□本报记者 万宇 2023年，广东润达私募基金管理有限公司（简称"润达基金"）正式成立。两年多以来，润达基金形成了 主观与量化相结合的投研特色。近期，润达基金总经理王维等高管接受中国证券报记者采访时介绍，润 达基金已经形成自上而下与自下而上相结合的投研框架，擅长通过大类资产配置以及科学方法优化风险 调整后的收益，力争为投资者创造稳健的收益。 双向结合的选股方法 润达基金的多位核心成员都拥有头部基金公司或证券公司从业经历。例如，持有润达基金51%股权的苏 波是鹏华基金原副总裁，拥有超过25年的金融从业经验，他先后任职于南方基金、易方达基金、鹏华基 金等公司；润达基金总经理王维的从业轨迹围绕着量化投资与财富管理展开，曾任职于广发证券衍生品 业务部和财富管理部，还负责和运作过光大证券财富管理部"光大智慧金"资管项目；润达基金投资总监 赵维卿曾任万和证券权益投资部投资经理，负责过两只自营产品的投资运作。 多轮市场周期锤炼和多元策略组合交易等经历，铸就了润达基金自上而下与自下而上相结合的投研框 架，以及主观与量化相结合的投资特色。 在主观投资方面，润达基金构建了政策宏观面、产业中观层、微观基本面自上而下的研究框架。通过 ...

Global Capital Market Overview - The U.S. added 119,000 non-farm jobs in September, significantly exceeding the expected 51,000, but the unemployment rate rose to 4.4%, increasing market volatility regarding the Federal Reserve's interest rate cuts [1][5] - The U.S. dollar index increased by 0.87%, reaching a current level of 100.2, indicating the end of a weak dollar phase [1][5] - Global risk assets mostly declined, with equity markets experiencing significant drops, particularly in A-shares, Northbound 50, and Hang Seng Technology indices [1][5] Fund Flows - As of November 19, 2025, both domestic and foreign capital flowed into the Chinese stock market, with foreign capital inflows of $318 million and domestic inflows of $3.677 billion [2][10] - Overseas active funds saw an outflow of $301 million, while passive funds experienced an inflow of $619 million [2][10] - The U.S. equity market saw substantial inflows, particularly in technology and healthcare sectors, with a total of $11.8 billion entering the equity market [2][10] Valuation Metrics - As of November 21, 2025, the Shanghai Composite Index's valuation is at the 81.9 percentile over the past decade, second only to the S&P 500 and France's CAC40, but remains significantly lower than U.S. stocks in absolute terms [3][10] - The risk-adjusted return percentile for the S&P 500 decreased from 47% to 39%, while the Nasdaq's dropped from 46% to 35% [3][10] Market Sentiment Indicators - The S&P 500 closed at 6602.99, below the 20-day moving average, with an increase in implied volatility [4][10] - The put-call ratio for the S&P 500 decreased to 1.03 from 1.14, indicating a marginally more optimistic sentiment among investors [4][10] - In the A-share market, there was a significant increase in the open interest for call options on the CSI 300 index, reflecting high optimism for future market performance [4][10] Economic Data - The U.S. non-farm payrolls and unemployment rate data suggest a robust labor market, which may influence the Federal Reserve's interest rate decisions [5][10] - The probability of a 25 basis point rate cut in December rose to 71% from 44.4% the previous week, indicating increasing market expectations for monetary easing [5][10] - China's economic indicators show a weakening investment trend, but CPI and PPI are showing signs of marginal recovery, confirming further recovery signals [5][10]

