"公募基金高质量发展之路"系列报道 国内量化基金的崛起，常被市场标签化为"微盘行情"的幸运儿。然而，深入研究国金量化多因子基金背 后的故事便会发现，这份持续五年的优胜业绩，远非单一风格红利所能概括。作为这只金牛基金的掌舵 人，国金基金量化投资中心总经理姚加红对此有着深刻的感触。 这份优秀的答卷，是团队前瞻布局人工智能、默默深耕技术的"慢功夫"结晶；是面对行业范式迁移 与"规模魔咒"时，保持战略定力、构建多元产品矩阵的理性回应；更是量化投资方法论在助力市场稳 定、改善持有人体验、赋能行业高质量发展进程中，一次扎实深入的实践。 国金量化多因子荣获第22届基金业金牛奖"五年期开放式股票型持续优胜金牛基金"，见证了一个团队凭 借远见与技术，在时代浪潮中踏出坚实足迹；也预示着当基金行业迈向高质量发展时，那些坚持理性、 专注创新、敬畏风险的量化力量，必将为行业发展注入持久动能。 姚加红，国金基金总经理助理兼量化投资中心总经理。11年投资管理经验。现任国金量化多策略、国金 量化多因子、国金中证A500指数增强、国金智远量化选股混合的基金经理。其管理的国金量化多因子 获第22届基金业金牛奖"五年期开放式股票型持续优胜金牛基金 ...

□本报记者 王宇露 姚加红，国金基金总经理助理兼量化投资中心总经理。11年投资管理经验。现任国金量化多策略、国金 量化多因子、国金中证A500指数增强、国金智远量化选股混合的基金经理。其管理的国金量化多因子 获第22届基金业金牛奖"五年期开放式股票型持续优胜金牛基金"奖项。 国内量化基金的崛起，常被市场标签化为"微盘行情"的幸运儿。然而，深入研究国金量化多因子基金背 后的故事便会发现，这份持续五年的优胜业绩，远非单一风格红利所能概括。作为这只金牛基金的掌舵 人，国金基金量化投资中心总经理姚加红对此有着深刻的感触。 这份优秀的答卷，是团队前瞻布局人工智能、默默深耕技术的"慢功夫"结晶；是面对行业范式迁移 与"规模魔咒"时，保持战略定力、构建多元产品矩阵的理性回应；更是量化投资方法论在助力市场稳 定、改善持有人体验、赋能行业高质量发展进程中，一次扎实深入的实践。 国金量化多因子荣获第22届基金业金牛奖"五年期开放式股票型持续优胜金牛基金"，见证了一个团队凭 借远见与技术，在时代浪潮中踏出坚实足迹；也预示着当基金行业迈向高质量发展时，那些坚持理性、 专注创新、敬畏风险的量化力量，必将为行业发展注入持久动能。 前瞻布 ...

Core Viewpoint - The rise of quantitative funds in China is attributed to a combination of foresight in artificial intelligence, a stable strategy framework, and a commitment to innovation and risk management, as exemplified by the success of the Guojin Quantitative Multi-Factor Fund, which won the 22nd Fund Industry Golden Bull Award for five-year performance [1][2][3]. Group 1: Strategic Development - The Guojin Quantitative team began focusing on artificial intelligence strategies between 2016 and 2020, distinguishing themselves from competitors who were primarily engaged in multi-factor frameworks and high-frequency trading [2]. - The team developed the MLP neural network model, which has significantly improved the efficiency of strategy iteration, reducing the time required for updates from one year to just one hour due to advancements in hardware and algorithms [2][3]. - The transition to public funds in 2020 was facilitated by the team's accumulated experience and a robust strategy framework that emphasizes data-driven results over traditional multi-factor models [3]. Group 2: Market Performance and Adaptation - The Guojin Quantitative Multi-Factor Fund performed exceptionally well from 2022 to 2023, benefiting from favorable market conditions and a focus on quantifying stock selection rather than subjective predictions [4][5]. - The team has implemented systematic upgrades to risk management in response to rapid growth in fund size, including strict standard deviation limits on style exposure and refined controls based on individual stock liquidity [4][5]. Group 3: Industry Evolution and Challenges - The Chinese quantitative investment industry has evolved from a niche market to a diverse landscape, with the rise of public quantitative products reflecting a shift in competitive advantages as private funds face diminishing returns from high-frequency strategies [5][6]. - The industry is experiencing a transition from a focus on high-frequency trading to a more comprehensive competition that includes data breadth, algorithm depth, computational power, strategy diversity, and refined risk control [5][6]. - Challenges such as the "scale curse" and potential strategy convergence pose risks to excess returns as management scales increase, necessitating a focus on unique strategies to maintain market diversity and reduce systemic risk [6][7]. Group 4: Future Outlook and Responsibilities - The industry is expected to play a crucial role in the high-quality development of the fund sector, with quantitative strategies acting as stabilizers in the market by absorbing volatility and providing liquidity [7][8]. - The importance of clear performance attribution in quantitative investment is emphasized, as it helps investors set realistic expectations and focus on long-term stable excess returns rather than short-term rankings [7][8]. - The call for a diverse ecosystem in the quantitative investment industry highlights the need for strategies that avoid homogenization, ensuring a healthy market environment and compliance with regulatory frameworks [8].

