金融工程專題：量化私募熱點(diǎn)問題探討

內(nèi)容目錄引言：A股萬億成交，量化交易占一半？ 4量化私募成交占比研究：占比四成的說法是否科學(xué)？ 4成交占比評(píng)估：成交數(shù)據(jù)估計(jì)是否合理 4測算方法評(píng)估：現(xiàn)有測算方式有何缺陷 5成交金額分析：虛假流動(dòng)性高估成交額 6成交占比估計(jì)：量化交易究竟占比幾何 6量化私募持倉分布研究：偏愛小市值，還是大盤股？ 7討論 95.附錄 10參考資料 16風(fēng)險(xiǎn)提示 16信息披露 17圖表目錄圖1：近年來國內(nèi)量化私募整體管理規(guī)模 5圖2：百億級(jí)量化私募雙邊換手率 5圖3：2017-2021年新備案私募量化投資基金情況 7圖4：2022年底量化私募行業(yè)規(guī)模估計(jì) 7圖5：論文“SizeandvalueinChina”因子構(gòu)建剔除小市值股票 8圖6：萬得小市值指數(shù)近三年總市值和自由流通市值 8圖7：萬得小市值指數(shù)第十大股東等效持有規(guī)模 9圖8：例：同益股份在量化私募A成為前十大股東后的股價(jià)走勢(shì) 圖9：例：正川股份在量化私募A成為前十大股東后的股價(jià)走勢(shì) 圖10：例：天永智能在量化私募B成為前十大股東后的股價(jià)走勢(shì) 14圖例：達(dá)威股份在量化私募B成為前十大股東后的股價(jià)走勢(shì) 14圖12：例：晶華新材在量化私募C成為前十大股東后的股價(jià)走勢(shì) 15圖13：例：德固特在量化私募C成為前十大股東后的股價(jià)走勢(shì) 15圖14：例：探路者在量化私募D成為前十大股東后的股價(jià)走勢(shì) 16圖15：例：北巴傳媒在量化私募D成為前十大股東后的股價(jià)走勢(shì) 16圖16：量化私募作為上市公司前十大股東記錄的平均持倉市值和百億市值占比 16表1：量化私募A作為上市公司前十大股東記錄 10表2：量化私募B作為上市公司前十大股東記錄 表3：量化私募C作為上市公司前十大股東記錄 14表4：量化私募D作為上市公司前十大股東記錄 15引言：A股萬億成交，量化交易占一半？中國證監(jiān)會(huì)主席易會(huì)滿在公開講話中提到，資本市場的運(yùn)行模式和行業(yè)生態(tài)正在發(fā)生深刻變化，新形勢(shì)下交易所要提升應(yīng)對(duì)能力，著重思考四方面問題，其中就包括量化高頻等新型交易方式的監(jiān)管問題。A20219月，A359月11.7A圖：易會(huì)滿“要求交易所研究四方面問題”公開講話 圖：221年至今萬得全A指數(shù)成交額走勢(shì)（億元）1700015000130001100090007000資料來源：上海證券報(bào)，所注：鏈接/news,bwkx-202109-4752787.htm

50002021-01 2021-07 2022-01 2022-07 2023-01 2023-07資料來源：，所量化私募成交占比研究：占比四成的說法是否科學(xué)？成交占比評(píng)估：成交數(shù)據(jù)估計(jì)是否合理1年9月1日的70A然而，當(dāng)我們計(jì)算交易量時(shí)，通常采用雙邊計(jì)算的方式，即計(jì)算買入和賣出的股票總量。這種單邊和雙邊計(jì)算方式的不一致會(huì)引發(fā)一些問題，例如造成成交占比的上限不是100%，而是200%。因此，對(duì)于聲稱“量化交易占市場成交量40%50%測算方法評(píng)估：現(xiàn)有測算方式有何缺陷20%理。上述估計(jì)基于以下假設(shè)：量化私募的規(guī)模為1萬億120002000A1萬億的20%?；甬a(chǎn)品相較于小規(guī)模基金往往具有更差的流動(dòng)性。400-50030-501100Alpha170～9050～7010050圖1：近年來國內(nèi)量化私募整體管理規(guī)模 圖2：百億級(jí)量化私募雙邊換手率108007000400010800700040002019 2020 2021 量化私募基金管理規(guī)模（億元）資料來源：中國證券投資基金業(yè)協(xié)會(huì)《2021年私募基金統(tǒng)計(jì)分析簡報(bào)》，金融時(shí)報(bào)，所注：鏈接/s/doq5qXEi5O3fj-zkEIXy2A

資料來源：上海證券報(bào)，所注：鏈接/s/NIUdIekyWKlCVrpbOqqlwg20030012%18%（20030040%11年末，168501.08萬21.9%17.1%。超過0%18萬億80%11此數(shù)據(jù)基于中國基金業(yè)協(xié)會(huì)公布的統(tǒng)計(jì)數(shù)據(jù)，截至2021年底，量化私募的管理規(guī)模約為1.08萬億元。同時(shí)，在對(duì)基金的實(shí)際交易規(guī)模進(jìn)行測算時(shí)，需綜合考慮募集層和交易層的“規(guī)模雙算”問題?；鸬哪技?guī)模和交易規(guī)模并不相同，前者指基金在募集期內(nèi)吸引的資金總額，而后者則表示基金在日常運(yùn)作中進(jìn)行的投資交易規(guī)模。事實(shí)上，為確?；鹉艹浞掷觅Y金進(jìn)行投資，并有效實(shí)施流動(dòng)性和風(fēng)險(xiǎn)管理，基金募集來的資金數(shù)量應(yīng)與基金的投資策略及可投資市場規(guī)模相適配，一般交易規(guī)模8820216912盡32（1年2.2，量13%左右左右。40%50%成交金額分析：虛假流動(dòng)性高估成交額2000A25%75%25%2021體占成交額占比13%的估計(jì)，在剔除虛擬流動(dòng)性的影響后，其真實(shí)占比約為10.1%2。綜上所述，量化交易的成交額部分存在一定程度上的不確定性?？紤]到自成交和交易對(duì)手的多樣性，實(shí)際的市場成交額可能比表面上顯示的要低。成交占比估計(jì)：量化交易究竟占比幾何2理人整體資產(chǎn)規(guī)模已經(jīng)達(dá)到約為1.5萬億元，占證券市場交易量大約為五分之一?！?9600（%5014408930015%2該結(jié)果的計(jì)算過程為： 1.06萬億×13%×0.751.06萬億?1.06萬億×13%×0.25

