市场环境对量化CTA策略有利 "波动本身并非风险，失控的波动才是风险。"知名CTA策略私募象限资产相关负责人，向中国证券报记 者揭示了当前市场环境下专业投资者的核心考量。近期商品市场并非呈现单一趋势性上涨或下跌，而是 在多个人气品种上呈现出典型的高波动特征。这背后是宏观预期分歧、产业供需错配与资金驱动等多个 维度的复杂博弈。 具体到品种，驱动逻辑各异。上海富钜私募首席投资官唐弢分析，黄金市场中长期配置逻辑未变，这主 要源于美联储降息周期与美元信用削弱等多个核心驱动因素，但因12月美联储降息预期降温，金价短期 可能高位宽幅震荡。碳酸锂市场因政策面的影响而大幅波动；多晶硅行情则由"反内卷"政策预期驱动， 在相关政策实质落地前，价格快速上涨的空间有限。 在此背景下，市场不确定性显著抬升，反而为擅长在波动中觅食的量化CTA策略创造了潜在机遇。象限 资产认为，当前多个品种持续的高波动状态，为量化CTA策略发挥其"波动率溢价捕获能力"提供了有利 环境。无论是趋势跟踪、截面多空抑或套利策略，均有望在价格大幅变动中捕捉超额收益。 市场中确实不乏敏锐的波段机会捕手。上海一家以深度基本面研究见长的主观CTA私募近期调整了策略 重 ...

近期，商品市场成为资金关注的焦点。黄金在历史高位震荡，碳酸锂经历"过山车"行情，有色金属板块 内部强弱分明……多个市场人气品种波动率显著攀升，为擅于捕捉价格变动的量化CTA策略提供了施展 身手的舞台。与此同时，今年量化CTA策略迎来显著业绩复苏。岁末将至，商品市场的高波动态势有望 延续，量化CTA策略的应对之道、配置价值与发展趋势成为市场关注的核心。 ● 本报记者 王辉 市场环境对量化CTA策略有利 "波动本身并非风险，失控的波动才是风险。"知名CTA策略私募象限资产相关负责人，向中国证券报记 者揭示了当前市场环境下专业投资者的核心考量。近期商品市场并非呈现单一趋势性上涨或下跌，而是 在多个人气品种上呈现出典型的高波动特征。这背后是宏观预期分歧、产业供需错配与资金驱动等多个 维度的复杂博弈。 具体到品种，驱动逻辑各异。上海富钜私募首席投资官唐弢分析，黄金市场中长期配置逻辑未变，这主 要源于美联储降息周期与美元信用削弱等多个核心驱动因素，但因12月美联储降息预期降温，金价短期 可能高位宽幅震荡。碳酸锂市场因政策面的影响而大幅波动；多晶硅行情则由"反内卷"政策预期驱动， 在相关政策实质落地前，价格快速上涨的空间有 ...

Core Insights - The global capital markets have entered a high volatility environment since October 2025, influenced by multiple factors, with rising risk aversion pushing international gold prices to new highs and significant corrections in China's high-tech stock market, while defensive sectors like consumer and dividend stocks have performed well [2] - The potential style shift in equity markets is a hot topic among investors, with short-term strong style shifts driven by A-share quarterly reports and seasonal effects, while long-term changes in China's investment paradigm require a new mindset to embrace changes and discover alpha opportunities [2][3] Market Environment - China is currently in a "low interest rate + major transformation" phase, where economic development relies on stabilizing employment and economic foundations while also driving growth through technological and cultural breakthroughs [3] - Both dividend and growth sectors are expected to benefit from this trend, with high-dividend companies attracting capital due to their stable cash flows and low-interest environments reducing financing costs for high-risk growth enterprises [3] Investment Strategy - The investment strategy proposed involves a "barbell strategy" combining dividend-themed products and technology-focused products, allowing investors to switch between aggressive and defensive positions based on risk appetite [3][4] - The focus on selecting quality companies with strong business models is emphasized, particularly those with clean balance sheets, effective ROE levels, and high growth potential to generate significant alpha [4] Sector Focus - In the growth technology sector, there is optimism about the development of the entertainment industry, including film, media, and gaming, driven by a shift from material to spiritual consumption in China and advancements in AIGC technology [4] - In the value dividend sector, avoiding "high dividend traps" is crucial, with a focus on leading companies with genuine competitive advantages and traditional industries capable of generating marginal growth [4] Fund Performance - The fund managed by the company, "Shangyin Future Life Flexible Allocation Mixed A," has shown impressive performance with a net value growth rate of 49.69% over the past year as of September 30, 2025, and has received multiple five-star ratings for its performance [6][7] - The fund's investment approach emphasizes diversification across different sectors and asset classes to adapt to the changing investment paradigm, moving away from a narrow focus on single sectors [6][10] Future Outlook - The Chinese risk assets represented by A-shares are expected to undergo a systematic revaluation, with industry rotation providing significant alpha opportunities in the fourth quarter, alongside a potential increase in valuation levels [7]

