盡2026 年年度策略报告 金融工程首席分析师：马普凡 金融工程分析师：吴金超 金融工程分析师：吴俊鹏 金融工程分析师：白拙朴 主动管理的价值发现与被动策略的配置升维 www.chinastock.com.cn 证券研究报告 请务必阅读正文最后的中国银河证券股份有限公司免责声明。 金融工程·年度策略报告 主动管理的价值发现与被动策略的配置升维 盡2026 年年度策略报告 2025 年 11 月 21 日 核心观点 分析师 马普凡 ：021-68597610 ：mapufan_yj@chinastock.com.cn 分析师登记编码：S盫盬目盫盰盭盭盫盯盫盫盫盭 吴金超 ：021-68597610 ：wujinchao_yj@chinastock.com.cn 分析师登记编码：S盫盬目盫盰盭目盫盳盫盫盫盭 吴俊鹏 ：010-80927631 ：wujunpeng_yj@chinastock.com.cn 分析师登记编码：S盫盬目盫盰盬盲盫直盫盫盫盬 白拙朴 ：baizhuopu_yj@chinastock.com.cn 分析师登记编码：S盫盬目盫盰盭盰盫盯盫盫盫目 研究助理：刘璐 ：liulu_yj@china ...

中经记者 罗辑 北京报道 随着A股持续向上，近一段时期，私募基金持续扩容。 私募排排网数据显示，截至2025年10月31日，百亿私募数量一举突破至113家，与9月底的96家相比，一 个月净增17家。这一扩容速度在私募行业发展历程中较为少见。 事实上，不仅私募行业正在活跃，近期公募基金规模也连创新高。远东资信高级研究员梁蕴兮就当前公 募、私募规模的持续增长展望称，这是我国权益市场活力提升的一个重要信号。 多位业内人士表示，国内百亿级私募机构数量出现显著增长是受多重因素推动。除了行业资源进一步向 头部集中的"马太效应"之外，股票市场整体表现强劲、私募行业整体业绩表现亮眼、行业监管环境不断 规范均推升了私募"百亿俱乐部"的扩容。从影响来看，今年以来不仅私募市场活跃度攀升，公募基金资 产净值、年度新发基金数量也创下新高。这背后有投资者信心的持续回暖，资金借私募、公募渠道持续 流入股市，从而进一步推动资本市场迈入长期持续的稳健发展。 市场活跃、监管有效施策推动头部私募崛起 具体来看，私募排排网数据显示，10月末百亿私募阵营合计较9月末净增17家，其中有18家私募机构在 10月踏入百亿阵营，1家从百亿规模中掉落。截至10 ...

Summary of the Research Report on Quantitative Strategies and Market Outlook Industry Overview - The report focuses on the A-share market and the performance of quantitative investment strategies in 2026, analyzing the cyclical shifts between "consensus" and "divergence" market conditions [2][3][10]. Key Insights and Arguments 1. **Market Environment and Strategy Effectiveness**: - The A-share market exhibits cyclical shifts between "consensus" and "divergence" conditions, which significantly influence the effectiveness of different investment strategies, particularly between active and quantitative strategies [2][10]. - The transition from "divergence" to "consensus" markets alters the sources of excess returns (Alpha), shifting from "cognitive Alpha" (deep fundamental analysis) to "trading Alpha" (short-term pricing inefficiencies) [2][9][12]. 2. **Institutional Holding Concentration**: - The report introduces "institutional holding concentration" as a key indicator linking macro market patterns to micro Alpha sources. Increased concentration indicates a shift towards "consensus" markets, while decreased concentration suggests a "divergence" market [2][3][31]. 3. **Market Concentration Outlook**: - The market is expected to enter a "central uplift platform period" in 2026, characterized by a return to historical average concentration levels, supported by the long-term trend of market institutionalization and a resurgence of incremental funds, particularly from ETFs [3][48][49]. - However, valuation constraints may limit the rapid ascent of market concentration, as both large-cap and small-cap valuations are currently at historical highs [3][50]. 4. **Investment Strategy Performance**: - In the anticipated "complex mainline market," both traditional quantitative and active strategies will face challenges. Strategies that effectively combine "depth" (through alternative data and machine learning) and "breadth" (systematic capture of rotation opportunities) are expected to perform better [3][52]. - The report maintains a relatively optimistic outlook for quantitative strategies in 2026, predicting they will outperform the average of active equity funds [3][54]. 5. **Market Sentiment and Timing**: - The report expresses a mid-term optimistic view for the A-share market in 2026, supported by various indicators such as valuation levels, market sentiment, and capital flows, which do not indicate extreme overheating [4][54]. Additional Important Content - **Risk Factors**: - The analysis is based on historical data, which may not be reliably repeated, posing a risk to the predictions made [4]. - **Market Dynamics**: - The report highlights the importance of understanding market dynamics, particularly the transition from "cognitive" to "trading" Alpha, as a critical factor in determining the future effectiveness of quantitative strategies [9][30]. - **Valuation Metrics**: - The report discusses the valuation metrics of major indices, indicating that both large-cap (CSI 300) and small-cap (CSI 1000) indices are at high valuation percentiles, which may affect future capital flows and market concentration [45][50]. This comprehensive analysis provides insights into the evolving landscape of the A-share market and the implications for quantitative investment strategies moving forward.