Market Overview - The US added 119,000 non-farm jobs in September, significantly exceeding the expected 51,000, while the unemployment rate rose to 4.4%[3] - The US dollar index increased by 0.87% to 100.2, indicating the end of a weak dollar environment[3] - Global risk assets mostly declined, with significant drops in equity markets, particularly in A-shares and the Hang Seng Tech Index[3] Fund Flows - In the week ending November 19, 2025, foreign capital inflows into the Chinese stock market totaled $318 million, while domestic capital inflows reached $3.677 billion[3] - The US equity market saw a substantial inflow of $11.8 billion, while fixed income funds in the US attracted $10.99 billion[15] Valuation Metrics - As of November 21, 2025, the Shanghai Composite Index's valuation percentile was at 81.9%, second only to the S&P 500 and France's CAC40, but still significantly lower than US equities[3] - The risk-adjusted return percentile for the S&P 500 decreased from 47% to 39%, while the Nasdaq's dropped from 46% to 35%[3] Risk Sentiment - The S&P 500 closed at 6,602.99, below the 20-day moving average, with an implied volatility trend on the rise[3] - The put-call ratio for the S&P 500 decreased to 1.03 from 1.14, indicating a marginal increase in market optimism[3] Economic Data - The probability of a 25 basis point rate cut by the Federal Reserve in December rose to 71% from 44.4% the previous week, with an 80% chance of rates falling to 3.5%-3.75% by January 2026[3]

Core Viewpoint - The article highlights the strong performance of micro-cap stocks, particularly in the context of the Shanghai Composite Index's fluctuations around the 4000-point mark, indicating a growing market interest in this segment [2]. Group 1: Performance Comparison - Since 2010, the micro-cap stock index has outperformed major indices like the Shanghai 50, CSI 300, CSI 500, CSI 1000, and National 2000 in most years, except for 2017 and 2020 [2]. - The absolute performance data shows that in 2015, the micro-cap index surged by 229%, while the CSI 300 only increased by 6% [3]. - In 2023, the micro-cap index recorded a 50% increase, significantly outperforming other indices [3]. Group 2: Excess Returns Analysis - The excess returns of the micro-cap index are attributed to PB (Price-to-Book) recovery and the switching between high and low valuations [8]. - The report indicates that the contribution of trading frequency to excess returns is limited, while the profitability of micro-cap stocks does not significantly influence their overall returns [8]. - The strategy behind micro-cap stocks is characterized by a "reverse selection" feature, where stocks that have risen significantly are removed from the index, allowing for a systematic "buy low, sell high" approach [6]. Group 3: Trading Strategy Insights - The micro-cap index employs a mechanism that automatically executes a rebalancing strategy, enhancing its ability to capture structural reversal opportunities during market volatility [6]. - The trading environment for micro-cap stocks is influenced by both short-term trading and momentum strategies, which can amplify volatility during periods of liquidity tightening or systemic risk [8].

Core Insights - The article discusses the evolution of asset pricing theories and the need for a new approach to asset allocation that goes beyond traditional models, emphasizing the importance of risk-adjusted returns and dynamic risk management [2][10][25] Group 1: Traditional Asset Pricing Theories - Traditional asset pricing theories, such as the Capital Asset Pricing Model (CAPM), are based on strict assumptions like market efficiency and rational investors, which fail to explain market anomalies like momentum and value effects [2][4] - The limitations of these traditional theories were highlighted during financial crises, revealing their inadequacies in tail risk management [2][4] Group 2: New Asset Allocation Approach - The new approach focuses on systematically and proactively enhancing the risk-adjusted returns of investment portfolios rather than merely seeking absolute returns [2][4] - This shift represents a comprehensive innovation in philosophy and methodology, aiming for long-term and stable risk-return profiles within clearly defined risk budgets [2][4] Group 3: Dynamic Correlation and Risk Management - The article emphasizes that asset correlations are dynamic and can change with market conditions, making fixed historical correlation-based frameworks risky during crises [7][10] - Understanding the underlying logic of correlation changes is crucial, as traditional low-correlation "free lunch" strategies may diminish in effectiveness during market turmoil [10][12] Group 4: Investment Framework and Strategies - The investment framework proposed by the company is a three-dimensional model that incorporates technological advancements, new productivity measures, and narrative-driven investing [13][20] - The investment process is modularized into pre-investment, during-investment, and post-investment phases, each with specific goals and quantifiable standards to ensure systematic and disciplined operations [14][15] Group 5: Multi-Asset Investment Strategy - The newly launched multi-asset fund aims to provide a robust alternative to traditional fixed-income products by incorporating low-correlation assets like A-shares, U.S. stocks, gold, and bonds [16][18] - Statistical analysis shows that the probability of all four asset classes declining simultaneously is only 1.61%, indicating the effectiveness of low-correlation diversification [16] Group 6: Future of Asset Pricing - The future of asset pricing is seen as a transition from historical data reliance to a focus on understanding technological trends, industry changes, and collective human behavior [25] - The article concludes that continuous questioning and reflection on traditional beliefs are essential for adapting to new paradigms in asset pricing and investment strategies [25]

