Core Viewpoint - The article explores the concept of contrarian investing, emphasizing its complexity beyond the simplistic notion of "buy low, sell high." It introduces a quantitative approach to measure contrarian investment capabilities through the concept of emotional beta, demonstrating that fund managers who achieve excess returns when investor opinions converge tend to perform better in the future [1][5][12]. Emotional Beta and Asset Returns - Contrarian investing is defined as taking positions contrary to the majority of investors. Turnover rate is used to represent the degree of investor disagreement, with lower turnover indicating greater consensus. Empirical results show that assets with low emotional beta often exhibit better future performance across various asset classes [2][6]. Quantitative Expression of Contrarian Investment Capability - The article constructs a contrarian investment capability factor based on fund holdings and fund returns. The average RankIC for the fund holding-based factor is -7.30%, with an annualized RankICIR of -0.92 and a win rate of 67.21%. The fund return-based factor shows an average RankIC of -8.92%, an annualized RankICIR of -1.04, and a win rate of 75.41%. The combined contrarian investment capability factor has an average RankIC of -10.85%, an annualized RankICIR of -1.39, and a win rate of 78.69% [3][66]. Characteristics of the Contrarian Investment Capability Factor - The contrarian investment capability factor exhibits low correlation with nine previously constructed selection factors, with absolute correlation values below 0.1. The introduction of this factor enhances the predictive power of a composite selection factor, increasing its average RankIC from 11.51% to 13.57% [4][73]. Market Adaptability and Predictive Power - Since 2015, the contrarian investment capability factor has shown high predictive power, with an average RankIC of -10.85% and an annualized RankICIR of -1.39. It has maintained strong performance even as other previously successful factors have experienced significant volatility [6][73]. Historical Examples of Contrarian Investors - Notable investors like Warren Buffett and John Templeton exemplify successful contrarian investing. Buffett's strategy involves buying undervalued stocks during market downturns, while Templeton capitalized on extreme pessimism during the Great Depression by investing in undervalued stocks [8][9][12].

报 告 摘 要 一、 事件快评 一 指数化投资迎来大发展 近几年，随着投资者对指数化投资接受程度的不断提高，指数基金规模不断提升。图1展示了2010Q1至2025Q1期间股票型ETF和普通股票型指数基金（不包含ETF）的规 模变动情况。可以看到股票型ETF规模整体呈上升趋势，2025Q1股票型ETF规模达到2.99万亿元；普通股票型指数基金（不包含ETF）受分级基金退出等因素影响规模增 速相对较低，2021Q3之后基金规模波动下行。截至2025年3月31日，股票型被动指数基金共计1305只，合计规模高达3.26万亿元。 由于指数成分股调整是根据编制规则进行的被动操作，因此若成分股的调整规模较大，则可能带来交易性的投资机会。我们对跟踪不同指数的被动产品的规模进行了统 计，仅考虑ETF、普通场外指数基金以及LOF，ETF联接不纳入考虑，其中，ETF规模截至2025年5月30日，场外基金以及LOF规模截至2025年3月31日。截至2025年5月 30日，被动产品跟踪规模超过100亿元的A股股票指数共38只，其中跟踪规模前三的指数分别为沪深300、中证A500、科创50，跟踪规模分别为10569.93、2076.83 ...

Group 1 - The core viewpoint of the article emphasizes the performance and characteristics of the "brokerage golden stocks" pool, highlighting its ability to track the performance of mixed equity funds and the strong selection capabilities of industry analysts [2][9][32] - In May 2025, the top-performing stocks in the brokerage golden stock pool included Mankalon, Chaohongji, and Kexing Pharmaceutical, with monthly returns of 10.78%, 7.30%, and 5.70% respectively [3][8] - Year-to-date, Northeast Securities, Huaxin Securities, and Dongxing Securities ranked highest in returns, achieving 45.28%, 40.52%, and 39.15% respectively, while the mixed equity fund index returned 3.37% and the CSI 300 index returned -2.41% [7][10] Group 2 - As of June 3, 2025, 43 brokerages published golden stocks, resulting in a total of 286 unique A-shares after deduplication [19] - The current allocation of golden stocks is highest in the machinery (9.56%), pharmaceuticals (9.04%), electronics (8.01%), basic chemicals (7.75%), and food and beverage (6.46%) sectors [23] - The brokerage golden stock pool has a higher exposure to small-cap stocks this month, indicating a shift in investment style [19][23] Group 3 - The performance of the brokerage golden stock performance enhancement portfolio showed an absolute return of 0.99% for the month and 4.97% year-to-date, outperforming the mixed equity fund index by 1.61% [28][29] - The article highlights the strong alpha generation capability of the brokerage golden stocks, which can provide significant investment opportunities [32][33] - The article also discusses the interaction between brokerage analysts and public fund managers, indicating that stocks recommended by multiple analysts tend to receive higher market attention [9][21]