Group 1: Overview of Quantitative Funds - The report categorizes quantitative funds into three main types: active quantitative funds, index-enhanced quantitative funds, and hedging quantitative funds, each with distinct characteristics and advantages suitable for different trading needs [9]. Group 2: Active Quantitative Funds - As of October 31, 2025, there are 208 active quantitative funds tracking 17 indices, with 70 funds tracking the CSI 300 index, 54 funds tracking the CSI 500 index, and 37 funds tracking the CSI 800 index [16]. - In October 2025, active quantitative funds tracking the CSI 300 index achieved an average excess return of 0.2%, while those tracking the CSI 500 index achieved an average excess return of 1.2% [2][24]. - Among industry-themed funds, those tracking the Hang Seng A-share specialized new enterprises index, digital economy, and emerging growth index ranked highest in excess returns for October [34]. Group 3: Index-Enhanced Funds - There are 346 index-enhanced funds tracking 27 indices, with 64 funds tracking the CSI 500 index, 66 funds tracking the CSI 300 index, and 61 funds tracking the CSI A500 index as of October 31, 2025 [36]. - Funds tracking the CSI 500 index achieved an average excess return of 1.1% in October 2025, while those tracking the CSI 300 index achieved an average excess return of 0.5% [39][45]. Group 4: Hedging Quantitative Funds - In October 2025, hedging quantitative funds had an average absolute return of -0.01%, with net asset value volatility higher than the year-to-date average, while the maximum drawdown was lower than the year-to-date average [56].

Group 1: Fund Scale and Performance - The total net asset value of public funds reached 35.41 trillion yuan by the end of Q3 2025, an increase of 1.69 trillion yuan from the end of Q2 2025, with a quarterly growth of 2.65% in the A-share market [3][16]. - Non-monetary market fund scale reached 21.06 trillion yuan, up 1.56 trillion yuan from the previous quarter, representing a quarter-on-quarter increase of 8.02% and a year-on-year increase of 13.48% [3][16]. - Passive index bond funds led the growth with a scale of 1.82 trillion yuan, showing a quarter-on-quarter increase of 19.13% and a year-on-year increase of 80.38% [3][24]. Group 2: Active Equity Funds - As of the end of Q3 2025, there were 4,268 active equity funds with a total scale of 3.94 trillion yuan, reflecting a quarter-on-quarter increase of 1.06% and a year-on-year increase of 4.80% [4][25]. - The average holding ratio of active equity funds was 88.91%, with the top 10 holdings accounting for an average of 39.90% of the fund's net value, indicating a slight increase in concentration [4][27]. - The top ten fund companies accounted for 44.7% of the total active equity fund market, highlighting a significant concentration effect among leading firms [4][28]. Group 3: Fixed Income Plus Funds - By the end of Q3 2025, there were 1,631 fixed income plus funds with a total scale of 2.11 trillion yuan, with a notable increase in the number of funds in the medium and low elasticity categories [5][40]. - The market saw a significant increase in the allocation to electronic, power equipment and new energy, and non-ferrous metals sectors, with respective increases of 4.6%, 3.2%, and 3.0% in heavy positions [5][69]. - The top three fund companies managing fixed income plus funds were E Fund, Invesco Great Wall, and Fortune Fund, with E Fund managing over 237.2 billion yuan [5][46]. Group 4: FOF, ETF, QDII, and Quantitative Funds - As of Q3 2025, there were 518 FOF funds with a total scale of 1934.89 billion yuan, reflecting a quarter-on-quarter increase of 16.8% [6]. - The ETF market reached a total scale of 54,770.41 billion yuan, up 32.08% from Q2 2025 [6]. - The QDII market had 266 funds with a total scale of 740.3 billion yuan, indicating a quarter-on-quarter increase of 22.25% [6][24].