=10.1%交的部分，我們估算量化交易對(duì)外部的沖擊影響只有11.7%3。圖3：2017-2021年新備案私募量化投資基金情況 圖4：2022年底量化私募行業(yè)規(guī)模估計(jì)59784724354459784724354426292017 2018 2019 2020 新備案私募量化投資基金數(shù)量（家）資料來源：中國證券投資基金業(yè)協(xié)會(huì)，所注：出自中基協(xié)《2021年私募基金統(tǒng)計(jì)分析簡報(bào)》

資料來源：中國基金報(bào)，所注：鏈接/s/QacRAPOqe9dfBhH4vtLnXw量化私募持倉分布研究：偏愛小市值，還是大盤股？量化交易的核心驅(qū)動(dòng)力是流動(dòng)性。當(dāng)市場流動(dòng)性較好時(shí)，量化交易能夠更順AlphaAlphaAlpha我們認(rèn)為量化交易對(duì)市值鳴石投資創(chuàng)始人袁宇在JournalofFinancialEconomicsSizeandvalueinChinaSMB30%2016其中就包括使用因子選股策略的量化私募基金。在一定程度上，這一做法可能會(huì)導(dǎo)致量化私募基金在持倉中對(duì)小盤股的相對(duì)減少，這同樣印證了我們對(duì)于“量化3該結(jié)果的計(jì)算過程為：1440億× 75%9600億?1440億×25%

=11.7%圖5：論文“SizeandvalueinChina”因子構(gòu)建剔除小市值股票資料來源：袁宇“SizeandvalueinChina”，所基金行業(yè)規(guī)模達(dá)到萬億級(jí)別而言，全面暴露于小盤股是不現(xiàn)實(shí)的?；侥蓟鹨?guī)模的逐年增長，小盤股策略規(guī)模有其局限性，的持倉風(fēng)格整體上可能傾向于減少對(duì)小盤股的暴露。1650%810%8000股票，也從未發(fā)現(xiàn)任何一家量化私募有過舉牌記錄。圖6：萬得小市值指數(shù)近三年總市值和自由流通市值0總市值億元） 自由流市值億元）資料來源：，所我們還可以從以下角度考慮：假設(shè)量化私募買到萬得小市值指數(shù)所有成分股的第十大股東，則其等效持股規(guī)模應(yīng)在500-800億元之間（詳見下圖中展示的等量化私募基金的持倉風(fēng)格整體上可能傾圖7：萬得小市值指數(shù)第十大股東等效持有規(guī)模782.54782.54億760.69億696.03718.69億億594.82億592.05億615.05億616.06億689.61億671.70億637.63億612.82億590.86億563.33億581.75億593.02581.13億605.81億549.91億540.71億546.86億530.04億 531.10億545.55億509.67億資料來源：，所2017-032017-042017-032017-042017-052017-062017-072017-082017-092017-102017-112017-122018-012018-022018-032018-042018-052018-062018-072018-082018-092018-102018-112018-122019-012019-022019-032019-042019-052019-062019-072019-082019-092019-102019-112019-122020-012020-022020-032020-042020-052020-062020-072020-082020-092020-102020-112020-122021-012021-022021-032021-042021-052021-062021-072021-082021-092021-102021-112021-122022-012022-022022-032022-042022-052022-062022-072022-082022-092022-102022-112022-122023-012023-022023-03量化私募基金會(huì)根據(jù)流動(dòng)性、市值等多個(gè)因素進(jìn)行持倉調(diào)整，以追求更好的投資效果。同時(shí)，這也意味著量化私募基金需要尋找具有較大市值和更高流動(dòng)性的股票，以承載其規(guī)模。討論總的來說，量化私募對(duì)市場的交易沖擊較小。游資、機(jī)構(gòu)資金以及一些具有剛性兌付屬性的資金，如近年來銀行理財(cái)子資金入場、杠桿資金入場和強(qiáng)平，以及專戶基金面臨清盤線的強(qiáng)平的情況，對(duì)市場波動(dòng)也會(huì)造成一定影響。雖然量化交易在某些情況下存在追漲殺跌的行為、增大了市場的短期波動(dòng)，但本質(zhì)上它不具備引領(lǐng)市場漲跌的作用。量化交易在更多程度上只是一種跟風(fēng)行為，對(duì)市場影響較小、且沒有明確的方向性。量化私募的持倉一般更分散，這與其他剛性兌付基金也不盡相同。對(duì)于市場中存在的“盡管單個(gè)量化私募對(duì)市場影響微乎其微，但如果有很多AB總而言之，趨同交易是趨勢(shì)策略判斷趨勢(shì)的結(jié)果，但并非策略本身的趨同。由于不同策略在計(jì)算買入賣出時(shí)點(diǎn)上存在差異，量化私募作為一個(gè)整體很難形成明顯的趨同交易。附錄量化私募A：自2021年6月半年報(bào)披露的前十大股東記錄中出現(xiàn)后，該量化私募在過去的兩年時(shí)間里未出現(xiàn)在股東記錄中。