Core Viewpoint - The article discusses a customized investment strategy aimed at achieving an annualized return of 8%-12% through a diversified asset allocation model tailored to the specific financial profile and risk tolerance of an individual investor [4][9]. Group 1: Investment Strategy Overview - The investment strategy is based on a "60/30/10" model, allocating 60% to equities, 30% to bonds, and 10% to commodities [10][11]. - Historical data indicates that when the holding period exceeds three years, the probability of achieving positive returns from equity assets exceeds 85% [13]. Group 2: Asset Allocation Breakdown - The equity portion (60%) is divided into three pillars: global technology growth (30%), A-share "barbell strategy" (30%), and a defensive component (10%) in gold [14][15]. - The global technology growth pillar includes QDII funds focused on U.S. and Hong Kong tech stocks, specifically selecting two funds: Franklin Global Technology Internet Fund and GF Global Select Equity Fund [16][17]. - The A-share component employs a "dividend + quantitative" strategy, utilizing various funds to balance stability and market volatility [19][20]. Group 3: Fixed Income and Commodities - The fixed income portion (30%) serves as a "safety cushion," providing liquidity and positive returns regardless of market fluctuations [25]. - The gold allocation (10%) is justified as a hedge against currency devaluation and extreme risks, supported by ongoing central bank purchases and geopolitical tensions [29]. Group 4: Performance Management - The strategy emphasizes the importance of managing expectations, acknowledging potential drawdowns of 15%-20% in extreme market conditions [36]. - The investment approach includes regular portfolio reviews to ensure performance aligns with benchmarks and to make necessary adjustments [36]. Group 5: Conclusion - The article concludes that the key to successful investing lies not in predicting market movements but in establishing a resilient investment framework that diversifies across asset classes and geographies [38].

Group 1: Award Winners - The "Golden Bull Fund Management Company Award" was awarded to several companies including Dachen Fund Management Co., Ltd., Huatai-PB Fund Management Co., Ltd., and ICBC Credit Suisse Fund Management Co., Ltd. [1] - The "Active Equity Investment Golden Bull Fund Company Award" was given to Dachen Fund Management Co., Ltd., Huashang Fund Management Co., Ltd., and Guohai Franklin Fund Management Co., Ltd. [1] - The "Fixed Income Investment Golden Bull Fund Company Award" was awarded to Industrial Bank Fund Management Co., Ltd. and China Life Asset Management Co., Ltd. [1] Group 2: Continuous Excellence Awards - The "Continuous Excellence Golden Bull Fund" for seven-year open-end stock type was awarded to Dachen Gaoxin Stock Fund [1] - The "Continuous Excellence Golden Bull Fund" for five-year open-end stock type included Penghua Preferred Value Stock and Invesco Great Wall Growth Star Stock [2] - The "Continuous Excellence Golden Bull Fund" for seven-year open-end mixed type included Wanjiar Zhenxuan Mixed and Jiao Yin Trend Mixed [2] Group 3: Bond Fund Awards - The "Continuous Excellence Golden Bull Fund" for five-year open-end bond type included Penghua Fenglu Bond and Yinhua Credit Quarterly Bond [3] - The "Continuous Excellence Golden Bull Fund" for seven-year open-end bond type included Zhongyou Ruixin Enhanced Bond and Bank of China Zhaoli Bond [3]

