号：S0790519120001 | 证书编号：S07 ...

新华财经上海1月9日电 2025年，中国私募证券资产管理规模历史性突破7万亿元大关。市场稳步上行与 策略创新双轮驱动行业进阶，而市场与行业结构的不断细分、行业内竞争的日趋激烈、全球大环境的不 稳定，再加上AI技术普及带来的行业变革冲击，共同为行业发展提出了全新命题。 1月8日，由排排网集团主办，银河期货、方正证券、希施玛数科、中辉期货、私募排排网、国联期货协 办的第二十届私募基金发展论坛在深圳举行。本次论坛以"循光而行、星河万里"为主题，汇聚公募、私 募、券商等领域的前沿专家、行业领军者以及专业从业者，围绕AI赋能投资新范式、权益市场投资机 遇、CTA策略配置价值等核心议题展开深度交流，共探中国私募基金行业高质量发展的全新路径。 排排网基金销售公司总经理林丽在开幕致辞中表示："2025年是私募证券行业具有里程碑意义的一年， 全行业管理规模首次突破7万亿元大关，已成为私募行业增长的核心引擎。"林丽称，过去一年中，私募 行业展现出蓬勃活力：百亿私募阵营稳步扩大，行业盈利效应显著增强，产品备案数量也实现显著增 长。 展望未来，林丽认为，随着市场环境持续优化以及行业自身不断迭代升级，私募行业将朝着更加多元、 成熟的方 ...

2025年，私募证券产品掀起备案热潮。 引人注意的是，2025年量化产品备案表现尤为亮眼。 私募排排网数据显示，截至2025年12月31日，全年共计备案私募证券产品12645只（包含自主发行和担 任投顾的产品），较2024年的6337只环比增幅99.54%。 2025年量化私募备案产品共计5617只，较2024年的2621只增幅114.31%，另外2025年备案量化产品占到 总量的44.42%，较2024年的41.68%，亦有大幅提升。其中股票策略量化产品以4077只的数量占据主 导，占量化产品总数量的72.58%，彰显了量化股票策略的市场认可度。 分类型来看，股票策略依然是私募机构的首选方向。2025年备案股票策略私募产品8328只，占全部备案 产品的65.86%，占据绝对主导地位。 在量化股票策略的细分领域，量化多头策略表现最为突出，备案数量达2746只，占量化产品总数量的 48.89%，成为股票量化产品的核心发力点。股票市场中性策略备案1114只，占比19.83%，作为对冲市 场风险的重要工具，其较为稳定的收益特征受到求稳投资者的青睐；股票多空策略备案217只，占比 3.86%，虽然数量相对较少，但体现 ...

Core Viewpoint - In 2025, China's private securities asset management scale is expected to exceed 7 trillion yuan, marking a significant milestone for the industry, driven by market stability and strategic innovation [2][4][5]. Group 1: Industry Growth and Trends - The private equity industry has shown robust vitality, with the number of billion-yuan private equity firms steadily increasing and product registrations significantly rising [4][5]. - The future of the private equity industry is anticipated to be more diverse and mature, with a focus on sustainable growth as market conditions improve and the industry evolves [5][6]. Group 2: Forum Highlights - The 20th Private Fund Development Forum will take place on January 8, 2026, in Shenzhen, focusing on AI-enabled investment paradigms, equity market opportunities, and the value of CTA strategy allocation [2][5]. - Key speakers at the forum include industry leaders who will discuss trends in quantitative investment and the integration of AI in investment strategies [5][6]. Group 3: Investment Opportunities - In 2026, there is optimism for continued growth in stocks and gold, with expectations of further monetary policy easing and a potential bull market in A-shares [6][10]. - The forum will feature discussions on the performance of quantitative strategies, the impact of AI on investment, and the importance of CTA strategies in asset allocation [12][14]. Group 4: Collaborative Ecosystem - The forum includes a "Capital Connection Fair" to facilitate efficient resource matching between institutional investors and quality private equity firms, enhancing industry collaboration [14][16]. - The organizing company, 排排网集团, aims to strengthen communication between private fund managers, investors, and related institutions, contributing to the development of the private fund industry ecosystem [16][19].

Group 1 - The overall performance of A-share industries in 2025 is strong, with only two industries experiencing declines. The non-ferrous metals and telecommunications sectors lead with returns of 94.73% and 84.75%, respectively, while coal and food & beverage sectors decline by 5.27% and 9.69%, resulting in a performance gap of 104.43% between the best and worst performing sectors. The industry dispersion is at 23.4, the highest in the past five years, indicating a concentration of market funds in a few sectors like technology and precious metals [7][8][12] - The difficulty of stock selection at the individual level is significant, with the telecommunications sector showing a high dispersion of 90.66, double that of 2024, indicating a challenging environment for investors [12][13] - The public fund market shows a steady growth, with total fund size reaching nearly 37 trillion yuan. The proportion of equity funds has increased significantly, with alternative investment funds, QDII, FOF, and public REITs also experiencing growth. Notably, alternative investment funds focused on gold assets have more than doubled in size [16][20] Group 2 - In 2025, the ETF market reached a new historical high, with total assets surpassing 6 trillion yuan, an increase of 61.29% from the previous year. The number of ETFs also grew to 1,402, reflecting a significant transformation in investment methods and financial ecology [21][24] - The performance of various types of ETFs varied significantly, with all types recording average positive returns. The stock-type ETFs showed a performance gap of 163.61% between the best and worst performers, indicating a need for higher professional capabilities among investors [26][27] - The cross-border ETF market saw a doubling in size, growing from 4,242.26 billion yuan to 9,319.24 billion yuan, with industry theme funds receiving the majority of net inflows, highlighting the importance of thematic investments in the current market environment [42][43] Group 3 - The index-enhanced funds demonstrated significant excess returns, with an average net value growth rate of 32.5%, outperforming the CSI 300 index by 12.72 percentage points. The proportion of funds achieving positive excess returns is 77.3%, indicating a favorable performance compared to previous years [48][49]