In-depth Analysis of Guotai Haitong's 2025 Securities Private Equity Funds

In-Depth Analysis of Guotai Haitong's 2025 Securities Private Equity Funds (Deep Analysis Edition)

Original text available at Minutes of the In-Depth Analysis Meeting on Guotai Haitong's 2025 Securities Private Equity Funds

I. Overall Landscape of the Private Equity Market

Key Information from the Original Text:

"The AUM of securities-focused private equity funds reached 7 trillion yuan, with a further increase in November, now standing at approximately 7.04 trillion yuan."
"Post-new regulations, the private equity market has been growing in terms of scale, but the number of managers may be decreasing. This is essentially a process of increasing concentration and moving towards higher-quality development."
"The industry has entered a critical stage of consolidation of existing assets and selective growth."
"Xin Dao He positions itself as building the industry's strongest comprehensive service platform for professional investors, serving over 16,000 professional investment institutions."

Insights:

This is not merely an expansion in scale but the beginning of an industry shakeout. When the number of managers decreases while AUM increases, it signifies that the survival space for small managers is being systematically compressed.
The figure "16,000" behind it reflects the harsh reality of a zero-sum game – surviving managers in the future will either possess unique strategic capabilities or have channel/resource advantages. Models relying solely on "rat trading" or small-scale operations will struggle to survive.
The private equity industry is transitioning from "wild growth" to "intensive cultivation." In this stage, comprehensive strength in research capabilities, channel capabilities, and risk control capabilities will become the decisive factors.

II. Divergence in Strategy Performance

Key Information from the Original Text:

"Market neutral strategies experienced significant drawdowns in February and September 2024, but capital quickly regained confidence."
Reason analysis: "In the broader market, previous trust products and fixed-income products could cover the 4-6-8% return range. Now, finding such products is indeed difficult, but clients still have a universal demand for fixed-income-plus or relatively stable return products."
"The scale increase in market neutral strategies largely stems from banks and securities firms distributing a very large volume of such products."
"CTA strategy returns are indeed significantly better than in 2022-2024."
"On average, all strategy types were profitable in 2025. CSI 1000 index enhancement performed the best. Subjective equity strategies rose cumulatively by about 33 percentage points for the year, outperforming major broad-based indices."
"CSI 300, 500, and 1000 index enhancement strategies achieved profitability for the vast majority of products. The profitability ratios for subjective equity and convertible bond strategies were also very high."

Insights:

The growth in market neutral strategies essentially represents a major migration of traditional fixed-income capital – it's not that clients suddenly favor neutral strategies, but rather that after traditional rigid payment products exited the stage, capital was forced to seek alternatives.
This reveals a deeper issue: China's asset management industry is undergoing a reconstruction of return ranges. The 4-8% range once dominated by trusts and bank wealth management products now has a vacuum, which market neutral strategies happen to fill.
However, the hidden risk is: if the A-share market re-enters a major bear market, both the alpha and basis spread components of neutral strategies could be impaired, potentially causing this capital to "vote with its feet" again.
The recovery of CTA strategies is not a trend opportunity but a structural one – a full-year bull market in precious metals and periodic opportunities in non-ferrous metals. Such market conditions are not guaranteed and cannot be linearly extrapolated.

III. Evolution Trends of Subjective Strategies

Key Information from the Original Text:

All three viewpoints proposed in the 2024 annual report were confirmed: "Increase overseas allocation," "Flexibly use derivative tools," and "Promote the organic integration of subjective and quantitative approaches."
Two newly proposed trends: "Subjective strategies expanding into multi-asset allocation capabilities" and "The platform model becoming increasingly common."
"More and more subjective managers are participating in these three types of strategies."
"In the past, a prominent investment manager served as the founder. In the future, more forces may be absorbed, evolving into a platform model."
"Subjective equity strategies rose cumulatively by about 33 percentage points for the year, outperforming major broad-based indices."
"The position center of TOP 1/3 managers is higher than the full sample, with stronger position adjustment flexibility and greater agility in Hong Kong stock and STAR/ChiNext allocations."
"Top five year-end holdings by industry: Electronics, Non-ferrous Metals, Power Equipment, Media, and Communications, showing significant changes compared to mid-year and last year."

