根据私募排排网最新统计数据，9月份共有1028只私募证券基金完成备案，较8月份的1145只下降 10.22%，不过与去年同期相比，备案数量大幅增长171.24%。上述数据直观反映出当前私募市场整体活 跃度不断提升，以及资金对私募产品的配置热情持续回暖。 从一级策略类型来看，股票策略类私募基金依然占据主导地位。9月份备案的股票策略产品数量达到668 只，占当月备案总量的比重超过六成；多资产策略产品紧随其后，备案数量为155只；债券策略和期货 及衍生品策略产品备案数量相近，分别为71只和69只。 对于股票策略的强势表现，排排网集团旗下融智投资FOF基金经理李春瑜对《证券日报》记者表 示："随着权益市场逐步回暖，赚钱效应有所增强，投资者的市场信心得到有效提振，对权益类资产的 配置意愿也随之回升。同时，叠加政策层面持续支持科技创新与高端制造等领域，股票策略在挖掘产业 价值、把握结构性机会方面具备天然优势，能够更精准地捕捉到政策红利与产业升级带来的投资机会， 多重因素共同推动了此类产品备案数量始终保持在高位水平。" 在各类产品中，量化产品表现尤为活跃。9月份共有364只量化私募基金完成备案，占当月备案总量的比 重为35 ...

10月10日，记者从私募排排网获悉，截至9月30日，9月共有1028只私募证券产品完成备案，较8月的1145只环比下降10.22%，但相比 2024年同期的379只，同比大幅增长171.24%。 | | 9月备案私募量化产品按策略统计 | | | | --- | --- | --- | --- | | 一级策略 | 二级策略 | 产品数量 | 品 | | | 复合策略 | 30 | 8.24% | | 多资产策略 | 套利策略 | 8 | 2. 20% | | | 宏观策略 | l | 0. 27% | | 股票策略 | 量化多头 | 166 | 45.60% | | | 股票市场中性 | 69 | 18.96% | | | 股票多空 | 22 | 6.04% | | 期货及衍生品策略 | 量化 CTA | 45 | 12.36% | | | 期权策略 | 3 | 0. 82% | | 债券策略 | 转债交易策略 | 9 | 2. 47% | | | 债券复合策略 | 2 | 0. 55% | | | 纯债策略 | l | 0. 27% | | 组合基金 | FOF | 8 | 2. 20% | | 总计 | ...

证券研究报告 港股择时宏观框架与量化策略 ——跨境投资洞察系列报告之三 证券分析师 郭子睿 投资咨询资格编号：S1060520070003 任书康 投资咨询资格编号：S1060525050001 陈 瑶 投资咨询资格编号：S1060524120003 研究助理 2025年10月9日 高 越 一般从业资格编号：S1060124070014 请务必阅读正文后免责条款 主要观点 风险提示：1）历史数据梳理不构成投资建议；2）量化规律失效风险；3）策略回测风险；4）宏观环境剧烈变动风险。 1 港股市场概述。恒生综合指数、恒生指数等代表性指数聚焦于大市值公司，恒生综合指数平均市值略高于中证800，恒生指数平均市值介 于沪深300和上证50之间。A股、港股相对表现存在显著周期性波动，长期来看港股风险、收益水平整体低于A股，中证800下跌行情中恒 生指数具有一定抗跌属性，但部分上涨行情中港股也具有更好的进攻属性。AH股溢价受到美元指数周期的影响，美元指数下行有利于港 股市场上涨，促进AH股溢价回落。两地市场定价环境的差异是A股、港股相对表现的主导因素，对宏观环境的敏感性差异可能是重要原因。 港股宏观驱动因素。 1）海外宏观 ...