Group 1: Monetary Policy and Market Performance - The Federal Reserve lowered interest rates by 25 basis points, marking its first cut in nine months, which aligns with market expectations[4] - The Hang Seng Tech Index led global gains, rising by 5.1% during the week[4] - The 10-year U.S. Treasury yield increased by 8 basis points to 4.14%, while the U.S. dollar index remained stable at 97.7[4] Group 2: Capital Flows and Investment Trends - Domestic and foreign capital significantly flowed into the Chinese stock market, with domestic inflows of $31.03 billion and foreign inflows of $25.70 billion in the past week[19] - Overseas active funds saw a net outflow of $1.30 billion, while passive funds experienced an inflow of $27.00 billion[19] - In the U.S. equity market, there was a notable inflow of $591 billion, with $103.2 billion flowing into fixed income funds[16] Group 3: Valuation Metrics and Risk Assessment - The equity risk premium (ERP) for all A-shares increased from 46% to 47%[4] - The price-to-earnings (PE) ratio for the Shanghai Composite Index is at the 40th percentile historically, indicating potential for valuation recovery[16] - The risk-adjusted return percentile for the Shanghai Composite increased from 79% to 82%, while the S&P 500's decreased from 58% to 52%[4]

Global Asset Price Review - The US Treasury Secretary proposed the removal of Clause 899 from the tax bill, which is a controversial "capital tax" clause, leading to a waiver for US companies from certain taxes imposed by other countries [1][8] - Global geopolitical tensions have eased, resulting in a notable increase in equity markets while commodities generally declined [1][8] - As of June 27, 2025, the 10Y US Treasury yield decreased by 9 basis points to 4.29%, and the US dollar index remains below 100 at 97.3 [1][8] Global Fund Flows - Developed European equity funds experienced significant outflows, while Japan and emerging markets saw notable inflows [1][8] - In the past week, foreign capital flowed into the Chinese stock market while domestic capital saw outflows, with domestic outflows amounting to $380 million and foreign inflows of $997 million [1][8] - Active overseas funds withdrew from the Chinese stock market, while passive funds saw inflows, with active outflows of $538 million and passive inflows of $1.535 billion [1][8] Global Asset Valuation - The equity risk premium (ERP) for A-shares remains significantly higher than that of overseas markets, with the ERP percentile for the CSI 300 dropping 4 percentage points to 73% [1][8] - The ERP percentiles for the S&P 500, Dow Jones, and Nasdaq are at 4%, 2%, and 6% respectively, indicating a lower risk premium compared to A-shares [1][8] Global Asset Risk Indicators - The sentiment in the US stock market continues to improve, with the put/call ratio on June 27 dropping to 0.90 from 1.23 on June 23, indicating a more optimistic outlook [1][8] - In the A-share market, only 30% of CSI 300 constituent stocks are above their 5-day, 10-day, and 20-day moving averages, suggesting a weaker overall performance [1][8] Global Economic Data - The US Q1 GDP showed a contraction of -0.5%, indicating increasing economic pressure [1][8] - Federal Reserve Chairman Powell indicated expectations for monetary easing, with a 91.4% probability of a rate cut by September 2025 [1][8]