Insights:

The confirmation of all three viewpoints indicates: Subjective strategies are undergoing a paradigm-level shift, no longer relying on a single methodology but dynamically adjusting "keeping pace with the times."
The essence of the platformization trend is: The end of the individual heroism model. Previously, a star fund manager could support a private equity firm. Now, with increased market complexity and accelerated strategy iteration, solo operations are becoming increasingly difficult, making teamwork and platform collaboration inevitable.
The multi-asset expansion direction reflects the "anxiety" of subjective strategies – generating alpha from pure long-only equity is becoming increasingly difficult, forcing them to seek returns externally.
The implication for investors is: When selecting subjective managers in the future, team stability, multi-asset synergy capabilities, and strategy iteration speed are more important than simple performance numbers.

IV. Key Changes in Quantitative Strategies

Key Information from the Original Text:

"The influence of factors on products is indeed increasing."
"The stability of the top three exposed factors is becoming higher, especially the primary factor in CSI 500 index enhancement, which is often the size factor."
"The influence of the top three factors was not as significant before 2021, but from 2023 onwards, in 2024 and 2025, the influence of the top three factors has become greater."
"Factor exposure indeed increased in small-cap stocks in the first half of the year but gradually shifted upward after August."
"A head effect is emerging, with capital, talent, investment research strength, and brand effect concentrating towards leading institutions."
"Size factor exposure for CSI 500 index enhancement bottomed in June, trending upward after August; mid-cap factor exposure increased in a barbell configuration from April to June, then contracted."
"Quantitative strategy AUM has reached parity with subjective strategy AUM, hitting an inflection point."
"Managers with AUM over 10 billion yuan have a clear advantage in generating alpha, with a pronounced head concentration effect."
"Quantitative turnover in 2025 increased compared to 2024: CSI 1000 index enhancement ~110x, CSI 500 index enhancement ~87x, CSI 300 index enhancement ~79x."

Insights:

The increasing influence of factors reflects a harsh reality: Quantitative alpha is becoming 'public knowledge' – when the size factor becomes the primary exposure for almost all quantitative products, it means "small-cap stock rise = quantitative outperformance" has become a market consensus.
But consensus itself is a risk: when everyone knows to bet on the small-cap factor, its alpha will inevitably decay. This explains why "exposure gradually shifted upward after August" – managers began to recognize the risk.
"The trend of increasing top three factor contribution" means quantitative strategies are becoming increasingly homogenized. Future competition will focus more on "who can find the next effective factor" or "who can iterate strategies faster."
The essence of the head effect is an arms race in investment research resources: the barriers to entry for computing power, data, talent, and hardware are getting higher, making it difficult for small institutions to keep up.

V. Changes in Allocation Structure

Key Information from the Original Text:

Top five year-end holdings by industry: Electronics, Non-ferrous Metals, Power Equipment, Media, Communications.
"Compared to mid-year this year, last year, or even earlier, the changes are quite significant."
"Industries like Non-ferrous Metals have entered the top five holdings. Growth-oriented industries are now absolutely mainstream."
Hong Kong stock allocation "increased then decreased": Full sample HK stock allocation decreased from 35% mid-year to 29.2% year-end; TOP 1/3 decreased from 32% to 23%.
Increased STAR/ChiNext allocation: TOP 1/3 managers' allocation to ChiNext and STAR Market is about 3 percentage points higher than the full sample.
Subjective strategies "flexibly use derivative tools" and "increase overseas allocation."
"Throughout 2025, Non-ferrous Metals and Light Industry Manufacturing (new consumption concept stocks) became the main industries increased in both full sample and TOP 1/3 sample."
"The Electronics industry's contribution to returns ranked first across all sample categories."

Insights:

Changes in industry allocation are not simple sector rotation but a reconstruction of industrial logic – the exit of traditional consumption and healthcare signifies the end of the "core assets" narrative, ushering in a new paradigm of "hard tech + resources."
Behind the Hong Kong stock "increase then decrease" lies subjective managers' expectation adjustments: increased allocation amid early-year optimism → decreased allocation after HK underperformance relative to A-shares in Q4, reflecting subjective strategies' sensitivity to policy and economic cycles.
"Increased STAR/ChiNext allocation" indicates: Risk appetite is indeed rising, with managers showing more interest in high-volatility, high-growth assets.
The increase in overseas allocation reflects the necessity of a global perspective – focusing solely on A-shares is no longer sufficient. Managers need cross-border asset allocation capabilities to generate alpha.

VI. Deep Dive into the Q&A Session

1. The "Sleight of Hand" in Scale Calculation Methodology

Original Q&A:

"How is the scale calculated after removing the impact of market value?" "We approximate it by using the nominal scale divided by the private equity standard index for the same period, using this index to strip out NAV changes, obtaining an approximate net subscription/redemption capital flow change."