1. Report Industry Investment Rating No information provided in the report. 2. Core View of the Report The report focuses on the performance of the quantitative fund market, summarizing the performance of major indices and quantitative funds in the past week, the overall performance and distribution of different types of public - offering quantitative funds, and the top - performing quantitative funds this week. During the week from October 13th to October 17th, 2025, the A - share market declined across the board, while index - enhanced funds recorded positive excess returns [1][2][6]. 3. Summary by Directory 3.1 Near - Week Performance of Major Indices and Quantitative Funds - A - shares declined across the board. The one - week returns of the CSI 300, CSI 500, and CSI 1000 were - 2.22%, - 5.17%, and - 4.62% respectively [3][6]. - Both active quantitative and market - neutral funds recorded negative returns. Active quantitative funds fell by an average of 2.94%, and market - neutral funds fell by an average of 0.12%. All types of index - enhanced funds had negative absolute returns but slightly outperformed their corresponding indices. The CSI 300, CSI 500, CSI 1000, and other index - enhanced funds achieved excess returns of 0.05%, 0.81%, 0.57%, and 0.37% respectively [4][9]. 3.2 Performance of Different Types of Public - Offering Quantitative Funds - **CSI 300 Index - Enhanced Funds**: The one - week return was - 2.17%, with an excess return of 0.05%. The maximum drawdown was - 2.15%, and the excess maximum drawdown was - 0.36% [14]. - **CSI 500 Index - Enhanced Funds**: The one - week return was - 4.35%, with an excess return of 0.81%. The maximum drawdown was - 3.97%, and the excess maximum drawdown was - 0.27% [14]. - **CSI 1000 Index - Enhanced Funds**: The one - week return was - 4.06%, with an excess return of 0.57%. The maximum drawdown was - 3.74%, and the excess maximum drawdown was - 0.30% [15]. - **Other Index - Enhanced Funds**: The one - week return was - 3.73%, with an excess return of 0.37%. The maximum drawdown was - 3.68%, and the excess maximum drawdown was - 0.32% [15]. - **Active Quantitative Funds**: The one - week return was - 2.94%, and the maximum drawdown was - 2.95% [16]. - **Market - Neutral Funds**: The one - week return was - 0.12%, and the maximum drawdown was - 0.33% [16]. 3.3 Performance Distribution of Different Types of Public - Offering Quantitative Funds The report presents the performance trends of different types of public - offering quantitative funds in the past half - year, as well as the performance distribution in the past week and the past year. Index - enhanced funds show their excess return performance [17]. 3.4 High - Performing Funds of Different Types of Public - Offering Quantitative Funds - **CSI 300 Index - Enhanced High - Performing Funds**: The sample - mean one - week excess return was 0.05%. Western Securities CSI 300 Index - Enhanced had a one - week excess return of 1.04% [27]. - **CSI 500 Index - Enhanced High - Performing Funds**: The sample - mean one - week excess return was 0.81%. Shenwan Hongyuan CSI 500 Index - Enhanced had a one - week excess return of 3.46% [28]. - **CSI 1000 Index - Enhanced High - Performing Funds**: The sample - mean one - week excess return was 0.57%. Mingya CSI 1000 Index - Enhanced had a one - week excess return of 1.81% [29]. - **Other Index - Enhanced High - Performing Funds**: The sample - mean one - week excess return was 0.37%. Huashang Shanghai Science and Technology Innovation Board Composite Index - Enhanced had a one - week excess return of 2.18% [30]. - **Active Quantitative High - Performing Funds**: The sample - mean one - week return was - 2.94%. Tianzhi Core Growth had a one - week return of 3.76% [31]. - **Market - Neutral High - Performing Funds**: The sample - mean one - week return was - 0.12%. ICBC Absolute Return had a one - week return of 1.17% [32].