表1：量化私募A作為上市公司前十大股東記錄股票代碼股票簡稱日期持股比例股票代碼股票簡稱日期持股比例股票代碼股票簡稱日期持股比例300538.SZ同益股份2017/9/301.02%603976.SH正川股份2019/12/311.76%300375.SZ鵬翎股份2020/12/310.73%603330.SH天洋新材2017/9/300.65%600768.SH寧波富邦2019/12/310.79%300084.SZ海默科技2020/12/310.51%300374.SZ中鐵裝配2017/12/310.21%300586.SZ美聯(lián)新材2019/12/310.47%300402.SZ寶色股份2020/12/310.28%603036.SH如通股份2017/12/310.28%300089.SZ*ST文化2019/12/311.01%300126.SZ銳奇股份2020/12/310.51%600193.SH創(chuàng)興資源2017/12/310.30%300576.SZ容大感光2020/3/311.37%300106.SZ西部牧業(yè)2020/12/310.28%603036.SH如通股份2018/6/300.39%300160.SZ秀強(qiáng)股份2020/3/310.53%300647.SZ超頻三2020/12/310.36%300162.SZ雷曼光電2018/6/300.26%600712.SH南寧百貨2020/3/310.42%600257.SH大湖股份2020/12/310.49%600903.SH貴州燃?xì)?018/6/300.20%300342.SZ天銀機(jī)電2020/3/310.75%300283.SZ溫州宏豐2020/12/310.51%300586.SZ美聯(lián)新材2018/9/300.37%600371.SH萬向德農(nóng)2020/3/310.34%300817.SZ雙飛股份2020/12/310.46%300746.SZ漢嘉設(shè)計(jì)2018/9/300.99%600156.SH華升股份2020/3/310.23%300247.SZ融捷健康2020/12/310.50%300745.SZ欣銳科技2018/9/300.62%600318.SH新力金融2020/3/310.88%300828.SZ銳新科技2020/12/310.51%601330.SH綠色動(dòng)力2018/9/300.31%300683.SZ海特生物2020/3/310.75%300879.SZ大葉股份2020/12/310.31%603045.SH福達(dá)合金2018/9/300.93%300655.SZ晶瑞電材2020/3/311.19%300167.SZST迪威迅2020/12/310.38%300746.SZ漢嘉設(shè)計(jì)2018/12/310.46%600513.SH聯(lián)環(huán)藥業(yè)2020/3/310.61%600313.SH農(nóng)發(fā)種業(yè)2020/12/310.28%603389.SH亞振家居2018/12/310.98%603912.SH佳力圖2020/3/310.39%300883.SZ龍利得2020/12/310.34%300740.SZ水羊股份2018/12/310.95%300328.SZ宜安科技2020/6/300.29%300304.SZ云意電氣2020/12/310.24%300597.SZ吉大通信2018/12/310.75%300411.SZ金盾股份2020/9/300.76%300711.SZ廣哈通信2020/12/310.16%601319.SH中國人保2019/3/310.16%603069.SH海汽集團(tuán)2020/9/300.33%300153.SZ科泰電源2020/12/310.70%300405.SZ科隆股份2019/6/300.29%300817.SZ雙飛股份2020/9/300.59%600081.SH東風(fēng)科技2020/12/310.27%300029.SZST天龍2019/6/300.67%300080.SZ易成新能2020/9/300.59%300827.SZ上能電氣2020/12/310.66%300354.SZ東華測試2019/6/300.48%300830.SZ金現(xiàn)代2020/9/300.24%605050.SH福然德2021/3/310.42%603133.SH*ST碳元2019/9/300.90%300810.SZ中科海訊2020/9/300.40%605006.SH山東玻纖2021/3/310.29%603912.SH佳力圖2019/9/300.16%300471.SZ厚普股份2020/9/300.41%603222.SH濟(jì)民醫(yī)療2021/3/310.37%603386.SH駿亞科技2019/9/301.60%300561.SZ匯金科技2020/9/300.29%605018.SH長華集團(tuán)2021/3/310.56%300705.SZ九典制藥2019/9/300.64%300293.SZ藍(lán)英裝備2020/9/300.35%003027.SZ同興環(huán)保2021/3/310.86%603177.SH德創(chuàng)環(huán)保2019/9/300.33%300700.SZ岱勒新材2020/9/300.45%600722.SH金牛化工2021/3/310.14%300576.SZ容大感光2019/9/301.34%300797.SZ鋼研納克2020/12/310.43%300881.SZ盛德鑫泰2021/3/310.69%300585.SZ奧聯(lián)電子2019/9/300.73%300641.SZ正丹股份2020/12/310.20%300137.SZ先河環(huán)保2021/3/310.55%300581.SZ晨曦航空2019/9/302.72%300507.SZ蘇奧傳感2020/12/310.23%300663.SZ科藍(lán)軟件2021/6/300.59%600371.SH萬向德農(nóng)2019/9/300.19%300356.SZ*ST光一2020/12/310.51%300821.SZ東岳硅材2021/6/300.16%600095.SH湘財(cái)股份2019/9/300.89%601702.SH華峰鋁業(yè)2020/12/310.68%605299.SH舒華體育2021/6/301.04%603138.SH海量數(shù)據(jù)2019/9/300.51%600006.SH東風(fēng)汽車2020/12/310.27%300641.SZ正丹股份2021/6/300.23%300354.SZ東華測試2019/9/300.51%300626.SZ華瑞股份2020/12/310.77%300591.SZ萬里馬2021/6/300.59%300312.SZ邦訊退2019/9/300.41%600573.SH惠泉啤酒2020/12/310.30%300588.SZ熙菱信息2021/6/300.51%300052.SZ中青寶2019/9/300.65%600956.SH新天綠能2020/12/310.57%300581.SZ晨曦航空2021/6/300.16%300139.SZ曉程科技2019/9/300.37%300812.SZ易天股份2020/12/310.37%601969.SH海南礦業(yè)2021/6/300.14%603013.SH亞普股份2019/12/310.37%300370.SZ*ST安控2020/12/310.38%688328.SH深科達(dá)2021/6/300.60%資料來源：，所圖8：例：同益股份在量化私募A成為前十大股東后的股價(jià)走勢(shì) 圖9：例：正川股份在量化私募A成為前十大股東后的股價(jià)走勢(shì)50 3045 2540 2035 15302017-09-01 2017-10-09 2017-11-16

