报 告 摘 要 一、美国公募基金市场月度收益 2025年 6月，美国股票型基金业绩强于国际股票基金、债券基金和资产配置基金。具体 来看，6月美国股票型基金、国际股票型基金、债券型基金、资产配置型基金收益中位 数分别为4.48%、3.59%、1.10%、3.32%。 二、 美国非货币基金资金流向 三、 头部资管机构资金净流入 我们围绕海外头部资管机构近期较为关注的主题，从资管机构公开发布的报告及文章中， 整理海外头部资管机构的市场观点及配置建议摘要。本月热点主题包括：欧美政策走势、 外资对股票市场观点等。 一 引言 据晨星统计，截至2024年末，美国市场共同基金总规模达20.2万亿美元，ETF总规模达10.3万亿美元，是全球最大的公募基金市场之一；作为基金市场的风向标，美国基金市场 的最新表现对全球投资者具有重要的参考意义。 本报告中，我们基于月度数据，从收益表现、基金规模、资金流向、产品发行等多个维度对美国市场公募基金月度动向进行观察和总结，并对海外头部资管机构对月度热点主 题发表的观点进行梳理，供投资者参考。 二 美国基金收益月度统计 基于美国基金收益数据，统计美国市场各类资产公募基金整体收益情况，并按基金 ...

一、本周指数增强组合表现 沪深300指数增强组合本周超额收益0.47%，本年超额收益9.69%。 中证500指数增强组合本周超额收益0.92%，本年超额收益10.86%。 中证1000指数增强组合本周超额收益0.08%，本年超额收益15.70%。 中证A500指数增强组合本周超额收益1.00%，本年超额收益10.95%。 二、本周选股因子表现跟踪 沪深300成分股中单季ROA、标准化预期外收入、单季营收同比增速等因子 表现较好。 中证500成分股中标准化预期外收入、单季净利同比增速、标准化预期外盈 利等因子表现较好。 中证1000成分股中标准化预期外收入、标准化预期外盈利、单季营收同比增 速等因子表现较好。 中证A500指数成分股中单季ROA、DELTAROA、DELTAROE等因子表现较 好。 公募基金重仓股中DELTAROA、预期PEG、标准化预期外盈利等因子表现较 好。 三、本周公募基金指数增强产品表现跟踪 沪深300指数增强产品本周超额收益最高1.58%，最低-0.61%，中位数 0.13%。 中证500指数增强产品本周超额收益最高1.06%，最低-0.83%，中位数 0.16%。 中证1000指数增 ...

一、国信金工主动量化策略表现跟踪 本周， 优秀基金业绩增强组合 绝对收益-1.03%，相对偏股混合型基金指数超额收 益-0.65%。本年，优秀基金业绩增强组合绝对收益11.69%，相对偏股混合型基金 指数超额收益-2.35%。 今年以来，优秀基金业绩增强组合在主动股基中排名 46.32%分位点（1607/3469）。 本周， 超预期精选组合 绝对收益2.16%，相对偏股混合型基金指数超额收益 2.55%。本年，超预期精选组合绝对收益27.67%，相对偏股混合型基金指数超额 收益13.63%。 今年以来，超预期精选组合在主动股基中排名11.53%分位点 （400/3469）。 本周， 券商金股业绩增强组合 绝对收益-0.62%，相对偏股混合型基金指数超额收 益-0.24%。本年，券商金股业绩增强组合绝对收益15.41%，相对偏股混合型基金 指数超额收益1.36%。 今年以来，券商金股业绩增强组合在主动股基中排名 33.73%分位点（1170/3469）。 本周， 成长稳健组合 绝对收益1.23%，相对偏股混合型基金指数超额收益 1.61%。本年，成长稳健组合绝对收益31.57%，相对偏股混合型基金指数超额收 益 ...

