Core Viewpoint - The report explores whether the advantages of quantitative investment strategies can be sustained in the A-share market environment of 2026, highlighting the cyclical switching between "consensus" and "divergence" market conditions as a key determinant of strategy effectiveness [2][3][5]. Market Environment and Strategy Effectiveness - The A-share market is expected to enter a "central uplift platform period" after returning from historical lows, driven by the long-term trend of market institutionalization and the recovery of incremental funds, particularly from ETFs [3][38]. - The report identifies "institutional holding concentration" as a core indicator linking macro market patterns with micro Alpha sources, suggesting that increased concentration indicates a shift to "consensus" markets, while decreased concentration favors "divergence" markets [2][26][30]. Market Outlook for 2026 - The overall market environment for 2026 is assessed as optimistic, with a focus on structural opportunities due to attractive risk premiums and the absence of extreme overheating [4][44]. - The report anticipates a shift in investment strategies from capturing short-term opportunities in "divergence" markets to identifying core trends in "consensus" markets, particularly with the emergence of AI as a new investment theme [11][41]. Alpha Sources and Market Modes - The evolution of Alpha sources is linked to market modes, with "trading Alpha" being more effective in "divergence" markets and "cognitive Alpha" in "consensus" markets [17][25]. - "Trading Alpha" focuses on capturing short-term pricing inefficiencies, while "cognitive Alpha" emphasizes accurate predictions of future fundamentals [18][19]. Market Concentration Dynamics - High market concentration reflects a consensus-driven environment that rewards depth in research, while low concentration indicates a divergence-driven environment that favors breadth in strategy [27][28]. - The report constructs a market concentration index based on the top holdings of public funds, indicating stronger consensus when the index is high and greater divergence when it is low [30][31]. Investment Strategy Recommendations - In the anticipated "central uplift platform period," strategies that effectively combine depth (through alternative data and machine learning) with breadth (systematic capture of rotation opportunities) are expected to perform better [42][41]. - The report suggests that quantitative strategies may continue to outperform average active equity funds due to their ability to adapt to complex market conditions [42][43].

作为国内首批投入AI新浪潮的基金公司之一，中银基金早在2009年中银基金就已组建了量化投研团 队。 以量化研究员为例，当前AI 的价值首先体现在把非结构化、多源、海量的"边缘数据"低成本地纳入因 子框架。 早期研究员采用BERT等轻量级神经网络对上市公司公告进行情感分析，开创了文本数据量化分析的先 河。随着随着大语言模型成为新的技术基座，数据处理的广度和深度都得到了质的飞跃，把数据量更大 的券商研报、论坛评论等纳入语义分析，并对公司公告中的隐语进行识别。这些实践证实，AI 技术可 以在传统因子体系之外提供信息增量。 《推动公募基金高质量发展行动方案》明确提出，促进行业高质量发展，加快建设一流投资机构，鼓励 基金公司加大对人工智能、大数据等新兴技术的研究与应用。 当 DeepSeek 等国产开源大模型 渗透证券业务的各个脉络，公募基金行业正站在技术驱动的历史拐点。 AI正日益成为基金行业转型升级的核心引擎。中银基金已自主完成从数据库到投资策略模型的构建。 同时逐步形成了自己的特色，自主构建因子库，阿尔法模型、风险模型、优化器模型、归因模型等，严 格把控策略构建的各个环节。 探索投研系统AI应用 尽管AI技术展现 ...