102019-12-02 2020-01-02 2020-02-02同益股：收價(jià)（） 事件后20個(gè)易日 正川股：收價(jià)（） 事件后20個(gè)易日資料來源：，所 資料來源：，所量化私募2023ST*ST表2：量化私募B作為上市公司前十大股東記錄股票代碼股票簡稱日期持股比例股票代碼股票簡稱日期持股比例股票代碼股票簡稱日期持股比例603895.SH天永智能2018/9/300.31%300535.SZ達(dá)威股份2020/9/300.97%300843.SZ勝藍(lán)股份2020/9/301.95%603915.SH國茂股份2019/9/300.25%300430.SZ誠益通2020/9/300.85%300549.SZ優(yōu)德精密2020/9/300.89%300780.SZ德恩精工2019/9/300.29%300654.SZ世紀(jì)天鴻2020/9/300.62%600573.SH惠泉啤酒2020/9/300.32%603927.SH中科軟2019/12/310.39%300519.SZ新光藥業(yè)2020/9/300.65%300839.SZ博匯股份2020/9/302.42%603115.SH海星股份2020/3/310.41%300435.SZ中泰股份2020/9/300.46%300837.SZ浙礦股份2020/9/302.19%603109.SH神馳機(jī)電2020/3/310.21%300387.SZ富邦股份2020/9/300.55%300831.SZ派瑞股份2020/9/300.53%603530.SH神馬電力2020/3/310.52%300040.SZ九洲集團(tuán)2020/9/300.92%300821.SZ東岳硅材2020/9/300.65%603890.SH春秋電子2020/3/311.43%300392.SZ*ST騰信2020/9/300.61%300828.SZ銳新科技2020/9/300.46%300811.SZ鉑科新材2020/3/310.43%300399.SZ天利科技2020/9/300.24%300528.SZ幸福藍(lán)海2020/9/300.55%603178.SH圣龍股份2020/3/310.24%300356.SZ*ST光一2020/9/300.94%300826.SZ測繪股份2020/9/300.77%300806.SZ斯迪克2020/3/310.51%300668.SZ杰恩設(shè)計(jì)2020/9/301.30%300825.SZ阿爾特2020/9/300.80%300576.SZ容大感光2020/3/310.41%605199.SH葫蘆娃2020/9/300.93%300848.SZ美瑞新材2020/9/300.80%300706.SZ阿石創(chuàng)2020/3/310.53%300163.SZ先鋒新材2020/9/300.70%300615.SZ欣天科技2020/9/300.44%300793.SZ佳禾智能2020/3/310.53%300074.SZ華平股份2020/9/300.85%300584.SZ海辰藥業(yè)2020/9/300.89%300781.SZ因賽集團(tuán)2020/3/310.72%300084.SZ海默科技2020/9/300.77%300539.SZ橫河精密2020/9/302.22%300780.SZ德恩精工2020/3/310.38%688025.SH杰普特2020/9/301.79%300743.SZ天地?cái)?shù)碼2020/9/301.07%300752.SZ隆利科技2020/3/310.62%688010.SH福光股份2020/9/300.44%300670.SZ大燁智能2020/9/300.98%300354.SZ東華測試2020/3/310.45%300126.SZ銳奇股份2020/9/300.94%600213.SH亞星客車2020/9/300.49%300797.SZ鋼研納克2020/3/310.50%300103.SZ達(dá)剛控股2020/9/300.48%300660.SZ江蘇雷利2020/9/301.29%300803.SZ指南針2020/3/310.38%300105.SZ龍?jiān)醇夹g(shù)2020/9/300.46%300688.SZ創(chuàng)業(yè)黑馬2020/9/300.68%688051.SH佳華科技2020/3/310.42%300164.SZ通源石油2020/9/300.91%300720.SZ海川智能2020/9/302.12%300721.SZ怡達(dá)股份2020/3/310.81%688027.SH國盾量子2020/9/300.60%300742.SZ*ST越博2020/9/300.54%300632.SZ光莆股份2020/3/310.42%300165.SZ天瑞儀器2020/9/301.06%300756.SZ金馬游樂2020/9/302.37%600449.SH寧夏建材2020/3/310.41%300713.SZ英可瑞2020/9/301.01%300892.SZ品渥食品2020/9/300.81%603500.SH祥和實(shí)業(yè)2020/3/310.84%300172.SZ中電環(huán)保2020/9/300.89%300736.SZ百邦科技2020/9/300.43%300686.SZ智動(dòng)力2020/6/300.80%300419.SZ浩豐科技2020/9/300.85%300716.SZ泉為科技2020/9/301.35%600361.SH創(chuàng)新新材2020/6/300.41%603032.SH德新科技2020/9/300.21%300895.SZ銅牛信息2020/9/300.57%300504.SZ天邑股份2020/6/300.41%300411.SZ金盾股份2020/9/300.55%300478.SZ杭州高新2020/9/300.85%300519.SZ新光藥業(yè)2020/6