报 告 摘 要 乘势而起：市场新高趋势追踪 触及新高的个股、行业和板块可被视为市场的风向标。越来越多的研究表明动量、趋势跟踪策略的有效性。本报告旨在定期跟踪市场中创新高的个股及其 分布，以追踪市场趋势、把握市场热点。 截至2025年8月1日，上证指数、深证成指、沪深300、中证500、中证1000、中证2000、创业板指、科创50指数250日新高距离分别为1.54%、 4.38%、4.73%、2.25%、1.53%、1.08%、8.93%、7.99%。中信一级行业指数中传媒、通信、医药、国防军工、钢铁行业指数距离250日新高较近， 食品饮料、煤炭、房地产、家电、交通运输行业指数距离250日新高较远。概念指数中，万得微盘股日频等权、电子设备和仪器、制药、医疗服务精选、创 新药、光伏逆变器、CRO等概念指数距离250日新高较近。 见微知著：利用创新高个股进行市场监测 截至2025年8月1日，共1239只股票在过去20个交易日间创出250日新高。其中创新高个股数量最多的是医药、机械、基础化工行业，创新高个股数量占 比最高的是银行、钢铁、有色金属行业。按照板块分布来看，本周制造、周期板块创新高股票数量最多；按照指数分 ...

一、 多因素共振，小微盘风格领航本轮行情 自去年9月24日以来，在重磅政策的推动下，A股市场迎来强势反弹，A股核心 宽基指数均录得20%以上的涨幅，而作为覆盖小微盘企业的中证2000指数，其 标的普遍具备市值低、弹性高的特点，在流动性宽松与政策红利共振下，中证 2000上涨超过64%，成为本轮行情的核心引擎，展现出了较大的收益弹性，屡 创新高。 流动性宽松利好小微盘 ：央行在 2025 年实施适度宽松货币政策，通过降准、 降息及创设再贷款工具释放流动性。截至2025年 6 月末，M2 余额同比增长 8.3%，较 4 月末的 8% 进一步上升，反映货币供应量持续宽松。同期社融存量 达 430.22 万亿元，同比增速 8.9%。 专精特新政策持续推动，利好小微企业 ：中证2000成分股中，专精特新企业数 量达到521家，占比达到26.05%，其中这些企业集中于机械、电子、基础化工 等政策重点领域，与"新质生产力"方向高度重合，也直接受益于财政奖补、技 术攻关等定向支持。 资金持续关注小微盘 ：2024年四季度以来，随着小微盘股的持续强势，主动股 基在中证2000指数上的持股市值以及占比有着较为明显的提升。此外中证 ...

Group 1 - The article highlights the increasing frequency of "black swan" events in the A-share market, leading to significant drawdowns in excess returns for public index-enhanced products in 2024, marking the largest historical drawdown [1][4][6] - The "black swan index" has shown a higher proportion of extreme events occurring in 2024 compared to previous years, indicating a substantial increase in the probability of extreme tail risks [1][10][14] Group 2 - The evolution of risk models has transitioned from single-factor to multi-factor approaches, and from explicit to implicit risks, reflecting a deeper understanding of market risks [18][19][21] - Implicit risks are defined as those that change with market conditions and are not fully captured by traditional explicit risk models, making them crucial for comprehensive risk management [46][52] Group 3 - A comprehensive risk control process is proposed, consisting of three stages: preemptive measures, in-process control, and post-event handling, aimed at effectively managing both explicit and implicit risks [60][63] - The introduction of a full-process risk control model has shown to significantly reduce drawdowns and volatility without adversely affecting long-term returns [3][61] Group 4 - The traditional multi-factor index-enhanced model has demonstrated an annualized excess return of 18.77% with a maximum drawdown of 9.68%, while the model incorporating full-process risk control has achieved an annualized excess return of 16.51% with a maximum drawdown of only 4.90% [3][5] - The performance metrics indicate that the full-process risk control model enhances the stability of excess returns while minimizing drawdowns and volatility [3][5][61]

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报 告 摘 要 一、上周市场回顾 二、开放式公募基金表现 三、基金产品发行情况 上周新成立基金 46 只，合计发行规模为 276.04 亿元，较前一周有所增 加。此外，上周有 23 只基金首次进入发行阶段，本周将有 30 只基金开始 发行。 一 上周市场回顾 上周共上报 37 只基金， 较 上上周申报数量 有所增加。 申报的产品包括 1 只 FOF 、 1 只 QDII ，汇添富中证金融科技主题 ETF 、国泰中证港股通汽车产 业主题 ETF 、华安恒生生物科技 ETF 、易方达中证金融科技主题 ETF 、国泰君安恒生消费指数基金 (QDII) 、中航天虹消费封闭式 REIT 等。 二、第二批新型浮动费率基金获批 7 月 24 日，第二批 12 只新型浮动费率基金获批，与首批产品相比，第二批新型浮动费率基金不仅包括全市场选股产品，还包括制造业、高端装备、医药等 行业主题产品。 上周 A 股市场主要宽基指数全线上涨，科创 50 、中证 500 、创业板指指 数收益靠前，收益分别为 4.63% 、 3.28% 、 2.76% ，上证综指、沪深 300 、深证成指指数收益靠后，收益分别为 1.67% 、 1.69% ...