Group 1 - The A-share market has experienced significant growth over the past year, driven primarily by the technology sector, with major indices such as the North Exchange 50 Index and the Sci-Tech Innovation 50 Index showing substantial increases [1] - All 31 Shenwan first-level industry indices have risen, with telecommunications and electronics leading the gains, followed by computer, machinery, and media sectors, indicating a broad-based market rally [1] - The gaming industry is highlighted as a key area for AI technology application, with potential growth into a multi-billion or even trillion yuan market, prompting continued interest in gaming and media companies [1][2] Group 2 - The investment strategy of the company, termed the "new trend" investment framework, emphasizes capturing opportunities in both dividend and technology assets, utilizing a barbell strategy for portfolio allocation [2] - The current macroeconomic environment, characterized by low interest rates and loose monetary policy, enhances the attractiveness of high-dividend assets while also supporting the valuation of technology stocks [2] - The company focuses on dynamic investment perspectives, adapting to changes in both technology and dividend sectors, with an emphasis on cash flow and dividend growth [2] Group 3 - In stock selection, the company adheres to three core principles: clean balance sheets, high return on equity (ROE), and low valuations, ensuring financial quality remains a priority [3] - The investment philosophy is supported by a robust research team that enhances the company's ability to analyze macro trends and identify promising individual stocks through collaborative efforts [3] - The company has established a comprehensive research framework, including specialized teams for macro strategy, industry research, credit ratings, and quantitative analysis, facilitating effective information sharing and strategy alignment [3] Group 4 - The fund managed by the company, "Shangyin Future Life Flexible Allocation Mixed A," has shown impressive performance, with a net value growth rate of 86.97% over the past year, significantly outperforming its benchmark [4] - The fund's holdings reflect a proactive and flexible approach, with a notable shift in focus from electronics to media as the primary sector, aligning with market trends [4] - Future growth areas identified include gaming, electronic semiconductors, AI glasses, and tourism, while high-dividend low-valuation state-owned enterprises are also considered for investment [5]

Core Insights - In 2025, quantitative investment has become a key term in the capital market, with a significant increase in trading volume and the number of registered quantitative products doubling year-on-year [1] - Square and Investment celebrates its tenth anniversary, marking a decade of growth and resilience in the quantitative investment sector in China [1][6] - The founder, Lv Jieyong, emphasizes the effectiveness of quantitative methodologies in the Chinese market, showcasing the company's solid performance over the years [1][6] Company Development - Square and Investment was established in 2015 amidst skepticism about the suitability of quantitative investment for the Chinese market, but has since proven its long-term effectiveness [1][6] - The company has maintained a consistent strategy framework while continuously iterating and evolving its investment strategies over the past decade [10][11] - The firm currently manages around 10 billion yuan, benefiting from scale effects and focusing on mid-to-low frequency strategies [12][14] Industry Context - The quantitative investment industry has faced several crises, which have also presented opportunities for growth, as seen in the company's ability to thrive during market downturns [8][9] - The firm has adapted to regulatory changes, emphasizing the importance of solid alpha generation capabilities as arbitrage opportunities diminish [14][15] - The introduction of new regulations in July 2025 is expected to enhance the standardization of quantitative private equity management, aligning with the company's long-term strategy [14] Future Outlook - The company aims to become a leading player in the global quantitative investment landscape, aspiring to be "China's Renaissance" in this field [6][13] - The recent addition of partner Fang Zhuangxi is expected to enhance the firm's research capabilities and drive further innovation in factor and portfolio optimization [13][14] - Square and Investment is committed to maintaining a focus on steady and sustainable growth while leveraging its decade-long experience in the A-share market to navigate future challenges [15]

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]

Core Viewpoint - The article aims to demystify the jargon associated with quantitative investing, making it more accessible to a broader audience [2]. Group 1: Key Concepts in Quantitative Investing - Beta represents the market's earnings, while Alpha refers to the excess returns earned beyond the market, also known as "excess returns" [5]. - Factors are elements that influence the price movements of a stock [9]. - Fundamental factors are a series of quantitative indicators based on a company's financial and operational data [13]. - Technical factors are quantitative indicators derived from market trading behavior data, such as historical prices, trading volumes, and positions [16]. - Alternative factors are constructed using non-traditional, non-financial alternative data [20]. - Industry deviation, also known as risk exposure, indicates the extent to which a product's industry allocation differs from its benchmark index [22]. - Style drift occurs when a quantitative product's holdings significantly deviate from the benchmark index, leading to a mismatch between actual investment style and declared investment strategy [27].