Core Viewpoint - The report explores whether the advantages of quantitative investment strategies can be sustained in the A-share market environment of 2026, emphasizing the importance of market mode shifts between "consensus" and "divergence" markets in determining the effectiveness of different strategies [2]. Market Outlook - The company maintains a mid-term optimistic outlook for the A-share market in 2026, supported by various quantitative timing systems and technical indicators pointing to a healthy market environment [3][20]. - The style preference has shifted towards large-cap stocks, indicating a systemic change in the indicators affecting style returns [3][20]. Market Mode Shifts - The A-share market has shown distinct cyclical characteristics, alternating between "consensus" and "divergence" markets, which is crucial for assessing future strategy effectiveness [6]. - In the "consensus" phase (2017 and 2019-2021), investment strategies relied on deep research to identify core sectors and leading companies, favoring active management strategies [6]. - The "divergence" phase (2022 to mid-2025) saw a lack of consensus, leading to high-frequency switching among sectors, where quantitative strategies with systematic and diversified characteristics thrived [7]. Alpha Sources Transition - The evolution of market modes is accompanied by a shift in sources of excess returns (Alpha). In divergence markets, "trading Alpha" is predominant, focusing on capturing short-term pricing inefficiencies [11][12]. - In consensus markets, "cognitive Alpha" becomes more significant, emphasizing accurate predictions of future fundamentals and deep understanding of industry trends [12]. Market Concentration as an Indicator - Market concentration is identified as a key indicator for measuring market mode evolution and Alpha source transitions. Low concentration corresponds to divergence markets, rewarding breadth, while high concentration aligns with consensus markets, rewarding depth [13][14]. - The report predicts a return to a "central uplift platform period" for market concentration in 2026, following a recovery from historical lows [17][18]. Future Market Dynamics - The first phase of market concentration evolution is expected to see a return to historical median levels as AI themes gain acceptance, benefiting expert-driven active funds [17]. - The second phase is anticipated to enter a "weak equilibrium" platform oscillation in 2026, characterized by a dual-driven growth pattern from technology and traditional industries, which may limit rapid increases in institutional concentration [18]. Quantitative Strategy Advantages - In the anticipated "central uplift platform period," the complexity of the market may favor advanced quantitative strategies that can integrate depth (understanding main lines) and breadth (capturing rotations) [19].

Core Insights - The core philosophy of the company is to explore objective laws in financial markets through a technology-driven approach, emphasizing stability and long-termism in investment strategies [1][2][5] Group 1: Company Philosophy and Approach - The founder of the company, with a background in theoretical chemistry, emphasizes the importance of curiosity about objective laws and a strong statistical foundation in quantitative investment [2][3] - The company has established a leading low-latency trading system and invests tens of millions annually in IT to maintain technological superiority [2][5] - The investment philosophy is centered around a multi-factor stock selection model, utilizing over 200 global data sources, including alternative data, to uncover investment opportunities [5][6] Group 2: Risk Management and Strategic Discipline - The company faced challenges during a downturn in the quantitative industry, which tested its strategic discipline and risk management practices [4][5] - A significant lesson learned was the importance of adhering to fundamental principles, as deviating from them led to missed opportunities and losses [5] - The company maintains a cautious approach to asset management, prioritizing strategy and talent development over rapid growth in assets under management [5][6] Group 3: Talent and Internal Governance - The company believes in proactive talent and technology investment, ensuring that team size and capabilities grow ahead of asset scale [6] - An attractive incentive system is in place to motivate research and investment teams, including profit-sharing and partnership opportunities [6] Group 4: Social Responsibility and Future Vision - The company is committed to social value, engaging in scientific donations and encouraging industry peers to participate in philanthropic efforts [7][8] - The founder expresses a vision for the company to become one of the top quantitative institutions in China, focusing on excellence rather than size [9]