/300.26%603059.SH倍加潔2020/9/301.12%300675.SZ建科院2020/9/300.46%300599.SZ雄塑科技2020/6/300.37%300403.SZ漢宇集團(tuán)2020/9/300.99%300697.SZ電工合金2020/9/300.96%300823.SZ建科機(jī)械2020/6/300.81%300700.SZ岱勒新材2020/9/301.21%300467.SZ迅游科技2020/9/300.59%300822.SZ貝仕達(dá)克2020/6/300.50%300389.SZ艾比森2020/9/301.33%600191.SH華資實(shí)業(yè)2020/12/310.25%300793.SZ佳禾智能2020/6/300.43%300375.SZ鵬翎股份2020/9/300.69%300849.SZ錦盛新材2020/12/310.66%300819.SZ聚杰微纖2020/6/300.65%300343.SZ聯(lián)創(chuàng)股份2020/9/300.65%300859.SZ*ST西域2020/12/310.93%300818.SZ耐普礦機(jī)2020/6/300.70%603303.SH得邦照明2020/9/300.38%300809.SZ華辰裝備2020/12/310.78%300806.SZ斯迪克2020/6/301.55%300167.SZST迪威迅2020/9/300.76%300746.SZ漢嘉設(shè)計(jì)2020/12/310.66%300722.SZ新余國科2020/6/301.94%300335.SZ迪森股份2020/9/301.04%300781.SZ因賽集團(tuán)2020/12/310.79%300739.SZ明陽電路2020/6/301.33%603380.SH易德龍2020/9/300.28%688129.SH東來技術(shù)2020/12/311.94%600589.SH*ST榕泰2020/6/300.32%603386.SH駿亞科技2020/9/300.48%688585.SH上緯新材2020/12/311.57%603903.SH中持股份2020/6/300.82%300329.SZ海倫鋼琴2020/9/300.78%688589.SH力合微2020/12/310.51%603893.SH瑞芯微2020/6/300.38%300325.SZ德威退2020/9/300.22%300818.SZ耐普礦機(jī)2020/12/310.49%603917.SH合力科技2020/6/300.52%300297.SZ*ST藍(lán)盾2020/9/300.42%688595.SH芯海科技2020/12/310.99%603330.SH天洋新材2020/6/300.78%300279.SZ和晶科技2020/9/300.43%688596.SH正帆科技2020/12/310.63%603919.SH金徽酒2020/6/300.43%300067.SZ安諾其2020/9/300.59%688135.SH利揚(yáng)芯片2020/12/310.49%603396.SH金辰股份2020/6/301.59%603661.SH恒林股份2020/9/301.24%300727.SZ潤禾材料2020/12/310.35%603991.SH至正股份2020/6/300.66%603729.SH龍韻股份2020/9/300.73%300611.SZ美力科技2020/12/310.54%603466.SH風(fēng)語筑2020/6/301.62%603808.SH歌力思2020/9/300.41%003011.SZ海象新材2020/12/310.80%300819.SZ聚杰微纖2020/6/301.15%300330.SZ計(jì)通退2020/9/300.75%300795.SZ米奧會(huì)展2020/12/310.71%603988.SH中電電機(jī)2020/6/300.32%300240.SZ飛力達(dá)2020/9/300.49%300780.SZ德恩精工2020/12/310.57%688010.SH福光股份2020/6/300.31%688085.SH三友醫(yī)療2020/9/301.51%300615.SZ欣天科技2020/12/310.35%300795.SZ米奧會(huì)展2020/6/301.23%688069.SH德林海2020/9/303.35%300539.SZ橫河精密2020/12/311.05%688011.SH新光光電2020/6/300.47%688338.SH賽科希德2020/9/302.10%300778.SZ新城市2020/12/310.36%688028.SH沃爾德2020/6/300.44%688339.SH億華通2020/9/301.17%300752.SZ隆利科技2020/12/311.90%688033.SH天宜上佳2020/6/300.39%003007.SZ直真科技2020/9/300.40%688219.SH會(huì)通股份2020/12/310.65%688078.SH龍軟科技2020/6/300.66%688357.SH建龍微納2020/9/302.82%003007.SZ直真科技2020/12/312.02%688081.SH興圖新科2020/6/300.61%688360.SH德馬科技2020/9/300.54%300743.SZ天地?cái)?shù)碼2020/12/310.54%688128.SH中國電研2020/6/300.47%688379.SH華光新材2020/9/301.09%688186.SH廣大特材2020/12/310.84%300632.SZ光莆股份2020/6/300.62%003002.SZ壺化股份2020/9/301.38%300809.SZ華辰裝備2020/12/310.45%688159.SH有方科技2020/6/300.44%688398.SH賽特新材2020/9/300.99%688529.SH豪森股份2020/12/310.53%688178.SH萬德斯2020/6/300.57%688399.SH碩世生物2020/9/300.54%003010.SZ若羽臣2020/12/310.55%300729.SZ樂歌股份2020/6/301.39%688418.SH震有科技2020/9/301.36%688160.SH步科股份2020/12/310.50%300673.SZ佩蒂股份2020/6/301.36%688466.SH