Core Insights - The futures market has shown continuous growth in 2023, with total funds exceeding 1.9 trillion yuan, marking a historical high [1][3] - The market's ability to serve the real economy and enhance risk management has improved significantly, indicating a new stage of industry development [2] Market Size and Growth - The total funds in the futures market have rapidly increased since 2020, surpassing 1.9 trillion yuan in August 2023, with an expected year-end target of over 2 trillion yuan [3][4] - The cumulative trading volume reached 5.97 billion contracts and a trading value of 47.61 trillion yuan from January to August 2023, reflecting year-on-year growth of 21.7% and 22.9% respectively [4] Factors Driving Growth - Three main factors contributing to the record high in futures market funds include geopolitical and economic policy changes, capital market dynamics, and regulatory policies promoting market development [4] - The stable trading environment is indicated by a consistent trading-to-holding ratio of 0.77, suggesting rational market participation without excessive speculation [5] Asset Management Expansion - The scale of futures asset management has increased significantly, with private asset management products reaching 383.97 billion yuan by July 2025, a growth of over 22% from the previous year [5][6] - The demand for diversified investment solutions among high-net-worth individuals and institutional investors is driving the expansion of futures asset management [6][7] Future Outlook - The futures market is closely linked to the real economy, with increasing participation from industrial clients and financial institutions [7] - Continuous regulatory improvements and product innovations are expected to enhance the market's pricing and risk management capabilities [7][8] - The opening of capital markets and the expansion of foreign institutional participation are anticipated to boost market liquidity and pricing efficiency [7]

Quantitative Factors and Models Summary Quantitative Factors and Construction - **Factor Name**: BETA **Construction Idea**: Measures the sensitivity of a stock's returns to market returns, capturing systematic risk exposure [13][28] **Construction Process**: The BETA factor is calculated as the slope coefficient in a regression of a stock's returns against the market index returns over a specified period [13][28] **Evaluation**: This factor performed well during the week, indicating a positive contribution to portfolio returns [13][28] - **Factor Name**: Residual Volatility **Construction Idea**: Captures the idiosyncratic risk of a stock, independent of market movements [13][28] **Construction Process**: Residual volatility is derived from the standard deviation of the residuals in a regression of stock returns against market returns [13][28] **Evaluation**: This factor showed moderate positive performance during the week [13][28] - **Factor Name**: Momentum **Construction Idea**: Reflects the tendency of stocks with strong past performance to continue performing well in the short term [13][28] **Construction Process**: Momentum is calculated as the cumulative return of a stock over a specific look-back period, excluding the most recent month [13][28] **Evaluation**: This factor exhibited slight positive performance during the week [13][28] - **Factor Name**: Value **Construction Idea**: Measures the attractiveness of a stock based on its valuation metrics, such as price-to-earnings or price-to-book ratios [13][28] **Construction Process**: Value is computed using a weighted combination of valuation ratios, normalized across the universe of stocks [13][28] **Evaluation**: This factor underperformed during the week, indicating a negative contribution to portfolio returns [13][28] - **Factor Name**: Leverage **Construction Idea**: Represents the financial risk of a company based on its debt levels relative to equity [13][28] **Construction Process**: Leverage is calculated as the ratio of total debt to total equity for each stock [13][28] **Evaluation**: This factor showed slight negative performance during the week [13][28] - **Factor Name**: Size **Construction Idea**: Captures the performance difference between small-cap and large-cap stocks [13][28] **Construction Process**: Size is measured as the natural logarithm of a company's market capitalization [13][28] **Evaluation**: This factor significantly underperformed during the week, reflecting a preference for larger-cap stocks [13][28] Factor Backtesting Results - **BETA Factor**: Weekly return +0.27%, 1-year Sharpe ratio 2.74, 1-year maximum drawdown 5.40% [13][29] - **Residual Volatility Factor**: Weekly return +0.12%, 1-year Sharpe ratio -3.22, 1-year maximum drawdown 11.67% [13][29] - **Momentum Factor**: Weekly return +0.05%, 1-year Sharpe ratio 2.96, 1-year maximum drawdown 2.47% [13][29] - **Value Factor**: Weekly return -0.25%, 1-year Sharpe ratio -0.18, 1-year maximum drawdown 3.31% [13][29] - **Leverage Factor**: Weekly return -0.28%, 1-year Sharpe ratio 2.96, 1-year maximum drawdown 1.55% [13][29] - **Size Factor**: Weekly return -0.47%, 1-year Sharpe ratio -5.82, 1-year maximum drawdown 17.33% [13][29]

今年以来，量化私募因为稳定的业绩表现备受市场关注，不少管理人也是抓住时机招揽人才。 量化私募已经成为资管圈的重要人才高地，吸引众多海外机构顶尖人才回流。今年3月，世坤投资高级执行研 究总监兼中国区副总经理方壮熙，正式加盟国内量化机构宁波平方和投资管理合伙企业（有限合伙）（以下简 称"平方和投资"）。另据记者了解，梁劼在世坤时曾是方壮熙下属。 从今年上半年情况看，量化策略继续受到资金追捧。私募排排网数据显示，上半年备案量化私募产品2448只， 占到备案产品总量的44.83%，较去年上半年同比增幅67.10%，较去年下半年环比增幅116.45%。 百亿量化私募成为上半年私募产品备案主力。私募排排网数据显示，上半年共有1775家私募证券管理人有备案 产品。从管理人类型来看，其中主观私募高达1007家，占比56.73%。混合私募和量化私募分别有372家和331 家，分别占比20.96%和18.65%。另外有65家私募管理人类型不详。 从管理人规模来看，0—10亿元小规模私募管理人数量达1371家，占比为77.24%。10亿 元 —50亿 元 中等规模 私募管理人数量为276家，占比为15.55%。50亿 元 以上大规 ...