Page 20 - CCFAJournal-FirstIssue

加中金融

迎接资本市场的繁荣周期

Embrace the New Cycle of the Capital Market

【作者】吴雅楠博士，CFA，现任北京快快网络技术有限公司和上海亚厚
资产管理有限公司董事长，具有逾 23 年全球及国内投资管理经验。曾任信
诚基金管理公司数量投资总监兼资深基金经理，管理逾 200 亿元资产，涵盖
结构化指数基金和量化多策略对冲产品。曾任加拿大道明资产管理公司副
总裁和高级投资经理，管理逾 300 亿加元资产并获得优异投资业绩。1996
年获加拿大西安大略大学统计物理和应用数学的博士学位，美国洛斯阿拉
莫斯国家实验室研究员。北京市特聘专家，北京市“海聚工程”领军人才，
中关村“高聚工程人才”。中国量化投资俱乐部理事，中国绝对收益协会
理事。中国教育部“春晖计划”专家，广东省高科技商会金融俱乐部首席
经济顾问。《量化投资与对冲基金》编委，“上海金融创新投资系列论坛”
组委会

Dr. Yanan Wu is the Chairman of Beijing Kuai Kuai Network Technology
Ltd. Co. & Shanghai Yahou Asset Management Inc. with over 23 years’
global and Chinese investment experience. As the Head of Quantitative
Investment and senior portfolio manager for CITIC-Prudential Fund
Management Co., Shanghai, China from 2009 through 2014, he managed
about ￥20 billion (RMB) assets including structured index funds and
multi-strategy hedge funds. As the VP and senior portfolio manager of TD
Asset Management Inc., Toronto, Canada from 1996 till 2009, he
managed about $30 billion (CAD) assets including portable alpha, liability-
driven products as well as global asset allocation, asset-liability matching and
duration extension overlay strategies for large pension, insurance, endowments, family trusts and various institutional
clients. One of his funds received Lipper award. Ph.D in statistical physics from University Western Ontario. Research
staff at Los Alamos National Laboratory, New Mexico, USA. He was a Specially Recruited Expert appointed by the
municipal government of Beijing, and was awarded one of leading entrepreneur talents of Zhong Guan Village, Beijing. He
has served as an executive board member of China Quantitative Investment Club since 2010, and a board member of
China Absolute Return Association since 2016. One of founders of Shanghai Financial & Innovative Investment Forum
since 2010.

【引言】 Introduction
The Shanghai Composite Index broke through the five key marks of
上证综指在 7 月开始的六个交易日内，接连突破 3000、 3000, 3100, 3200, 3300 and 3400 points in the six consecutive trading
3100、3200、3300、3400 点的五大关键点位。A 股的牛市 days in the beginning of July. The bull market atmosphere of A-shares
气氛忽然被点燃！A 股的牛市格局确立了吗？是否会重蹈 was suddenly ignited! Is the bull market of A-shares really arrived? Will
it repeat the 2015 "mad cow" market and then stop abruptly? What is
2015 年的“疯牛”行情然后嘎然而止呢？这轮牛市的成因 the cause and basis of this bull market? Let's discuss these topics here.
和基础是什么？我们本期一起来聊聊以下话题：
1. COVID-19 globalization and the central bank liquidity injection
1、 全球新冠水牛蔓延 2. A-share system benefits started
2、 A 股制度红利开启 3. The boom cycle of the capital market
3、 资本市场繁荣周期
1. COVID-19 globalization and the central bank
1、全球新冠水牛蔓延 liquidity injection
7 月 6 日上证综指收涨 5.71%，沪深 300 上涨 5.67%，创业 On July 6, the Shanghai SE Composite Index closed up 5.71%, the
板指上涨 2.72%。全市场成交额大幅放大，达到 1.57 万亿 CSI 300 index rose 5.67%, and the ChiNex price index rose 2.72%.
元。ETF 掀起涨停潮，40 余只 ETF 当天涨停！这是自 2015 The volume of the whole market has been greatly enlarged, reaching
年以来，上证综指的单日涨幅排在第 2。除了去年 2 月出 1.57 trillion yuan. ETF began to limit up, more than 40 ETFs limit
up on that day. This is the second largest increase in the Shanghai
现过一次单日大涨 5.6%的盛况之外，其余排在单日涨幅榜
Composite Index since 2015. Except for a single-day rise of 5.6% in
的记录都还停留在 2015 年。从单日成交额来看，2015 年
February last year, the remaining records in the single-day increase
的牛市中两市成交额最高达到了 2 万亿之上，成交额也已
list still remain in 2015. Also in 2015, the maximum daily trading
经位列 2016 年以来的最高点，超过了今年 2 月底 1.4 万亿 volume of the two stock exchanges reached more than 2 trillion,
的峰值。同时，股指期货抹平了负基差，出现了近年来罕 which has been the highest since 2016, exceeding the peak of 1.4
见的正基差，从长期的贴水一跃成为升水状态！A 股这是 trillion at the end of February this year. At the same time, stock
怎么了？牛市为什么来得这么突然？ index futures have smoothed the negative basis, and there has been
a rare positive basis in recent years, which has jumped from a long-
term discount to a premium. What's wrong with Shanghai SE
Composite? Why did the bull market come so suddenly?

CCFA JOURNAL OF FINANCE AUGUST 2020 Page 20 第20页