金科環(huán)境2020/9/301.96%688556.SH高測股份2020/12/312.07%688218.SH江蘇北人2020/6/300.63%688488.SH艾迪藥業(yè)2020/9/301.01%688559.SH海目星2020/12/312.78%688357.SH建龍微納2020/6/300.65%688516.SH奧特維2020/9/302.21%300736.SZ百邦科技2020/12/310.48%688398.SH賽特新材2020/6/300.43%688518.SH聯(lián)贏激光2020/9/300.50%600758.SH遼寧能源2020/12/310.33%603661.SH恒林股份2020/6/302.02%688555.SH退市澤達(dá)2020/9/300.60%300828.SZ銳新科技2020/12/310.46%603610.SH麒盛科技2020/6/300.62%688556.SH高測股份2020/9/302.97%300885.SZ海昌新材2020/12/310.36%603283.SH賽騰股份2020/6/301.17%688558.SH國盛智科2020/9/301.22%300889.SZ愛克股份2020/12/310.30%600197.SH伊力特2020/6/300.49%688568.SH中科星圖2020/9/300.49%688106.SH金宏氣體2020/12/310.47%603090.SH宏盛股份2020/6/300.37%688579.SH山大地緯2020/9/301.54%300900.SZ廣聯(lián)航空2020/12/310.36%603106.SH恒銀科技2020/6/301.00%688586.SH江航裝備2020/9/300.84%300901.SZ中胤時(shí)尚2020/12/311.08%603506.SH南都物業(yè)2020/6/301.84%688588.SH凌志軟件2020/9/301.73%300902.SZ國安達(dá)2020/12/310.46%300399.SZ天利科技2020/6/300.33%688589.SH力合微2020/9/300.81%300903.SZ科翔股份2020/12/311.70%300705.SZ九典制藥2020/6/300.97%688596.SH正帆科技2020/9/301.53%300905.SZ寶麗迪2020/12/310.41%300330.SZ計(jì)通退2020/6/300.70%688313.SH仕佳光子2020/9/301.79%603689.SH皖天然氣2020/12/310.44%603499.SH翔港科技2020/6/301.19%688055.SH龍騰光電2020/9/303.12%300906.SZ日月明2020/12/310.43%300246.SZ寶萊特2020/6/301.05%688312.SH燕麥科技2020/9/300.42%300909.SZ匯創(chuàng)達(dá)2020/12/310.40%603185.SH弘元綠能2020/6/301.30%688309.SH恒譽(yù)環(huán)保2020/9/300.68%600081.SH東風(fēng)科技2020/12/310.26%603198.SH迎駕貢酒2020/6/300.15%688077.SH大地熊2020/9/301.58%600191.SH華資實(shí)業(yè)2020/12/310.68%603136.SH天目湖2020/6/301.22%300025.SZ華星創(chuàng)業(yè)2020/9/300.90%600213.SH亞星客車2020/12/310.45%603311.SH金海高科2020/9/300.48%688081.SH興圖新科2020/9/301.04%601702.SH華峰鋁業(yè)2020/12/310.42%300746.SZ漢嘉設(shè)計(jì)2020/9/301.45%600778.SH友好集團(tuán)2020/9/300.63%600971.SH恒源煤電2020/12/310.54%300717.SZ華信新材2020/9/301.65%688089.SH嘉必優(yōu)2020/9/303.15%600903.SH貴州燃?xì)?020/12/310.14%300710.SZ萬隆光電2020/9/301.55%688090.SH瑞松科技2020/9/300.54%600531.SH豫光金鉛2020/12/310.25%603040.SH新坐標(biāo)2020/9/300.59%688096.SH京源環(huán)保2020/9/301.69%300907.SZ康平科技2020/12/311.76%600971.SH恒源煤電2020/9/300.42%688098.SH申聯(lián)生物2020/9/300.73%300884.SZ狄耐克2020/12/310.49%300732.SZ設(shè)研院2020/9/300.94%688108.SH賽諾醫(yī)療2020/9/301.03%300891.SZ惠云鈦業(yè)2020/12/310.71%300827.SZ上能電氣2020/9/301.18%688123.SH聚辰股份2020/9/300.68%300839.SZ博匯股份2020/12/311.98%300823.SZ建科機(jī)械2020/9/302.70%688126.SH滬硅產(chǎn)業(yè)2020/9/300.24%300883.SZ龍利得2020/12/310.36%300838.SZ浙江力諾2020/9/301.84%688138.SH清溢光電2020/9/300.57%688013.SH天臣醫(yī)療2020/12/311.03%300839.SZ博匯股份2020/9/301.18%688156.SH路德環(huán)境2020/9/300.64%300508.SZ維宏股份2020/12/310.31%300818.SZ耐普礦機(jī)2020/9/302.47%688157.SH松井股份2020/9/302.51%605358.SH立昂微2020/12/310.49%603286.SH日盈電子2020/9/300.66%688159.SH有方科技2020/9/300.80%605198.SH安德利2020/12/310.72%300817.SZ雙飛股份2020/9/300.83%688181.SH八億時(shí)空2020/9/301.38%300843.SZ勝藍(lán)股份2020