Insights:

This reveals a statistical truth: the scale changes most investors see are often a combination of "NAV increase" and "actual capital inflow," with the latter truly reflecting capital sentiment.
The speaker deliberately emphasized this calculation method, hinting that many investors might misinterpret scale data – seeing scale growth as capital追捧, when it might just be NAV recovery.
This detail reflects: In the private equity industry, the 'truth about scale' needs to be isolated to be seen; ordinary investors are easily misled by appearances.
Implication for investment decisions: To judge whether a strategy is truly favored by capital, one should look at "net subscription/redemption" rather than "nominal scale."

2. The "Undefinable" Nature of Quantitative Stock Selection Strategy Effectiveness

Original Q&A:

"When observing quantitative stock selection strategies, how to judge the effectiveness of the strategy?" "Each manager's benchmark may differ somewhat. Some have no benchmark at all, some restrict the stock selection universe, some benchmark against all-share indices, some against Wind stock fund indices... So, since each manager's benchmark is different, it's difficult to generalize."

Insights:

This is the most "disruptive" answer in the entire meeting – the speaker directly admits the inability to provide a universal effectiveness assessment framework.
Deeper meaning: The 'effectiveness' of quantitative stock selection strategies is itself a pseudo-proposition, as everyone's definition of "effective" differs.
This reveals the transparency issue in the quantitative industry: investors struggle to truly understand the underlying logic of strategies due to vast differences in approaches.
Implication for investment decisions: Cannot simply trust managers' performance claims; must deeply understand their benchmark and strategy logic, otherwise risk being misled by "pseudo-alpha."
Industry status: Quantitative stock selection is in a "Warring States period" with no unified standards, meaning extremely high investor education costs and severe information asymmetry.

3. The "Equal-Weight Trap" in Subjective Return Attribution

Original Q&A:

"Is the contribution of broad-based industries to subjective long-only returns calculated using equal-weighting for the full sample or size-weighting?" "We calculate using an equal-weighting method."

Insights:

Choosing "equal-weight" over "size-weight" is a methodological choice but can also be misleading.
Equal-weighting means the influence of small managers is amplified, while the influence of top managers is diluted.
Investors need to be wary: if they see "subjective strategies have high return contribution from a certain industry," this might reflect the behavior of small managers, not the consensus of top managers.
Implication for investment decisions: When interpreting any attribution data, first clarify the calculation method; equal-weight and size-weight can lead to completely different conclusions.
This also hints at the inherent flaws in private equity data statistics: there's no "correct answer," only "different perspectives."

4. The "Temporal-Spatial Mismatch" in Factor Crowding

Original Q&A:

"At what historical level is the crowding of factors like small-cap and mid-cap?" "In absolute terms, it's lower, but in practical terms, it's around the middle. If looking at a longer history, it's relatively certainly not high, but from a shorter history perspective, it's probably around the middle."

Insights:

This answer demonstrates statistical nuance: the same "crowding" yields completely different conclusions under different time frames.
A shorter "history" (e.g., since 2023) shows current crowding is at a low level, suggesting small-cap factor risk might not be that high.
But extending the time frame (5+ years), the current level might still be moderately high.
The speaker specifically mentioned "volatility brought by the December index adjustment far exceeded volatility from managers actively adjusting exposures," hinting that market structural changes have a greater impact on factor exposure than managers' active adjustments.
Implication for investment decisions: Factor crowding is a 'dynamic concept'; don't just look at absolute values, consider the time frame. Also, individual managers' adjustments have minimal impact on overall factor exposure; it's more about "passively accepting" market changes.

5. The "Credit Trap" and "Positioning Anxiety" of Convertible Bond Strategies

Original Q&A:

"The alpha of convertible bond strategies seems consistently weak. How to view this phenomenon?" "In 2024, it was more affected by credit risk. The reason for convertible bonds being undervalued wasn't because they were undervalued, but because there might be credit risk. In 2025, convertible bond valuations rose rapidly in Q1, but positioning might not have been that aggressive at the time."

Insights:

The root cause of convertible bond strategy failure: "Undervalued" and "risky" are two different things, and many quantitative models cannot distinguish between them.
The 2024 lesson was a "value trap" – you think it's undervalued and should rise, but it's undervalued due to unseen risks.
The 2025 lesson was "rhythm misalignment" – Q1 was indeed a good time for alpha, but managers' positioning wasn't aggressive, missing the opportunity.
This reflects the dilemma of convertible bond strategies: aggressive positioning might encounter credit risk; cautious positioning might miss valuation recovery.
Implication for investment decisions: Convertible bond strategies are not 'buy if simply undervalued'; they require deep credit research capabilities, which ordinary investors find difficult to assess.
Industry trend: Convertible bond strategies are transitioning from "simple quantitative" to "deep credit research + quantitative."