Core Insights - Inno Asset has been awarded the "Golden Bull Private Fund Management Company (Three-Year Managed Futures Strategy)" for the fifth time, showcasing its robust capabilities in quantitative investment [1] - The founder and CEO Xu Shunan emphasized that AI is an extension of quantitative methodologies rather than a revolutionary force, enhancing the ability to identify and represent trading patterns in complex data environments [1][3] Group 1: AI and Quantitative Investment - AI is viewed as a powerful statistical tool that enhances the capabilities of quantitative investment, which is fundamentally based on mathematics and statistics [3] - Inno Asset has systematically applied AI across various strategies, including Alpha, CTA, and algorithmic trading, leading to improved model recognition, response speed, and iterability [3] - The application of AI is expected to expand further as data becomes richer and foundational engineering is solidified, providing more "methodological dividends" for strategy evolution [3] Group 2: Efficiency and Creativity - AI is seen as an efficiency amplifier, taking over repetitive tasks such as data cleaning and feature construction, allowing teams to focus on more creative aspects like problem definition and risk control [4] - The integration of AI throughout the data-model-engine-trading chain aims to standardize processes and enhance execution paths while ensuring compliance with regulations [4][9] - The company believes that while AI enhances efficiency and precision, it cannot replace the human element in defining problems and constructing logic [7] Group 3: Methodology and Results - The source of good strategies is not solely dependent on the use of AI but rather on clear problem definitions, reliable data, and robust testing [8] - Inno Asset maintains a principle of methodological neutrality and results orientation, using AI to optimize strategy performance when appropriate, but also valuing traditional methods [8] - AI signals and traditional factors are developed in parallel, calibrated, and combined to create low-correlation multi-source Alpha, evaluated against stability, transaction costs, and capacity constraints [8] Group 4: Future Directions - Inno Asset aims to embed AI into multi-strategy and full-chain processes, focusing on building a solid foundation in local markets while seeking low-correlation opportunities across multiple assets and markets [9] - The company emphasizes the importance of maintaining a balance between innovation and compliance within a risk management framework, ensuring that creativity flourishes within defined boundaries [9] - The direction and pace of AI integration will continue to be guided by human judgment, reinforcing the commitment to delivering verifiable long-term performance to clients and the market [9]

Quantitative Models and Construction Methods 1. Model Name: Stock Index Futures Timing Model - **Model Construction Idea**: The model uses the basis of stock index futures to reflect market sentiment changes and constructs daily frequency timing signals based on this correlation[7] - **Model Construction Process**: - The model groups and tests the correlation trend between the basis of stock index futures and the index itself - Constructs daily frequency timing signals based on this correlation - As of October 17, 2025, the timing signal based on the basis of the CSI 500 stock index futures remained at 1[31] - **Model Evaluation**: The model effectively captures market sentiment changes and provides timely signals for trading decisions[7] 2. Model Name: Multi-Dimensional Timing Model - **Model Construction Idea**: The model integrates macro, micro, meso, and derivative signals to form a four-dimensional non-linear timing model[33] - **Model Construction Process**: - The A-share market is divided into nine states based on macro, micro, and meso signals, each corresponding to long and short signals to form a three-dimensional large cycle timing signal - On this basis, the derivative signal generated by the basis of stock index futures is superimposed to form a four-dimensional non-linear timing model - The latest composite multi-dimensional timing signal is long (1)[34] - **Model Evaluation**: The model provides a comprehensive view of market conditions by integrating multiple dimensions, enhancing the accuracy of timing signals[33] 3. Model Name: Style Enhancement Model - **Model Construction Idea**: The model enhances returns by adding enhancement factors to the multi-style strategy, suppressing single-style fluctuations, and achieving stable excess returns in different cycles[41] - **Model Construction Process**: - The model is based on the multi-style strategy and adds enhancement factors - It dynamically adjusts the weights of different styles to achieve stable excess returns - As of October 17, 2025, the low volatility enhancement strategy achieved an excess return of 6.05%[42] - **Model Evaluation**: The model effectively enhances returns while controlling risks, providing stable performance across different market cycles[41] Model Backtesting Results Stock Index Futures Timing Model - **Absolute Return**: Not specified - **Excess Return**: 4.33%[9] - **Annualized Return**: Not specified - **Sharpe Ratio**: Not specified Multi-Dimensional Timing Model - **Absolute Return**: Not specified - **Excess Return**: 4.33%[9] - **Annualized Return**: Not specified - **Sharpe Ratio**: Not specified Style Enhancement Model - **Absolute Return**: Not specified - **Excess Return**: 6.05%[8] - **Annualized Return**: Not specified - **Sharpe Ratio**: Not specified Quantitative Factors and Construction Methods 1. Factor Name: High-Frequency Factor - **Factor Construction Idea**: The factor captures market valuation and sentiment risks using high-frequency data[11] - **Factor Construction Process**: - The factor uses high-frequency data to measure market depth, spread, and price elasticity - Constructs indicators such as average depth, spread, and price elasticity to reflect market liquidity and sentiment - For example, the average depth is calculated as: $$ avg_{depth} = \frac{av1 + bv1}{2} $$ where av1 and bv1 are the sell and buy volumes at the first level of the order book[98] - **Factor Evaluation**: The factor effectively captures market liquidity and sentiment changes, providing valuable insights for trading decisions[11] Factor Backtesting Results High-Frequency Factor - **Absolute Return**: Not specified - **Excess Return**: Not specified - **Annualized Return**: Not specified - **Sharpe Ratio**: Not specified Industry and ETF Rotation Strategy 1. Strategy Name: Industry Rotation Strategy - **Strategy Construction Idea**: The strategy uses quantitative fundamental drivers, quality low volatility style drivers, and distressed reversal industry discovery methods to construct an industry rotation strategy[76] - **Strategy Construction Process**: - Combines industry fundamental rotation, quality low volatility, and distressed reversal three-dimensional industry rotation strategies into an equal-weight portfolio - Selects industries from different dimensions to achieve factor and style complementarity, reducing the risk of a single strategy - As of October 17, 2025, the annualized excess return of the industry rotation strategy based on three-strategy integration was 10.59%, with a Sharpe ratio of 0.74[80] - **Strategy Evaluation**: The strategy effectively combines multiple dimensions to enhance returns while controlling risks, providing stable performance across different market cycles[76] Strategy Backtesting Results Industry Rotation Strategy - **Absolute Return**: Not specified - **Excess Return**: 14.75%[10] - **Annualized Return**: 10.59%[80] - **Sharpe Ratio**: 0.74[80]

