全球市场正进入一个"波动更常态化"的阶段。汇率、利率、商品与权益资产的波动频率与幅度抬升，使 得"可交易的趋势段"与"结构性错价"同时增多。媒体与研究机构也多次指出：当宏观不确定性上升、跨 资产相关性发生变化时，宏观与系统化策略往往会迎来更肥沃的交易土壤，近期宏观对冲基金板块也被 认为正处在一段自 2008 年以来更强劲的表现窗口。 与此同时，系统化能力正在从"对冲基金的专属武器"变为"资管巨头的核心配置"。以贝莱德为例其正在 重塑旗舰量化/系统化平台，并推动 Systematic Total Alpha(STA)等体系，试图在与传统对冲基金巨头的 竞争中扩大系统化配置与数据驱动决策的比重。 先讲结论：公开市场里，"≥50%"的回报样本确实存在，但在不同市场与不同产品形态中，它往往意味 着完全不同的风险侧写。 在海外市场，一个极具代表性的例子是 ARK Innovation ETF(ARKK)在 2020 年录得 150%+ 的年度回 报；但同样在市场切换与估值收缩的环境里，它也曾在 2022 年出现约 -60% 量级的年度回撤级别。这 种强烈对比说明："高回报"本身并不稀奇，真正稀缺的是回撤与风险暴露是否可 ...

1. Report Industry Investment Rating - Not provided in the given content 2. Core Views of the Report - As of November 7, 2025, the top three best - performing strategies in terms of cumulative returns this year are CSI 2000 Index Enhancement (+59.70%), CSI 1000 Index Enhancement (+45.60%), and CSI 500 Index Enhancement (+40.64%); the worst - performing are Option Put - biased (+1.53%), Option Arbitrage - biased (+4.15%), and ETF Arbitrage (+4.16%). The top three in terms of excess performance are CSI 2000 Index Enhancement (+26.10%), CSI 1000 Index Enhancement (+19.31%), and Quantitative Stock Selection (+13.71%); the worst are CSI 300 Index Enhancement (+6.12%), CSI A500 Index Enhancement (+7.06%), and CSI 500 Index Enhancement (+12.94%) [6] - The equity prices of major Sino - US indices have reached the 90% quantile levels of the past five or even ten years, and the on - site trading enthusiasm for Sino - US equity assets still exists. A - share investors are optimistic about the prospects of China's Science and Technology Innovation Board. China maintains a low - interest - rate environment, while the US is in a relatively high - interest - rate environment. The overall core strategy β environment is unfavorable for pure long - only stock strategies but favorable for CTA trend strategies, arbitrage strategies, and hedging strategies [6] - It is recommended to gradually increase the allocation of CTA, with trend strategies as the main focus and cross - sectional and arbitrage strategies as supplements. The overall attitude towards long - only stock strategies is neutral to cautious, while the attitude towards stock hedging strategies (neutral strategies) is neutral to optimistic [6] 3. Summary by Relevant Catalogs 3.1 Core Strategy β Environment Tracking - **Sino - US Equity Assets**: Most Sino - US equity assets have reached the double 90% quantile levels. In terms of structural opportunities, it is recommended to overweight CSI 300, A500, and Hang Seng Tech and underweight CSI 500. The trading enthusiasm in the on - site market remains high, and A - share investors are optimistic about the prospects of China's Science and Technology Innovation Board [8][9][20] - **Sino - US Bond Assets**: China maintains a low - interest - rate environment, while the US is in a high - interest - rate environment. The trading attribute of China's bond market interest rate is stronger than the allocation attribute this year, and the US bond real interest rate remains high and is on a downward trend [21][29] - **Commodity Assets**: Except for precious metals and non - ferrous metals, commodities show obvious low - valuation characteristics. The market's attention to commodity assets remains undiminished [33][37] - **Sino - US Exchange Rate**: The RMB exchange rate has been in an appreciation range this year [39] 3.2 Private Equity Review - **Sub - strategy Monthly Performance Comparison**: As of November 7, 2025, the performance of different sub - strategies varies greatly. For example, in terms of cumulative returns this year, CSI 2000 Index Enhancement performs well, while Option Put - biased performs poorly [45] - **Major Index Monthly Performance Comparison**: As of November 7, 2025, the best - performing indices are the Micro - cap Index (+76.79%), ChiNext Index (+45.50%), and Science and Technology Innovation 50 Index (+38.99%); the worst - performing are CSI Dividend (+3.74%), CSI 300 (+17.53%), and Shanghai Composite Index (+17.57%) [48] 3.3 CTA Strategy Environment Tracking - **Commodity Futures Market**: Most commodity sector index net values and volatilities have declined. As of November 7, 2025, the average trading volume of commodity futures is 1.95 trillion yuan (a marginal decrease of 0.29 trillion yuan), the average open interest