Core Insights - The article emphasizes the importance of "long-termism" in the public fund industry, highlighting the need for fund managers to adhere to this principle to attract long-term capital and improve performance [1][10] - A small percentage of fund managers have maintained the same active equity fund for over 10 years, indicating a rarity of experienced managers in a rapidly changing industry [2][9] Group 1: Long-term Fund Managers - As of August 24, only about 120 fund managers, or 5% of those managing stock and mixed funds, have managed the same active equity fund for over 10 years [2][3] - Among those managing funds for over 14 years, only 14 managers exist, representing approximately 0.6% of the total [2][3] - The long-term performance of these managers is notable, with those managing for over 14 years achieving an average annualized return of 10.05% [2][3] Group 2: Performance of Notable Managers - Specific fund managers who have managed their funds for over 14 years include Zhu Shaoxing, Du Meng, and Yang Gu, with annualized returns exceeding 10% [3][4] - Zhu Shaoxing's fund has achieved a remarkable annualized return of 15.32% since its inception in November 2005 [3][6] - Du Meng's fund has an annualized return of 14.9%, benefiting from a focus on emerging industries and technological advancements [6][7] Group 3: Investment Strategies - Long-term managers exhibit unique qualities that enable them to navigate market cycles successfully, including a deep understanding of market changes and a commitment to continuous learning [9][10] - These managers often have mature investment philosophies and adhere to strict buy and sell criteria to avoid emotional trading [10] - The success of these managers is supported by robust research platforms and resources, allowing them to make informed investment decisions [10][11] Group 4: Industry Trends - The public fund industry is undergoing significant reforms influenced by policy changes and market dynamics, emphasizing the need for long-term investment strategies [10][11] - Fund companies are increasingly looking to international markets for inspiration, adopting a "long-distance running" investment culture [11]

Core Viewpoint - The forum highlighted the growth and innovation in the public fund ecosystem, emphasizing the importance of collaboration among various stakeholders to enhance wealth management services and product offerings [2][5][10]. Group 1: Forum Overview - The first public fund ecosystem summit organized by Founder Securities took place in Shanghai, attended by over 150 representatives from 61 public fund companies [1][2]. - Founder Securities' president, Jiang Zhijun, welcomed attendees and shared the company's achievements, including a research coverage of 31 industries and a financial product scale exceeding 100 billion, with ETF scale surpassing 24 billion, both reaching historical highs [4][5]. Group 2: Key Discussions - Taiwan Fubon Securities' chairman, Huang Zhaotang, discussed the rapid growth of actively managed ETFs globally, driven by the relaxation of semi-transparent investment portfolio disclosure [7]. - A roundtable discussion featured leaders from various financial institutions analyzing the development trends in wealth management and asset allocation in a low-interest-rate environment [10]. Group 3: Strategic Insights - Founder Securities' chief economist, Yan Xiang, summarized the characteristics of the U.S. public fund market, noting the increasing dominance of passive products and the declining importance of star funds and managers, suggesting opportunities for domestic public funds in broad-based and sector-specific products [14]. - The company aims to build a first-class public fund service system and has established a PMO organization to enhance collaboration and service quality [16][18]. Group 4: Service Offerings - Founder Securities' wealth and product service system was presented, highlighting the growth in public equity distribution and the company's commitment to providing comprehensive services across fund issuance, ETF ecosystems, and institutional wealth management [18][19].

Summary of Key Points from the Conference Call Industry or Company Involved - Focus on low-attention micro-cap stocks, defined as stocks with low institutional interest and market capitalization around 5 billion [3][4] Core Insights and Arguments - The number of low-attention micro-cap stocks remains stable at approximately 1,500, with a higher proportion facing ST treatment (2%-4%) but showing potential for over 30% earnings growth, indicating both risks and opportunities [1][4] - Investing in low-attention micro-cap stocks offers advantages such as lower institutional crowding, which increases the likelihood of pricing discrepancies, leading to differentiated and excess returns, although fundamental risks and liquidity issues must be considered [1][5][7] - Selection criteria for low-attention micro-cap stocks include investability (average daily trading volume) and institutional interest (public fund ownership below 1%), along with analyst coverage [1][6][8] - Historical backtesting shows that low-attention stock pools outperform the CSI All Share Index during specific periods, particularly benefiting from small-cap beta and public funds' exploration of small-cap stocks [1][9] - Alpha extraction from low-attention stocks is more effective using price-volume factors (e.g., reversal, liquidity) compared to fundamental factors, especially when combined with event-driven strategies like equity incentive plans [1][11][12] - Event-driven signals, such as equity incentive plans, significantly enhance long-term stock performance in low-attention pools compared to high-attention stocks, indicating the importance of these events in capturing alpha [12][13][14] Other Important but Possibly Overlooked Content - Low-attention stocks have a median market capitalization of about 5 billion, while high-attention stocks typically exceed 10 billion [3] - The performance of low-attention stocks is closely tied to public fund investment breadth; better performance is observed when the number of stocks with public fund ownership above 1% increases [10] - The effectiveness of various factors in low-attention stocks differs from those in stocks over three years old, with investment activity factors showing higher significance [22][23] - The strategy for new stocks (defined as those listed for more than one year but less than three) shows a 27% return in the first half of 2025, indicating strong performance driven by opportunity identification [27] - The core elements of small-cap strategies include event-driven mechanisms and leveraging investment activity information to enhance performance [28][29]