Group 1 - The total number of A-share investors in China has surpassed 240 million as of June 2025, indicating that one in six Chinese individuals is now a stock market participant [2] - By the end of 2024, individual investors accounted for over 99.76% of the total investor base, with 99.63% of new accounts in the first half of 2025 being individual investors [2] - The influx of personal investors reflects strong confidence in the A-share market and a growing demand for wealth management amid economic transitions and structural adjustments in China [2] Group 2 - The family trust market in China is projected to exceed 900 billion yuan by the end of 2024, with expectations to enter the "trillion era" in 2025 [2] - An estimated 20 trillion yuan of wealth is expected to be passed down to the next generation over the next decade, highlighting the urgency of addressing family wealth inheritance issues [3][18] Group 3 - The investment landscape is shifting as individuals seek effective asset allocation strategies beyond traditional real estate investments, particularly in the context of a changing economic cycle [3] - Young investors exhibit diverse attitudes towards wealth management, with some being overly conservative and others seeking high-risk, high-reward opportunities [7][9] Group 4 - Quantitative investment strategies are gaining traction among retail investors, offering a systematic approach to decision-making that can mitigate emotional biases in trading [11][12] - Basic quantitative methods focus on fundamental analysis, allowing investors to make informed decisions based on company performance rather than market trends [12] Group 5 - Effective wealth management requires a clear understanding of individual financial goals and risk tolerance, which can significantly influence investment strategies [13][14] - A layered approach to wealth management, separating funds for daily living expenses from those intended for long-term growth, can alleviate anxiety related to investment losses [17] Group 6 - The concept of wealth management should evolve from viewing oneself as the "owner" of wealth to acting as a "steward," emphasizing responsible management and long-term value creation [20][21] - Wealth should be viewed through a moral lens, ensuring that its use benefits society and enhances overall well-being rather than merely serving personal interests [22]

