股票量化策略私募2022年4月速览

股票量化策略私募2022年4月速览分析师：于婧执业编号：S11305190200032022/5/9证券研究报告 目录201股票量化策略私募4月业绩回顾02股票量化策略当前运行环境及展望 股票量化策略分类业绩表现34月指数增强策略绝对收益大幅回落，超额表现略有分化，市场中性策略收益再度转负。 部分股票量化策略产品业绩表现4沪深300指数增强策略产品中，重点研究覆盖的20只产品4月平均收益-4.61%，全部产品均未实现正收益，8只产品均超越同期沪深300指数表现，平均超额-0.81%，与3月相比转负。 部分股票量化策略产品业绩表现5中证500指数增强策略产品中，重点研究覆盖的58只产品4月平均收益-11.12%，全部产品均未实现正收益，22只产品未超越同期中证500指数表现，平均超额-0.90%，与3月相比大幅回落并再度转负。 部分股票量化策略产品业绩表现6中证1000指数增强策略产品中，重点研究覆盖的16只产品4月平均收益-14.09%，全部产品均未实现正收益，11只产品超越同期中证1000指数表现，平均超额1.82%，与3月相比有所回落。 部分股票量化策略产品业绩表现7市场中性策略产品中，重点研究覆盖的44只产品4月平均收益-1.37%，结束了连续两个月的正收益表现，其中正收益产品仅10只。 部分股票量化策略产品业绩表现8从相关性来看，近一年沪深300指数增强策略产品周度超额收益平均相关性0.37，处在相对适中水平。数据来源：国金证券研究所，朝阳永续近一年致诚卓远弈泰双隆佳期锐天衍复橡杉星阔品赋幻方龙旗因诺白鹭稳博黑翼九坤明汯鸣石盛泉恒元启林致诚卓远10.160.240.250.330.100.110.170.210.370.390.420.430.030.510.400.400.250.110.39弈泰0.1610.160.260.390.330.170.260.280.400.270.380.14-0.070.200.390.290.17-0.180.30双隆0.240.1610.140.200.05-0.20.01-0.080.14-0.020.14-0.030.080.080.01-0.160.11-0.16-0.04佳期0.250.260.1410.550.39-0.10.340.360.270.240.430.190.050.300.580.330.500.040.47锐天0.330.390.200.5510.430.070.430.520.510.370.550.320.110.510.540.360.520.180.50衍复0.100.330.050.390.4310.290.460.450.570.270.480.400.240.490.410.420.41-0.060.60橡杉0.110.17-0.24-0.100.070.2910.330.090.280.460.410.120.090.320.300.240.220.420.36星阔0.170.260.010.340.430.460.3310.410.620.450.730.420.270.380.350.440.530.250.47品赋0.210.28-0.080.360.520.450.090.4110.540.430.510.400.130.590.430.460.490.240.61幻方0.370.400.140.270.510.570.280.620.5410.600.750.590.240.640.550.520.51-0.040.72龙旗0.390.27-0.020.240.370.270.460.450.430.6010.640.400.090.640.630.620.370.090.66因诺0.420.380.140.430.550.480.410.730.510.750.6410.450.300.630.690.490.570.210.82白鹭0.430.14-0.030.190.320.400.120.420.400.590.400.4510.080.540.520.490.54-0.170.67稳博0.03-0.070.080.050.110.240.090.270.130.240.090.300.0810.220.020.050.240.010.14黑翼0.510.200.080.300.510.490.320.380.590.640.640.630.540.2210.630.560.660.070.82九坤0.400.390.010.580.540.410.300.350.430.550.630.690.520.020.6310.580.530.140.79明汯0.400.29-0.160.330.360.420.240.440.460.520.620.490.490.050.560.5810.43-0.140.71鸣石0.250.170.110.500.520.410.220.530.490.510.370.570.540.240.660.530.4310.540.60盛泉恒元0.11-0.18-0.160.040.18-0.060.420.250.24-0.040.090.21-0.170.010.070.14-0.140.541-0.06启林0.390.30-0.040.470.500.600.360.470.610.720.660.820.670.140.820.790.710.60-0.061平均值0.310.270.080.330.420.390.250.420.400.490.430.530.370.170.490.470.400.460.130.53 部分股票量化策略产品业绩表现9近一年中证500指数增强策略产品周度超额收益平均相关性0.36，同样处在相对适中水平，但头部及大型管理人间超额收益相关性较高，平均来看接近0.5。