Group 1 - The awards recognize outstanding fund management companies in various categories, including active equity investment, fixed income investment, global allocation, and passive investment [1] - Notable winners of the Active Equity Investment Bull Fund Company Award include Dachen Fund Management Co., Ltd. and Huashang Fund Management Co., Ltd. [1] - The Fixed Income Investment Bull Fund Company Award was awarded to Xinyi Fund Management Co., Ltd. and Guoshou Anbao Fund Management Co., Ltd. [1] Group 2 - The Long-term Return Bull Award was given to Dachen Fund Management Co., Ltd. and Guohai Franklin Fund Management Co., Ltd. [1] - The Seven-Year Open-End Stock Type Continuous Excellence Bull Fund includes Dachen Gaoxin Stock and CMB Quantitative Selected Stock Initiation Fund [1] - The Five-Year Open-End Mixed Type Continuous Excellence Bull Fund includes Dachen Innovation Growth Mixed (LOF) and other notable funds [2]

Core Viewpoint - The article analyzes three notable quantitative funds: China Merchants Quantitative Selection, Guojin Quantitative Multi-Factor, and Zhongjia Specialized and New, highlighting their distinct investment philosophies, strategies, and performance metrics [3]. Investment Style - China Merchants Fund's Wang Ping emphasizes a stable and balanced investment approach, focusing on multi-factor models to achieve excess returns while controlling deviations from benchmarks [4]. - Guojin Fund's Ma Fang and Yao Jiahong demonstrate a high sensitivity to market style changes, indicating a more aggressive and flexible strategy that captures factor premiums in varying market conditions [4]. - Zhongjia Fund's Lin Muchen targets the "specialized and new" theme, aiming to exploit excess returns in small-cap stocks, particularly when the market stabilizes [5]. Scale and Performance Trade-off - China Merchants Quantitative Selection's scale grew from approximately 3.4 billion to 6.3 billion RMB between the end of 2023 and Q3 2025, achieving a performance of 41.93% in 2025 [6]. - Guojin Quantitative Multi-Factor experienced significant fluctuations in scale, dropping from over 12.1 billion to 3 billion and then recovering to 6.3 billion, with a notable 50.09% annual return in 2025 [6]. - Zhongjia Specialized and New, as a new fund, grew from less than 0.1 billion to nearly 0.5 billion, achieving an impressive 63.12% performance in 2025 due to its small scale and flexibility [6]. Holdings Concentration - The analysis of industry concentration reveals the differing stock-picking styles of the fund managers, with Guojin Quantitative Multi-Factor showing the highest degree of industry dispersion [7][8]. Turnover Rate - Guojin Quantitative Multi-Factor exhibited a very high turnover rate, consistently above 600%, reflecting its active trading strategy to optimize factor exposure [12]. - China Merchants Quantitative Selection maintained a moderate turnover rate between 300% and 500%, aligning with its stable investment style [12]. - Zhongjia Specialized and New reached a turnover rate of 493% in the first half of 2025, indicating a high level of trading activity [12]. Performance and Risk Assessment - In 2025, China Merchants Quantitative Selection achieved a return of 41.93%, while Guojin Quantitative Multi-Factor and Zhongjia Specialized and New recorded returns of 50.09% and 63.12%, respectively [26]. - The maximum drawdown for Guojin Quantitative Multi-Factor was the highest among the three funds, indicating greater volatility [26]. Summary of Key Characteristics - Guojin Quantitative Multi-Factor is characterized as an extreme industry theme rotator, focusing heavily on specific sectors like new energy [36]. - China Merchants Quantitative Selection is described as a stable and balanced strategy fund, aiming for consistent excess returns across various market conditions [36]. - Zhongjia Specialized and New is noted for its focused strategy on small-cap growth, capitalizing on structural opportunities in the market [36].

Core Viewpoint - The recent trend of high-performing funds implementing purchase limits reflects a shift from a scale-oriented approach to a focus on investor returns, aiming to optimize long-term investment performance while protecting existing investors' interests [1][4][6]. Group 1: Fund Purchase Limits - Multiple high-performing funds have announced purchase limits, including the招商成长量化选股, which reduced its maximum single purchase amount from 200,000 to 20,000 yuan within a month due to high demand, achieving a year-to-date return of 26.16% as of August 14 [2]. - 中欧数字经济混合 and 长信国防军工量化混合 also implemented limits, with year-to-date returns of 75.44% and 37% respectively, indicating a broader trend among funds to restrict large inflows [3]. - As of mid-August, 31 funds with over 50% year-to-date returns were fully closed to new investments, while 69 funds had suspended large purchases [3]. Group 2: Reasons for Purchase Limits - Industry experts suggest that the limits are primarily to protect existing investors from the adverse effects of new capital inflows, which could force fund managers to invest at high net asset values, potentially diluting returns [4][5]. - The shift in strategy is also influenced by the capacity constraints of small-cap funds, which can suffer from increased trading costs and reduced excess returns when inflows exceed optimal levels [4][5]. Group 3: Industry Transformation - The trend of limiting purchases signals a transformation in the fund industry from a focus on scale to prioritizing investor returns, as emphasized by recent regulatory guidance aimed at promoting long-term stable returns for investors [6]. - Fund companies are increasingly recognizing the importance of maintaining performance stability and strategy effectiveness, which can be compromised by rapid growth in fund size [5][6].