Core Insights - The A-share market has shown a strong performance in the fourth quarter, with the Shanghai Composite Index surpassing 3900 points, reaching a 10-year high [1] - The private equity market is experiencing a significant recovery, with an increase in client investment willingness and a surge in the number of product registrations by private fund managers [1][11] - The number of private equity managers is declining, leading to a concentration of assets among top players, indicating a trend of "the strong getting stronger" [1][9] Private Equity Market Overview - As of the end of September, there are over 7000 private equity fund managers and more than 80,000 products, with the total scale approaching 6 trillion yuan [2] - The private equity landscape is undergoing changes, including a decline in the number of managers, a concentration of resources among leading firms, and a reshuffling of the mid-tier [3][9] - Since 2015, the private equity market has faced several significant changes, including a rapid decline in the number of managers following market shocks and regulatory tightening [4][5][6] Trends in Private Equity Management - The number of private equity managers has decreased from over 9000 in 2021 to approximately 8109 by August 2024, indicating a continued trend of market "cleansing" [7][8] - Despite the overall market recovery, smaller private equity firms are facing challenges in fundraising and talent acquisition, leading to increased exits from the market [9][12] - The concentration of capital and talent is increasingly favoring larger private equity firms, while smaller firms struggle to meet compliance and profitability requirements [9][12] Growth of Large Private Equity Firms - The number of private equity firms managing over 10 billion yuan has been steadily increasing, with 94 such firms reported as of the end of September [1][11] - The growth in product registrations indicates that the remaining firms in the market are becoming more active and successful [11] - The emergence of firms with multiple large-scale private equity entities is notable, with several key players managing multiple billion-yuan firms [11][12] Strategy and Competition - The private equity market is increasingly divided between quantitative and subjective strategies, with quantitative strategies gaining a competitive edge [13][14] - The average scale of private equity firms has increased, reflecting both market opportunities and intensified competition [13] - Mixed strategies that combine quantitative and subjective approaches are emerging as a potential innovative direction for the industry [15][16] Future Outlook - The rise of AI and technological innovations in quantitative strategies is expected to further enhance the competitive landscape, favoring larger firms [15][16] - Smaller private equity firms are encouraged to adopt specialized and differentiated strategies to compete effectively against larger players [16] - Continuous improvement in research capabilities and risk management is essential for smaller firms to build investor trust and achieve sustainable growth [16]

90%百亿量化私募年内收益率超20%，而垫底的4家百亿主观私募年内收益率不足6%，包括投资大佬但 斌的东方港湾和林园的林园投资。 百亿私募阵营含"量"量持续提升，今年新增12家百亿量化私募。当前94家百亿私募中，投资模式为量化 的私募有45家，几乎占据半壁江山。 量化私募的快速崛起离不开量化策略今年以来的超额收益，根据私募排排网数据，今年1至8月，量化百 亿私募平均收益为29.45%，主观百亿私募平均收益为20.73%，量化私募整体收益率要比主观私募高近9 个点。 具体看，超90%百亿量化私募年内收益率超20%，最差收益也超10%。而百亿主观私募收益分化严重， 头部私募收益高达56.86%，而垫底的4家百亿主观私募年内收益率不足6%，包括投资大佬但斌的东方港 湾和林园的林园投资。 今年新增12家百亿量化私募 根据私募排排网数据，截至2025年9月19日，国内百亿私募数量已增至94家，较2024年底的87家实现显 著扩容。这一增长态势背后，量化私募的强势崛起成为最突出的行业特征。当前94家百亿私募中，投资 模式为量化的私募有45家，几乎占据半壁江山。 与2024年底的格局相比，量化、主观、混合型（"主观+量化" ...

Group 1 - The convertible bond market experienced a slight increase of 0.6% in September, following a 2% rise in the stock market, with high valuations suppressing performance and significant outflows from ETFs [3][5][10] - The semiconductor, optical communication, humanoid robots, and lithium battery sectors showed rapid rotation, indicating a highly structural market [3][5][10] - The convertible bond ETF scale decreased by 6.2% to 70 billion, reflecting a net outflow trend throughout the month [3][8][10] Group 2 - The outlook for the convertible bond market suggests that high-priced varieties still have potential elasticity, although there are risks of correction [3][40] - The strategy for October emphasizes a balanced approach, focusing on mid-cap and large-cap growth stocks, with a preference for convertible bonds that are mid to high-priced [3][40][43] - Recommended convertible bond combinations for October include Hengyi Convertible Bond, Dazhong Convertible Bond, Hongfa Convertible Bond, and others [3][40] Group 3 - In September, the electronic and automotive sectors led the gains in convertible bonds, with increases of 6.5% and 6.4% respectively, while non-bank financials and banks saw declines [3][22][24] - The performance of high-priced convertible bonds was strong, with a year-to-date increase of 24.3%, while mid and low-priced bonds saw lower gains [3][31][32] - The convertible bond market showed a divergence in performance, with mid to low-rated bonds rising nearly 2%, while high-rated bonds fell by 2% [3][37]

短短一个月内，百亿私募阵营再度扩容。 据第三方机构私募排排网最新监测数据，截至9月29日，国内百亿级证券私募数量较8月底增加3家，总 数达到94家。值得注意的是，量化策略百亿私募的数量，继续领先于主观策略百亿私募。 3家知名私募晋级百亿行列 相关监测数据显示，此次晋级的百亿级私募机构分别是上海正瀛资产管理有限公司（正瀛资产）、上海 开思私募基金管理有限公司（开思私募）和深圳市红筹投资有限公司（红筹投资）。 正瀛资产成立于2015年，是国内最早参与场内期权市场的投资机构，也是期权波动率交易领域的领跑 者。公司主要以主观和量化结合的方式，以更好洞悉市场、管理风险，努力为投资者带来长期稳健的投 资回报。 开思私募是一家主观多头的证券类私募基金管理人，专注于研究及通过港股通投资在香港上市的优秀公 司。开思私募成立于2009年，于2016年通过基金业协会"私募证券投资基金管理人"的登记，并在国内开 展私募基金管理业务。 红筹投资成立于1997年，坐落于深圳蛇口。公司于2014年5月完成基金业协会私募投资基金管理人备 案，以二级证券市场投资为主。红筹投资坚持"善意、包容、团结、守信"的企业价值文化，20多年来长 期看多中 ...