Core Viewpoint - The article discusses the evolution and current state of quantitative investing, highlighting key figures such as Edward Thorp, Jim Simons, and Tian Hanqing, and the advancements made by the Huatai-PineBridge quantitative team in China [1][2][3]. Group 1: Historical Development of Quantitative Investing - Edward Thorp, a professor at MIT, founded a hedge fund in 1969 that utilized automated trading to achieve significant market outperformance [1]. - Jim Simons further advanced quantitative investing, establishing a benchmark for the industry with his Renaissance Technologies fund, which generated substantial profits [1]. - The introduction of quantitative investing in China's A-share market began around 2010, led by Tian Hanqing, who combined global quantitative techniques with local market experience [1]. Group 2: Evolution of Huatai-PineBridge's Quantitative Strategies - After Tian Hanqing's retirement, the Huatai-PineBridge quantitative team, represented by Sheng Hao, continued to innovate and refine their strategies, evolving from a focus on fundamental quantitative methods to a more integrated approach combining fundamental factors, price-volume factors, and unstructured data [2][3]. Group 3: Establishing and Maintaining Probability Advantage - Edward Thorp's understanding of probability laid the foundation for quantitative investing, emphasizing the importance of a slight edge in probability to achieve long-term gains [5]. - The Huatai-PineBridge team has continuously worked to establish and maintain a probability advantage, adapting their multi-factor models to the evolving A-share market [5][9]. - Since 2012, the team has accumulated extensive practical experience with multi-factor models, optimizing them at an annual iteration rate exceeding 10% [5]. Group 4: Innovations in Data Utilization - The Huatai-PineBridge quantitative team has explored the application of natural language processing and developed their own large language model to enhance investment strategies [6]. - They have created tools to optimize stock selection and risk event filtering, leveraging advancements in AI and machine learning [6]. Group 5: Pursuit of Stable and Pure Alpha - The team emphasizes the importance of avoiding overfitting in statistical data and maintaining a proactive approach in model development [9][10]. - They implement strict risk-neutralization measures across different factors and models to mitigate volatility during market style shifts [10]. - The team aims to reduce factor correlation among models to enhance stability and performance across varying market conditions [10]. Group 6: Differentiated Strategies for Various Market Segments - Huatai-PineBridge's strategies are tailored to different market participants, recognizing that institutional investors benefit more from fundamental factors, while retail investors may find price-volume strategies more effective [11]. Group 7: Integration of Active Management and Quantitative Techniques - The article highlights the belief that active management and quantitative methods are not mutually exclusive, and their integration can yield superior investment outcomes [17][18]. - The Huatai-PineBridge team combines long-term logic with data-driven insights, ensuring that each factor included in their models is rigorously evaluated for its information content and relevance [14][15].

Core Viewpoint - The public fund industry is experiencing a significant increase in new fund issuance in the fourth quarter, driven by favorable macroeconomic conditions and supportive policies [1][2][3]. Group 1: New Fund Issuance - As of October, 94 new funds have been established, indicating a clear upward trend in new fund issuance [1]. - The issuance of new funds is crucial for the equity market as it directly influences the supply of funds [1]. Group 2: Policy Support - Regulatory bodies are emphasizing the importance of long-term investment and have simplified the approval process for new funds, enhancing issuance efficiency [1]. - Policies encouraging long-term capital inflow, such as increasing allocations from social security and pension funds to A-shares, create a favorable environment for new fund issuance [1]. Group 3: Market Attractiveness - The A-share market is becoming increasingly attractive due to improving corporate earnings and relatively low valuations compared to global markets [2]. - Structural opportunities in emerging industries like new energy, semiconductors, and biomedicine are providing investors with numerous high-quality investment targets [2]. - The ongoing internationalization of the A-share market and continuous foreign capital inflow are enhancing market activity and appeal [2]. Group 4: Product Innovation - The public fund industry is innovating continuously, introducing various fund types, including ETFs and quantitative funds, to meet diverse investor needs [3]. - Innovative fund products cater to different risk preferences and investment goals, stimulating new asset allocation demands and contributing to increased capital inflow into the A-share market [3]. Group 5: Outlook - The trend of new fund issuance is expected to continue in the fourth quarter, providing strong support for the stable development of the capital market and creating more investment opportunities for investors [3].