/12/310.47%300809.SZ華辰裝備2020/9/301.03%688186.SH廣大特材2020/9/300.95%605018.SH長華集團(tuán)2020/12/310.35%300846.SZ首都在線2020/9/300.32%688189.SH南新制藥2020/9/300.89%605003.SH眾望布藝2020/12/310.90%603977.SH國泰集團(tuán)2020/9/300.53%688196.SH卓越新能2020/9/301.23%605136.SH麗人麗妝2020/12/310.70%300849.SZ錦盛新材2020/9/305.11%688258.SH卓易信息2020/9/301.26%300840.SZ酷特智能2020/12/310.44%300798.SZ錦雞股份2020/9/301.29%688268.SH華特氣體2020/9/300.60%300872.SZ天陽科技2020/12/310.20%300797.SZ鋼研納克2020/9/301.95%688286.SH敏芯股份2020/9/301.12%688069.SH德林海2020/12/310.86%605188.SH國光連鎖2020/9/301.25%688288.SH鴻泉物聯(lián)2020/9/301.98%300879.SZ大葉股份2020/12/310.35%300857.SZ協(xié)創(chuàng)數(shù)據(jù)2020/9/301.07%688311.SH盟升電子2020/9/301.91%300881.SZ盛德鑫泰2020/12/310.25%300875.SZ捷強(qiáng)裝備2020/9/300.42%300421.SZ力星股份2020/9/300.85%300882.SZ萬勝智能2020/12/310.40%300893.SZ松原股份2020/9/302.60%603090.SH宏盛股份2020/9/300.71%300859.SZ*ST西域2020/12/311.13%300781.SZ因賽集團(tuán)2020/9/302.12%688600.SH皖儀科技2020/9/301.19%300929.SZ華騏環(huán)保2021/3/310.75%003002.SZ壺化股份2020/9/300.64%300796.SZ貝斯美2020/9/301.34%300931.SZ通用電梯2021/3/310.37%300859.SZ*ST西域2020/9/300.39%300591.SZ萬里馬2020/9/301.00%300940.SZ南極光2021/3/310.43%300066.SZ三川智慧2020/9/300.33%300586.SZ美聯(lián)新材2020/9/300.49%688585.SH上緯新材2021/3/311.03%300111.SZ向日葵2020/9/300.20%300564.SZ筑博設(shè)計(jì)2020/9/303.07%003035.SZ南網(wǎng)能源2021/3/310.26%300547.SZ川環(huán)科技2020/9/301.03%300807.SZ天邁科技2020/9/301.20%300945.SZ曼卡龍2021/3/310.69%300150.SZ世紀(jì)瑞爾2020/9/300.71%300808.SZ久量股份2020/9/300.38%300883.SZ龍利得2021/3/310.29%300152.SZ新動(dòng)力2020/9/300.34%300488.SZ恒鋒工具2020/9/300.40%605368.SH藍(lán)天燃?xì)?021/3/310.36%300304.SZ云意電氣2020/9/300.41%300563.SZ神宇股份2020/9/300.69%603332.SH蘇州龍杰2021/3/310.57%300605.SZ恒鋒信息2020/9/301.10%688598.SH金博股份2020/9/301.13%300867.SZ圣元環(huán)保2021/3/310.42%300626.SZ華瑞股份2020/9/300.71%300500.SZ啟迪設(shè)計(jì)2020/9/300.56%603693.SH江蘇新能2021/3/310.23%300599.SZ雄塑科技2020/9/300.58%300852.SZ四會(huì)富仕2020/9/300.94%300929.SZ華騏環(huán)保2021/3/311.13%300154.SZ瑞凌股份2020/9/300.60%300557.SZ理工光科2020/9/300.59%300526.SZ*ST中潛2021/6/300.11%300555.SZST路通2020/9/300.90%300851.SZ交大思諾2020/9/300.68%300178.SZ騰邦退2022/3/310.45%300588.SZ熙菱信息2020/9/301.19%300554.SZ三超新材2020/9/300.52%300338.SZST開元2022/6/301.46%300210.SZ森遠(yuǎn)股份2020/9/300.40%300606.SZ金太陽2020/9/300.77%300356.SZ*ST光一2022/9/300.61%300556.SZ絲路視覺2020/9/300.40%300508.SZ維宏股份2020/9/301.06%605188.SH國光連鎖2022/9/303.01%300564.SZ筑博設(shè)計(jì)2020/9/301.18%300847.SZ中船漢光2020/9/300.59%600403.SH大有能源2022/9/300.13%300153.SZ科泰電源2020/9/300.43%300818.SZ耐普礦機(jī)2020/9/300.67%603272.SH聯(lián)翔股份2022/9/300.53%300641.SZ正丹股份2020/9/300.52%300845.SZ捷安高科2020/9/301.20%603007.SHST花王2023/3/311.14%資料來源：，所圖例天永智能在量化私募B成為前十大股東后的股價(jià)走勢(shì) 圖例達(dá)威股份在量化私募B成為前十大股東后的股價(jià)走勢(shì)323028262422202018-09-03 2018-10-08 2018-11-12