Global Asset Price Review - The Federal Reserve's decision to maintain interest rates aligns with market expectations, but it raised the forecast for the personal consumption expenditure price index from 2.7% to 3%, significantly above the long-term target of 2% [3][8] - Global equity markets mostly declined, with notable drops in European stocks. Specifically, the Nikkei 225 fell by 1.50%, while the Hang Seng Index decreased by 1.52% [3][8] - Commodity prices showed mixed results, with gold dropping by 1.98% and ICE Brent crude oil rising by 0.80% [3][12] Global Fund Flows - There was a significant inflow of funds into developed market equities, with U.S. equity funds receiving $37.1 billion and developed equity markets overall attracting $41.98 billion [3][14] - In terms of sector flows, U.S. equity funds saw inflows into energy, technology, and consumer sectors, while utilities and financials experienced outflows [3][14] - In China, both domestic and foreign funds flowed into the stock market, with domestic inflows of $1.887 billion and foreign inflows of $0.104 billion [3][14] Global Asset Valuation - The equity risk premium (ERP) for A-shares remains significantly higher than that of overseas markets, with the current ERP for the CSI 300 at 77% and the Shanghai Composite at 71% [3][8] - The ERP for major U.S. indices such as the S&P 500 and NASDAQ is considerably lower, at 4% and 6% respectively, indicating a more favorable valuation for A-shares [3][8] Global Economic Data - The Federal Reserve's increase in inflation expectations has raised concerns about re-inflation in the market. The Fed's economic forecast indicates a higher expected inflation rate for 2025-2027 [3][8] - Economic data from the U.S. shows signs of cooling, with both supply and demand indicators weakening, reflecting potential challenges for the economy [3][8]

Group 1 - The article discusses the launch of the "Family Office 100 People" interview series by Family Office Insight, aimed at exploring governance, operations, and asset allocation in the family office sector through in-depth conversations with industry veterans [1] - The interview features an industry practitioner, An Xu (pseudonym), who shares her investment journey, starting from strategic investments in internet giants to her current role in a family office focusing on global technology private equity [1][2] - An Xu emphasizes the importance of creating deep connections and real value in her career, highlighting the transformative impact of technology on everyday life [2][4] Group 2 - The investment philosophy of family offices is rooted in diversified asset allocation, contrasting with the more focused approach of strategic investments [7] - Family offices assess investment opportunities based on risk-adjusted returns and liquidity needs, rather than merely selecting the best asset class [7][9] - The unique perspective of family offices allows them to leverage insights from both primary and secondary markets, enhancing their investment decision-making [9] Group 3 - Artificial intelligence (AI) is a key focus area for family offices and their VC partners, with early-stage investments primarily centered on big data and algorithm applications [10] - The emergence of large language models (LLMs) has the potential to reshape knowledge acquisition and decision-making processes [10][12] - Family offices can quickly identify investment opportunities in the AI sector due to their ongoing communication with top fund managers and systematic industry tracking [13] Group 4 - Family offices are increasingly focusing on selecting emerging general partners (GPs) who are closer to the core venture capital ecosystem and can provide differentiated project sourcing [14] - The selection criteria for GPs include geographic proximity to innovation sources, quality of industry connections, and the ability to maintain independent, deep thinking amidst market noise [15][17][18] - The evolving landscape of venture capital in the U.S. presents both challenges and opportunities for family offices, necessitating a strategic approach to investment [20][21] Group 5 - The article highlights the shift in competitive advantage for family offices from capital scale to the ability to integrate scarce resources and top-tier investors [25] - Building a platform for aggregating quality GPs and employing diversified investment strategies is essential for achieving sustained excess returns [25]

Core Viewpoint - The surge in gold prices, which recently broke the $3420 mark, is attributed to a combination of factors including threats to the Federal Reserve's independence from Trump and the impact of his tariff policies on investor confidence in the U.S. economy [1][3]. Group 1: Gold Market Dynamics - Gold prices have increased over 30% this year, driven by a decline in confidence in the U.S. economy and rising demand from central banks [1][3]. - The dollar index has fallen to its lowest point in three years, contributing to the rise in gold prices, which surged nearly 9% following Trump's announcement of comprehensive tariffs [3]. - Citibank predicts that gold prices could reach $3500 in the next three months due to investment demand outpacing mining supply [3]. Group 2: Stock Market Performance - In contrast to gold, the U.S. stock market is experiencing a downturn, with the S&P 500 index down 11% since early 2025 and only a 5% increase over the past year [4]. - The volatility in nearly all assets, except gold, reflects investor anxiety and a disconnect between gold and stock market performance [4]. Group 3: Economic Signals and Investment Strategies - The rise in gold prices may signal economic warning signs, as the U.S. government faces challenges in fiscal sustainability and rising debt servicing costs [5]. - Investors are advised to monitor the dollar's performance, as future interest rates and core fundamentals will likely dictate currency movements [5]. - Despite the current market conditions, some analysts believe that stocks remain the best long-term investment, while gold serves as a diversification tool amid increasing market uncertainty [4][5].