1. Report Industry Investment Rating There is no information about the report industry investment rating in the provided content. 2. Core View of the Report The report focuses on the performance of the quantitative fund market during the period from September 27 to October 10, 2025. During this period, the A - share market rose comprehensively, quantitative funds generally performed well, and the excess returns of index - enhanced funds rebounded [1][2][6]. 3. Summary by Relevant Catalogs 3.1 Main Index and Quantitative Fund Performance - A - shares rose comprehensively, with the yields of CSI 300, CSI 500, and CSI 1000 being 1.47%, 2.17%, and 1.84% respectively [3][6]. - Quantitative funds generally performed well, and the excess returns of index - enhanced funds rebounded. Active quantitative funds rose by an average of 1.43%. The CSI 300, CSI 500, and CSI 1000 index - enhanced funds recorded positive excess returns of 0.16%, 0.19%, and 0.25% respectively. Market - neutral funds rose by an average of 0.51% [4][9]. 3.2 Performance of Different Types of Public Quantitative Funds - **CSI 300 Index - Enhanced Funds**: The current - period yield was 1.63%, the excess return was 0.16%, the maximum drawdown was - 1.62%, the excess maximum drawdown was - 0.44%, and the excess return dispersion was 0.46% [14]. - **CSI 500 Index - Enhanced Funds**: The current - period yield was 2.36%, the excess return was 0.19%, the maximum drawdown was - 1.39%, the excess maximum drawdown was - 0.56%, and the excess return dispersion was 0.43% [14]. - **CSI 1000 Index - Enhanced Funds**: The current - period yield was 2.09%, the excess return was 0.25%, the maximum drawdown was - 0.93%, the excess maximum drawdown was - 0.48%, and the excess return dispersion was 0.37% [15]. - **Other Index - Enhanced Funds**: The current - period yield was 1.01%, the excess return was 0.14%, the maximum drawdown was - 2.49%, the excess maximum drawdown was - 0.50%, and the excess return dispersion was 0.51% [15]. - **Active Quantitative Funds**: The current - period yield was 1.43%, the maximum drawdown was - 1.47%, and the return dispersion was 1.31% [16]. - **Market - Neutral Funds**: The current - period yield was 0.51%, the maximum drawdown was - 0.18%, and the return dispersion was 0.45% [16]. 3.3 Performance Distribution of Different Types of Public Quantitative Funds The report shows the six - month performance trends of different types of public quantitative funds and the performance distribution in the current period and the past year. Index - enhanced funds show the performance of excess returns [17]. 3.4 High - Performing Public Quantitative Funds - **CSI 300 Index - Enhanced High - Performing Funds**: For example, Huashang 300 Zhixuan had a current - period excess return of 1.72%, a one - month excess return of 4.35%, and a one - year excess return of 8.18% [31]. - **CSI 500 Index - Enhanced High - Performing Funds**: For example, Guangda CSI 500 Index - Enhanced had a current - period excess return of 1.28%, a one - month excess return of - 1.14%, and a one - year excess return of - 0.39% [32]. - **CSI 1000 Index - Enhanced High - Performing Funds**: For example, ICBC CSI 1000 Enhanced Strategy ETF had a current - period excess return of 1.19%, a one - month excess return of 1.18%, and a one - year excess return of 21.20% [33]. - **Other Index - Enhanced High - Performing Funds**: For example, Taikang Shanghai - Shenzhen Science and Technology Innovation Board Composite Index - Enhanced had a current - period excess return of 1.53%, a one - month excess return of 1.33% [34]. - **Active Quantitative High - Performing Funds**: For example, Huian Quantitative Pioneer had a current - period return of 11.59%, a one - month return of 11.36%, and a one - year return of 44.53% [35]. - **Market - Neutral High - Performing Funds**: For example, ICBC Absolute Return had a current - period return of 1.91%, a one - month return of 2.31%, and a one - year return of 2.07% [36].

Core Insights - The current financial landscape has shifted from a focus on earning money to preserving wealth due to slow wage growth, rising prices, and low returns on investment products [1][2] - The key to successful investing in 2025 lies in understanding trends, policies, new financial tools, and maintaining discipline [4][5][9][12] Group 1: Understanding Trends - The financial market has transitioned to an asset allocation era, emphasizing the importance of diversifying investments across various asset classes such as stocks, bonds, and gold [4] - Smart investors leverage the different cycles of these assets to keep their funds within a stable range [4] Group 2: Policy Awareness - Investment success is largely influenced by policy trends rather than luck, with sectors like technology, renewable energy, and artificial intelligence benefiting from supportive policies [5] - Understanding monetary policy and interest rate cycles is crucial as they directly affect bond and investment product returns [5] Group 3: Embracing New Tools - Modern investment strategies extend beyond traditional savings and mutual funds to include ETFs, REITs, quantitative funds, and structured financial products [6] - Familiarity with these tools can provide ordinary investors with opportunities to enhance their financial outcomes [7] Group 4: Discipline and Patience - The most challenging aspect of investing is not predicting market direction but adhering to a strategy over time [9] - Many investors miss out on compounding opportunities due to greed or fear, highlighting the importance of patience and long-term holding [10][11] Group 5: Key Principles for 2025 - The overarching principle for successful investing in 2025 is to seek stability while pursuing growth [12] - A balanced approach to asset allocation, risk diversification, and a patient investment horizon can lead to better outcomes than those who react impulsively to market fluctuations [13]