25201510502020-09-01 2020-09-30 2020-10-29 2020-11-27天永智：收價(jià)（） 事件后20個(gè)易日 達(dá)威股：收價(jià)（） 事件后20個(gè)易日資料來源：，所 資料來源：，所量化私募2021表3：量化私募C作為上市公司前十大股東記錄股票代碼股票簡稱日期持股比例股票代碼股票簡稱日期持股比例股票代碼股票簡稱日期持股比例603683.SH晶華新材2018/9/300.40%300950.SZ德固特2021/3/310.32%300997.SZ歡樂家2021/9/300.25%688108.SH賽諾醫(yī)療2019/12/310.55%688350.SH富淼科技2021/3/311.25%688616.SH西力科技2021/9/301.74%688100.SH威勝信息2020/3/310.27%688377.SH迪威爾2021/3/310.32%688630.SH芯碁微裝2021/9/300.55%688159.SH有方科技2020/6/300.46%300948.SZ冠中生態(tài)2021/3/310.75%688571.SH杭華股份2021/9/300.84%688028.SH沃爾德2020/6/300.46%688466.SH金科環(huán)境2021/3/311.21%688565.SH力源科技2021/9/300.94%688033.SH天宜上佳2020/6/300.36%688518.SH聯(lián)贏激光2021/3/310.42%688585.SH上緯新材2021/9/300.84%688588.SH凌志軟件2020/6/300.43%688555.SH退市澤達(dá)2021/3/310.61%688611.SH杭州柯林2021/9/301.41%688168.SH安博通2020/6/300.49%688004.SH博匯科技2021/3/310.55%688618.SH三旺通信2021/9/301.22%688178.SH萬德斯2020/6/300.63%688556.SH高測股份2021/3/310.67%688609.SH九聯(lián)科技2021/9/300.91%688118.SH普元信息2020/6/300.57%688557.SH蘭劍智能2021/3/310.67%688597.SH煜邦電力2021/9/301.62%688096.SH京源環(huán)保2020/6/300.97%688558.SH國盛智科2021/3/310.68%688560.SH明冠新材2021/9/300.67%688098.SH申聯(lián)生物2020/6/300.47%003037.SZ三和管樁2021/3/310.46%688038.SH中科通達(dá)2021/9/300.60%688128.SH中國電研2020/6/300.53%688588.SH凌志軟件2021/3/310.49%688698.SH偉創(chuàng)電氣2021/9/301.03%688100.SH威勝信息2020/6/300.55%003029.SZ吉大正元2021/3/310.46%688129.SH東來技術(shù)2021/9/301.44%688398.SH賽特新材2020/6/300.48%003016.SZ欣賀股份2021/3/310.84%688683.SH萊爾科技2021/9/301.86%688123.SH聚辰股份2020/9/300.55%688600.SH皖儀科技2021/3/310.58%300967.SZ曉鳴股份2021/9/300.51%688098.SH申聯(lián)生物2020/9/300.63%688618.SH三旺通信2021/3/310.72%688178.SH萬德斯2021/9/300.81%688090.SH瑞松科技2020/9/300.65%688633.SH星球石墨2021/3/310.61%688195.SH騰景科技2021/9/301.49%688078.SH龍軟科技2020/9/300.91%688309.SH恒譽(yù)環(huán)保2021/3/310.83%688226.SH威騰電氣2021/9/301.76%688037.SH芯源微2020/9/300.36%688165.SH埃夫特2021/3/310.40%688679.SH通源環(huán)境2021/9/301.71%688013.SH天臣醫(yī)療2020/9/300.80%300922.SZ天秦裝備2021/3/310.37%688676.SH金盤科技2021/9/301.68%688108.SH賽諾醫(yī)療2020/9/300.85%688013.SH天臣醫(yī)療2021/3/311.37%688669.SH聚石化學(xué)2021/9/301.19%688128.SH中國電研2020/9/300.81%605368.SH藍(lán)天燃?xì)?021/3/310.44%301012.SZ揚(yáng)電科技2021/9/300.40%688159.SH有方科技2020/9/300.48%688056.SH萊伯泰科2021/3/311.51%688350.SH富淼科技2021/9/301.37%300859.SZ*ST西域2020/9/300.36%605298.SH必得科技2021/3/310.32%688355.SH明志科技2021/9/301.42%688589.SH力合微2020/9/300.38%605116.SH奧銳特2021/3/310.46%688367.SH工大高科2021/9/301.53%688558.SH國盛智科2020/9/300.69%688127.SH藍(lán)特光學(xué)2021/3/310.87%688395.SH正弦電氣2021/9/301.65%300847.SZ中船漢光2020/9/300.34%688556.SH高測股份2021/6/301.06%301060.SZ蘭衛(wèi)醫(yī)學(xué)2021/9/300.74%688138.SH清溢光電2020/9/300.48%300588.SZ熙菱信息2021/6/300.53%301063.SZ海鍋股份2021/9/301.02%300862.SZ藍(lán)盾光電2020/9/300.30%688618.SH三旺通信2021/6/300.92%688466.SH金科環(huán)境2021/9/300.80%688556.SH高測股份2020/9/301.12%688468.SH科美診斷2021/6/300.44%688501.SH青達(dá)環(huán)保2021/9/301.58%688004.SH博匯科技2020/9/300.43%688466.SH金科環(huán)境2021/6/300.54%68865