Group 1 - The core viewpoint of the article highlights the performance of stock and mixed equity funds in July 2025, with a focus on the selection capabilities of these funds, particularly noting that Guojin Fund's products excelled in this regard [1][2]. - In July 2025, the A-share market saw significant growth, with the Shanghai Composite Index closing at 3573.21 points, reflecting a monthly increase of 3.74%, while the Shenzhen Component Index and the ChiNext Index rose by 5.20% and 8.14%, respectively [2]. - The trading volume in July reached record highs, with the Shanghai market exceeding 15.6 trillion yuan and the Shenzhen market surpassing 21.4 trillion yuan, both showing over 30% month-on-month growth [2]. Group 2 - The top three stock selection capability rankings for stock funds in July 2025 were led by Guojin Quantitative Multi-Factor Fund, followed by Baodao Wubai Zhihang Stock Fund and Fortune Medical Innovation Stock Fund, with scores of 100, 90.46, and 90.28, respectively [2][5]. - Guojin Quantitative Multi-Factor Fund aims to achieve superior investment returns through a multi-factor quantitative model while controlling risks effectively [3][6]. - Guojin Fund's quantitative investment team is composed of members with strong backgrounds in economics, management, mathematics, and computer science, utilizing artificial intelligence and machine learning for stock selection [6][7]. Group 3 - In the mixed equity fund category, Guojin Quantitative Selected Mixed Fund topped the selection capability rankings with a score of 100, attributed to enhanced compatibility of its quantitative strategies and risk models during the reporting period [6][8]. - The fund's investment strategy involves a "top-down" approach to stock selection, focusing on maintaining a close tracking of benchmarks while controlling operational risks [7]. - As of the end of Q2 2025, the top ten holdings of Guojin Quantitative Selected Mixed Fund accounted for only 15.42% of its total assets, indicating a diversified investment approach [7].

Market Review - The A-share market saw all major indices rise last week, with the CSI 1000, Shanghai Composite Index, and CSI 500 leading with returns of 2.51%, 2.11%, and 1.78% respectively, while the ChiNext, STAR 50, and CSI 300 lagged with returns of 0.49%, 0.65%, and 1.23% [1][14] - The total trading volume of major indices decreased last week, although the average daily trading volume over the past month was at a historical percentile level of 75%-100% [16][17] - In terms of industry performance, non-ferrous metals, machinery, and defense industries had the highest returns at 5.83%, 5.75%, and 5.24% respectively, while pharmaceuticals, consumer services, and computers had negative or minimal returns [19][21] Fund Performance - Active equity, flexible allocation, and balanced mixed funds had returns of 1.71%, 1.30%, and 1.29% respectively last week. Year-to-date, alternative funds performed the best with a median return of 14.99% [34][36] - The median excess return for index-enhanced funds was 0.14%, while quantitative hedge funds had a median return of 0.27%. Year-to-date, the excess median for index-enhanced funds was 3.95% [37] Fund Issuance - A total of 397.39 billion yuan was raised from new fund issuances last week, an increase from the previous week. The issuance included 117.59 billion yuan from equity funds, 28.73 billion yuan from mixed funds, and 251.08 billion yuan from bond funds [45][46] - 38 new funds entered the issuance phase last week, with 31 more expected to start this week [2] Central Bank Actions - As of last Friday, the central bank's net reverse repurchase was 536.5 billion yuan, with a total of 1.1267 trillion yuan in net open market operations [22][24] - The People's Bank of China has increased its gold reserves for nine consecutive months, with the official gold reserve reaching 7.396 million ounces, an increase of 60,000 ounces from the end of June [12] Fund Manager Changes - Last week, 41 fund companies reported changes in 79 fund managers, indicating a significant turnover in management [42]