6. The "School Division" in Macro Strategy Quantification

Original Q&A:

"What is the overall situation of macro strategy quantification?" "Methods and schools are still quite diverse. The first logic calculates asset class weights based on risk parity; the second method fixes weights for some assets, then adjusts positioning based on volatility or implied volatility changes. Currently, the number of managers truly doing this at scale and in a standardized manner is not particularly high."

Insights:

Macro strategy quantification has not yet formed an industry consensus; it's in a "pre-standardization" stage.
The essential difference between the two schools: The first is "top-down" asset allocation; the second is "bottom-up" positioning adjustment.
The reality of limited scale indicates: The barriers to entry for macro strategy quantification are extremely high, requiring data, models, and teams beyond the reach of ordinary institutions.
This also explains why macro strategy performance diverged greatly in 2025 – without standardization,优劣 is difficult for the market to检验.
Implication for investment decisions: Be very cautious when selecting macro strategy quantitative products; without industry standards for screening, it's more like "blind selection."

VII. Key Data Supplement

1. Market Size and Growth

Securities Private Equity Fund AUM: 7.04 trillion yuan (Nov 2025), exceeding 7 trillion in October.
Number of managers decreasing, but product AUM increasing, indicating higher concentration.
Quantitative strategy AUM has reached parity with subjective strategy AUM.

2. Strategy Performance Data

Subjective Equity Strategy: Rose ~33% for the year, outperforming major broad-based indices.
CSI 1000 Index Enhancement: Performed best, with significant gains.
Market Neutral Strategy: Performed well in H1, adjusted in H2.
CTA Strategy: Returns significantly better than 2022-2024, with the full-year precious metals bull market contributing greatly.
Positive Return Ratio: Vast majority of CSI 300, 500, 1000 index enhancement products profitable; subjective equity and convertible bond strategies also had high profitability ratios.

3. Factors and Exposures

CSI 500 Index Enhancement Size Factor Exposure: Bottomed in June, trending upward after August.
Mid-Cap Factor: Increased in barbell configuration Apr-Jun, then contracted.
Top Three Factor Influence Contribution: Increased from 40-60% in 2020-2022 to 50-70% post-2023.
Quantitative Turnover: CSI 1000 index enhancement ~110x, CSI 500 index enhancement ~87x, CSI 300 index enhancement ~79x.

4. Allocation Details

Hong Kong Stock Allocation Change: Full sample decreased from 35% mid-year to 29.2% year-end; TOP 1/3 decreased from 32% to 23%.
Industry Return Contribution: Electronics industry's return contribution ranked first; Non-ferrous Metals, Communications, Power Equipment contribution ratios increased significantly.
Top Ten Industry Return Contribution: Exceeded 90% (of the full sample portfolio's annual 30% return, over 27 percentage points came from top ten holdings).

5. Gold Allocation Evolution

End of 2021-2022: Initial allocation increase period, allocation ratio not high (2-2.5%), more for defensive hedging.
Jan 2023 - Jul 2024: Allocation ratio gradually increased (by 4-5 percentage points).
Post-Jul 2024: Volatile adjustment period, due to excessive gains in gold stocks (Gold Stock Index up 33% vs. Gold Price up 23%).
End of Q2 2025: Resumed increasing allocation, as hedging demand升温.

VIII. Comprehensive Implications

From the entire meeting (including Q&A), several deep-seated signals run throughout:

The private equity industry is shifting from "performance-oriented" to "methodology-oriented."
- Investors find it increasingly difficult to make decisions based solely on performance numbers; they must understand the logic behind the strategies.
Information asymmetry is intensifying.
- The speaker themselves admitted it's "difficult to generalize" and "cannot define," indicating industry transparency is far from mature standards.
Traditional "linear extrapolation" thinking is failing.
- Whether it's factor effectiveness, strategy effectiveness, or scale growth, future outcomes cannot be simply inferred from past experience.
The risk of "pseudo-professionalism" is rising.
- Various statistical methods (equal-weight vs. size-weight), factor crowding, scale statistics, etc., are being overly packaged as "professional analysis," but may actually mislead decisions.
Head concentration is an irreversible trend.
- The survival space for small managers is compressed, and the trial-and-error cost for investors in selecting managers is increasing.

RE:CZ