Core Insights - The conference highlighted the transformative impact of AI on quantitative investment, with discussions on how AI technologies are reshaping the investment landscape and strategies [1][2][3] Market Recovery and Quantitative Rise - Regulatory changes have positively influenced the quantitative investment sector, leading to a more robust market environment [1] - The A-share market has shown resilience and a strong recovery since September 24, 2024, driven by supportive policies, a shift in macro narratives, and fundamental validations [1][2] - The current market rally is characterized by greater stability compared to previous cycles, as indicated by financing data [2] AI Empowerment and Capability Enhancement - AI's application in quantitative investment allows for deeper analysis of vast financial data, surpassing traditional methods [2][3] - The emergence of large models like DeepSeek is expected to significantly enhance the understanding of market dynamics [2][3] - AI is viewed as a powerful statistical tool that complements quantitative investment, although human judgment remains crucial in strategy formulation [3] Addressing Challenges and Ecological Evolution - The quantitative investment industry faces challenges such as strategy homogenization and rapid market style shifts, prompting firms to seek diversity and alternative data sources [4][5] - Emphasizing diversity and effective portfolio management is essential for navigating market cycles and achieving long-term stability [4] - The use of alternative data is seen as a promising area for future growth, with firms exploring innovative solutions for data processing and validation [5] Industry Development Landscape - The rise of AI may lead to a concentration of resources within the quantitative investment sector, increasing barriers to entry due to the need for substantial investments in data, computing power, and talent [5] - The dual forces of regulatory frameworks and technological innovation are fostering a healthier and more diverse ecosystem within the quantitative investment industry [5]

Core Insights - The quantitative private equity sector is experiencing significant growth, with the number of billion-yuan quantitative private equity firms reaching 44, accounting for 48.49% of the total 90 billion-yuan private equity firms as of July 2025 [1][6] - The average return for billion-yuan private equity firms is 16.60%, with 54 firms achieving positive returns, representing 98.18% of the total [1][6] - Quantitative private equity firms have outperformed subjective firms, with an average return of 18.92% compared to 13.59% for subjective firms [6] Performance Statistics - Among the 42 billion-yuan private equity firms with returns exceeding 10%, over 70% are quantitative firms [2] - In July, three subjective strategy firms exited the billion-yuan club, while three firms, including two quantitative firms, entered [3][4] - The top-performing quantitative firms include Stable Investment, Abama Investment, and Tianyan Capital, while subjective firms like Fusheng Asset and Rido Investment also showed strong performance [6] Advantages of Quantitative Investment - Quantitative investment avoids human emotional biases, leading to more consistent decision-making during market volatility [2][7] - It has superior data processing capabilities, allowing for the identification of complex market patterns that are difficult for humans to detect [7] - The execution efficiency of quantitative strategies is enhanced by algorithm-driven systems that can monitor market dynamics in real-time and execute trades within milliseconds [7][8] Market Dynamics - The private equity landscape is undergoing a reshuffle, with notable entries and exits among billion-yuan firms, indicating a competitive and evolving market [3][4] - New entrants in the quantitative space, such as Shanghai Qianyan Private Equity and Shanghai Boke Private Equity, are expanding their influence [4][5]

Core Viewpoint - The article highlights the rapid development of AI technology, particularly large model technology represented by DeepSeek, and its significant impact on the financial sector, especially in quantitative investment and FOF (Fund of Funds) investment strategies [1]. Group 1: AI Technology and Financial Sector - In 2025, AI technology is experiencing robust growth, leading to widespread applications in the financial sector, particularly in quantitative investment [1]. - Investment institutions are increasingly focusing on AI technology to enhance research and improve asset allocation strategies [1]. Group 2: FOF Investment - FOF funds are gaining attention from investors due to their unique advantages in risk diversification and reducing portfolio correlation [1]. - The integration of AI technology is expected to create new development opportunities for FOF investments, enhancing research efficiency and providing more scientific support for investment decisions [1]. Group 3: Forum Details - The 9th AI & FOF Investment Innovation Development Forum is scheduled for July 18, 2025, in Shanghai, co-hosted by 排排网 and Century Securities, with support from various financial institutions [1][2]. - The forum aims to create a high-end communication platform to discuss the latest trends, opportunities, and challenges in the AI era, featuring prominent speakers and roundtable discussions on FOF and quantitative investment topics [3][4]. Group 4: Networking Opportunities - The forum will include a closed-door communication session for quality private equity funds and capital parties to facilitate deep communication and collaboration [4].