近一年蜂雀水木长量蒙玺量盈致诚卓远佳期宣夜同温层衍复衍合希格斯宽德白鹭黑翼盛冠达凯纳璞淳聚宽千朔明汯概率安诚数盈申毅金戈量锐世纪前沿衍盛念空天演平方和启林星阔龙旗涵德品赋赫富天算鸣石因诺泰铼九坤幻方海浦诚奇国恩卓识凡二思勰久期量和无量稳博锐天宽投千象丰润恒道进化论灵均鸣熙睿凝朋锦仲阳顽岩蜂雀10.33-0.070.370.380.30.280.030.50.45-0.060.220.180.310.420.250.290.070.160.080.040.320.20.190.090.10.190.060.240.150.080.320.240.110.230.080.190.180.210.150.010.230.450.150.030.340.090.130.20.380.110.120.580.350.320.230.150.310.08水木长量0.3310.020.370.290.39-0.040.340.110.22-0.220.210.240.160.110.220.060.070.010.010.20-0.010.140.000.120.040.11-0.010.12-0.120.050.240.02-0.010.16-0.01-0.05-0.010.07-0.16-0.140.200.290.150.280.110.240.180.130.25-0.040.160.230.020.160.280.320.240.40蒙玺-0.070.021-0.060.13-0.160.320.11-0.27-0.17-0.16-0.120.100.150.280.32-0.250.14-0.03-0.050.400.210.06-0.200.12-0.02-0.040.150.02-0.150.060.090.25-0.140.000.08-0.110.010.11-0.050.090.05-0.090.310.05-0.070.270.070.030.170.220.120.020.020.070.230.19-0.130.05量盈0.370.37-0.0610.210.180.350.290.260.300.030.270.380.38-0.060.060.340.370.100.240.200.100.350.440.090.310.430.290.33-0.050.390.400.020.200.310.200.220.170.120.280.080.370.270.340.270.080.280.110.460.340.39-0.020.020.340.480.390.200.360.02致诚卓远0.380.290.130.2110.100.320.180.400.27-0.070.260.210.360.370.490.090.190.410.240.270.340.280.040.440.240.160.210.330.080.100.150.070.150.240.060.300.300.380.230.120.140.310.290.200.310.270.240.380.20-0.040.350.370.270.140.310.660.430.15佳期0.300.39-0.160.180.101-0.080.390.240.340.110.360.130.210.17-0.080.380.220.200.140.09-0.060.270.30-0.020.190.340.060.270.200.220.350.120.010.110.240.190.240.15-0.03-0.030.410.150.080.310.260.120.140.200.150.090.010.310.250.47-0.010.100.450.39宣夜0.28-0.040.320.350.32-0.0810.150.070.090.080.080.120.390.200.18-0.110.390.140.120.240.390.270.080.150.190.140.290.22-0.060.060.100.170.130.240.130.220.090.100.170.260.110.050.26-0.090.060.240.080.300.120.370.110.040.320.180.300.310.05-0.07同温层0.030.340.110.290.180.390.151-0.110.300.300.390.000.130.07-0.260.220.330.210.470.170.170.400.330.160.410.350.190.300.280.380.340.080.050.210.330.270.410.160.050.150.43-0.030.070.49-0.020.220.380.240.140.20-0.020.070.160.290.230.360.280.24衍复0.500.11-0.270.260.400.240.07-0.1110.53-0.130.580.290.510.40.280.40.240.610.310.250.450.410.480.490.450.480.390.610.420.310.440.330.510.570.30.630.490.580.530.30.440.390.230.290.30.30.330.410.380.080.510.280.490.460.130.230.610.16衍合0.450.22-0.170.300.270.340.090.300.5310.150.630.320.500.240.000.450.340.530.390.270.360.400.620.440.550.630.390.640.570.570.490.420.480.510.530.590.560.500.460.430.530.250.330.340.000.370.430.380.470.310.370.170.580.