Group 1 - The core viewpoint of the article is to track the performance of various index enhancement portfolios and the factors influencing stock selection across different indices, highlighting the excess returns achieved by these portfolios [1][2][3]. Group 2 - The performance of the HuShen 300 index enhancement portfolio this week showed an excess return of 0.78%, with a year-to-date excess return of 9.31% [5]. - The performance of the Zhongzheng 500 index enhancement portfolio this week showed an excess return of -0.52%, with a year-to-date excess return of 9.90% [5]. - The Zhongzheng 1000 index enhancement portfolio had an excess return of 0.07% this week, with a year-to-date excess return of 15.69% [5]. - The Zhongzheng A500 index enhancement portfolio reported an excess return of 0.26% this week, with a year-to-date excess return of 9.96% [5]. Group 3 - In the HuShen 300 component stocks, factors such as specificity, EPTTM one-year quantile, and quarterly net profit year-on-year growth performed well [8]. - In the Zhongzheng 500 component stocks, factors like three-month volatility, EPTTM one-year quantile, and expected BP showed good performance [8]. - For Zhongzheng 1000 component stocks, factors such as three-month institutional coverage, three-month reversal, and expected BP performed well [8]. - In the Zhongzheng A500 index component stocks, factors like specificity, three-month reversal, and expected net profit month-on-month growth performed well [8]. Group 4 - The HuShen 300 index enhancement products had a maximum excess return of 1.28%, a minimum of -0.98%, and a median of 0.12% this week [21]. - The Zhongzheng 500 index enhancement products had a maximum excess return of 1.41%, a minimum of -1.31%, and a median of 0.04% this week [21]. - The Zhongzheng 1000 index enhancement products had a maximum excess return of 0.82%, a minimum of -0.47%, and a median of 0.15% this week [21]. - The Zhongzheng A500 index enhancement products had a maximum excess return of 1.16%, a minimum of -0.57%, and a median of -0.04% this week [21].

Core Viewpoint - The article provides a comprehensive performance tracking of various active quantitative strategies by GuoXin JinGong, highlighting their absolute and relative returns against the benchmark of active equity funds, with a focus on identifying investment opportunities and risks in the current market environment [2][3]. Group 1: Performance Overview - The "Excellent Fund Performance Enhancement Portfolio" achieved an absolute return of 2.29% this week and 12.86% year-to-date, ranking in the 44.05 percentile among active equity funds [12][6]. - The "Super Expected Selection Portfolio" had an absolute return of 0.45% this week and 24.97% year-to-date, ranking in the 13.64 percentile among active equity funds [9][13]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" recorded an absolute return of 1.75% this week and 16.12% year-to-date, ranking in the 32.52 percentile among active equity funds [22][19]. - The "Growth and Stability Portfolio" achieved an absolute return of 0.28% this week and 29.97% year-to-date, ranking in the 8.27 percentile among active equity funds [23][24]. Group 2: Strategy Descriptions - The "Excellent Fund Performance Enhancement Portfolio" aims to outperform the median return of active equity funds by utilizing quantitative methods to enhance the selection of top-performing funds [4][33]. - The "Super Expected Selection Portfolio" focuses on stocks with upward revisions in earnings forecasts, selecting those with strong fundamentals and technical support to construct a high-potential stock portfolio [37][9]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" is built on a selection of stocks recommended by brokerage analysts, optimizing the portfolio to align closely with the performance of the brokerage stock pool [41][17]. - The "Growth and Stability Portfolio" employs a two-dimensional evaluation system for growth stocks, prioritizing those with upcoming earnings announcements to capture potential excess returns [46][47].