◇ 作者：银河证券FICC业务总部高级交易经理 彭鹏 银河证券FICC业务总部债券投资部负责人 任红博 清华大学统计与数据科学系博士研究生 徐墨姝 ◇ 本文原载《债券》2025年8月刊 摘 要 进入2025年，低波动性成为债市的典型特征，客观上限制了传统趋势交易策略的收益空间。本文从债市收益率的约束因素等方面分 析了市场低波的成因，提出量化策略交易和中性策略交易是应对低波市场、进行收益增强的可行破局之法。对于量化策略交易，通 过构建波动率因子模型，验证其在低波环境下的预测能力及盈利能力，并提出优化方向。对于中性策略交易，通过案例介绍基差、 期限利差及新老券利差等经典中性交易策略的应用方法，并基于实证说明其可以有效博取超额收益。 关键词 低波动性 量化策略 中性策略 波动率因子 2025年初，我国债市处于收益率较低阶段。在持续的资金价格走高和持有票息为负（负Carry）的压力下，债市在2—3月出现调 整，波动率上升。4月，美方单边施压制造关税摩擦，债市收益率下行，波动率随之显著降低并接近2021年下半年以来的低点，位 于10%分位数以下（见图1）。在债市进入低利率时期的同时，低波动性（以下简称"低波"）也成为市 ...

Group 1 - The article presents a series of reports focused on asset allocation strategies under various economic conditions, emphasizing the importance of macroeconomic factors in investment decisions [2][3] - It outlines multiple thematic reports, including those on industry rotation strategies, risk premium perspectives, and macroeconomic indicators, which are crucial for optimizing asset allocation [2][3] - The reports cover a wide range of topics, such as the impact of economic cycles on asset pricing, the effectiveness of Smart Beta strategies, and the analysis of historical patterns in interest rate cycles [2][3] Group 2 - The article highlights the significance of industry rotation strategies, detailing methods for selecting industries based on economic cycles, valuation reversals, and price momentum [3] - It discusses the application of quantitative models in industry configuration, focusing on factors like profitability and momentum as key determinants for successful industry selection [3] - The reports also explore the relationship between macroeconomic trends and industry performance, providing insights into how to capitalize on cyclical opportunities within various sectors [3]

Core Viewpoint - The A-share market is experiencing a volatile atmosphere as it hovers above 3800 points, creating a dilemma for investors between exiting the market and holding onto positions, with "fixed income +" products offering a balanced approach for both offensive and defensive strategies [1] Investment Strategy - "Fixed income +" products operate on a mechanism of "fixed income as a base, equity as an enhancement," supported by a diversified asset allocation system [1] - The focus is on the methodology of how to enhance returns rather than just the type of assets involved [2] Fund Management Approach - Fund manager Feng Fan employs a combination of "portfolio management + quantitative methods," emphasizing a top-down approach to asset balance and risk control [3] - The Silver Hua Enhanced Income Bond Fund, managed by Feng Fan, aims for a "medium-high volatility fixed income +" strategy, targeting long-term risk-reward advantages rather than short-term performance [3][8] Performance Metrics - As of June 30, the Silver Hua Enhanced Income Bond A achieved a one-year cumulative return of 9.46%, outperforming its benchmark by 4.36%, ranking in the top 14% among similar funds [3] Transition to Quantitative Strategies - Feng Fan transitioned from active management to quantitative strategies, aiming to reduce reliance on subjective views and enhance the sustainability of returns [8] - The strategy includes a systematic approach to stock selection and bond investment, focusing on risk-reward asymmetry [9][10] Tactical Asset Allocation Principles - Feng Fan's tactical asset allocation is guided by three principles: matching current macro conditions rather than predicting them, utilizing multi-asset strategies for synergy, and implementing contrarian moves during extreme market pessimism [11][12] - A scoring framework based on win rates and odds is used to assess macroeconomic conditions and asset pricing, updated monthly but providing clear signals only a few times a year [13] Conclusion - The application of quantitative strategies is rooted in an understanding of active investment, aiming for a structured and rule-based expression of investment methodologies [14] - Feng Fan emphasizes the importance of maintaining an open mindset and effective diligence for continuous improvement in investment practices [15][16]