is 2.41 trillion yuan, and the average trading - to - open - interest ratio is 0.81, which is at a normal level [50][55] - **Stock Index Futures Market**: Most stock index futures indices have risen, and volatilities have generally declined. As of November 7, 2025, the average trading volume of stock index futures is 0.71 trillion yuan (a marginal decrease of 0.05 trillion yuan), the average open interest is 1.34 trillion yuan, and the average trading - to - open - interest ratio is 0.53, which is at a normal level [57][61] - **Treasury Bond Futures Market**: The net values of treasury bond futures indices have generally declined, and most volatilities have decreased. As of November 7, 2025, the average trading volume of treasury bond futures is 0.32 trillion yuan (a marginal decrease of 0.09 trillion yuan), the average open interest is 0.88 trillion yuan, and the average trading - to - open - interest ratio is 0.37, which is at a relatively low level [62][66] - **Short - and Medium - Term Cycle Strategy Market Environment**: Intra - day liquidity remains at a high level, and volatility has slightly declined [68] - **Long - and Medium - Term Cycle Strategy Market Environment**: The smoothness of trends has continued to decline, and volatility has continued to increase [70] 3.4 Stock Strategy Environment Tracking - **Major Broad - based Index Review**: Most broad - based indices have risen this week, and volatilities have generally declined. The short - term market activity is at a medium - to - high level and has increased marginally [74][77] - **Equity Industry Index Review**: This week, 61.3% of industries have achieved positive returns, and the Power Equipment sector leads the way. The top three industries in terms of weekly returns are Power Equipment (4.98%), Coal (4.52%), and Petroleum and Petrochemicals (4.47%); the bottom three are Medicine and Biology (- 2.40%), Computer (- 2.54%), and Beauty Care (- 3.10%) [80] - **Trading Congestion**: As of November 7, 2025, the trading heat of the TMT sector is 0.29 (a marginal decrease of 10.1%), in the lower range; the trading heat of sectors such as micro - caps is 0.12 (a marginal increase of 3.2%), in the normal range; the total market trading volume is 1.96 trillion yuan (a marginal decrease of 2.8%), in the extremely high range [84] - **Neutral and Index Enhancement Strategy Intra - day Alpha Environment Monitoring**: It is generally unfavorable for intra - day Alpha accumulation due to the net outflow of funds from the stock market this week [85][88] - **Neutral and Index Enhancement Strategy Trading - type Alpha Environment Monitoring**: It is generally favorable for trading - type Alpha accumulation as trading volume, margin trading balance, etc. are at relatively high levels [90][95] - **Neutral and Index Enhancement Strategy Holding - type Alpha Significance Environment Monitoring**: It is slightly unfavorable for Alpha accumulation as the stock style is the large - cap style and the proportion of stocks outperforming the market index is still relatively low [96][101] - **Stock Index Futures Market Review**: The basis of IF, IC, and IM has widened. The estimated impacts on the average returns of neutral products through different contract hedging methods vary [102][108] - **Option Market Review**: The implied volatility has generally declined this week, which is expected to be unfavorable for option buying and arbitrage strategies. The option sentiment dimension shows that the sentiment towards CSI 1000, CSI 300, and CSI 500 is generally bearish [110][114] - **Private Equity Index Enhancement Component Stock Decomposition**: The exposure to micro - caps has dropped to a safe level, and the quantitative selection shows a relatively high exposure to micro - caps [115]

Group 1: Core Views - The standard deviation of monthly price changes of individual stocks in the micro - cap index can reflect the deviation of individual stocks and the ability to obtain excess returns of the micro - cap index [1] - In an environment of increasing trading volume, the micro - cap index is more likely to obtain excess returns compared to the small - cap index, which is beneficial for private quantitative funds to expand their pricing power and makes the small - market - capitalization factor dominant [1]