Market Review - The A-share market showed mixed performance last week, with the CSI 1000 and CSI 500 indices gaining 0.62% and 0.32% respectively, while the ChiNext and Shanghai Composite indices fell by -1.55% and -1.08% respectively [5][14] - The total net investment from the central bank's reverse repos was 656.6 billion, with a total of 1.6026 trillion in open market operations [5][23] - The financial, defense, and pharmaceutical sectors performed well, with returns of 10.5%, 2.49%, and 2.21% respectively, while the automotive and non-ferrous metals sectors lagged behind with returns of -4.32% and -2.27% [21][22] Fund Performance - A total of 30 new funds were established last week, with a total issuance scale of 18.987 billion, an increase from the previous week [3][41] - The median returns for active equity, flexible allocation, and balanced mixed funds were -0.46%, -0.15%, and -0.26% respectively [33][35] - Alternative funds have shown the best performance this year, with a median return of 6.74%, while active equity and flexible allocation funds had median returns of 1.72% and 0.35% respectively [35][36] Fund Issuance - Last week, 40 funds were reported for issuance, including 2 FOFs and 1 QDII, indicating an increase in the number of new fund applications [4][5] - The new funds included various ETFs tracking sectors such as technology and pharmaceuticals, reflecting a growing interest in these areas [5][6] Index Adjustments - The Shanghai Stock Exchange announced the optimization of the SSE 380 index and the introduction of the SSE 580 index, aimed at providing a more comprehensive view of mid and small-cap stocks [7][8] - The adjustments are expected to enhance the representativeness of the indices, with the SSE 380 index covering approximately 14.7% of the market capitalization [8][9] Bond Market - The central bank's reverse repo operations resulted in a net investment of 656.6 billion, with a decrease in the repo rates across various maturities [23][24] - Credit spreads for different ratings of credit bonds have shown an upward trend, indicating a shift in market sentiment [27][28] Open-End Fund Overview - As of last week, there were 238 ordinary FOF funds, 118 target date funds, and 155 target risk funds in the open-end public fund market [39] - The median performance of target date funds was the best among fund types, with a cumulative return of 1.16% this year [39][40]

Group 1: Weekly Index Enhanced Portfolio Performance - The CSI 300 index enhanced portfolio achieved an excess return of 1.06% this week and 4.21% year-to-date [1][5] - The CSI 500 index enhanced portfolio recorded an excess return of -0.05% this week and 6.45% year-to-date [1][5] - The CSI 1000 index enhanced portfolio had an excess return of 0.72% this week and 9.41% year-to-date [1][5] - The CSI A500 index enhanced portfolio reported an excess return of 0.36% this week and 6.44% year-to-date [1][5] Group 2: Stock Selection Factor Performance Tracking - In the CSI 300 component stocks, factors such as three-month volatility, one-month volatility, and standardized unexpected earnings performed well [1][6] - In the CSI 500 component stocks, factors like quarterly revenue growth year-on-year, standardized unexpected revenue, and non-liquidity shocks showed strong performance [1][6] - For the CSI 1000 component stocks, factors such as EPTTM one-year percentile, SPTTM, and BP performed well [1][6] - In the CSI A500 index component stocks, factors like BP, quarterly EP, and three-month volatility showed good performance [1][6] - Among publicly offered fund heavy stocks, factors like quarterly unexpected magnitude, standardized unexpected earnings, and standardized unexpected revenue performed well [1][6] Group 3: Public Fund Index Enhanced Product Performance Tracking - The CSI 300 index enhanced products had a maximum excess return of 1.37%, a minimum of -0.21%, and a median of 0.32% this week [1][19] - The CSI 500 index enhanced products had a maximum excess return of 0.92%, a minimum of -0.09%, and a median of 0.35% this week [1][20] - The CSI 1000 index enhanced products had a maximum excess return of 0.98%, a minimum of -0.21%, and a median of 0.24% this week [1][22] - The CSI A500 index enhanced products had a maximum excess return of 0.70%, a minimum of -0.19%, and a median of 0.36% this week [1][24]

| 报 告 摘 要 | | | --- | --- | | 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-0.63%，相对偏股混合型基金指数超额收 | | | 益-0.26%。本年，优秀基金业绩增强组合绝对收益0.73%，相对偏股混合型基金指 | | | 数超额收益-2.63%。 今年以来，优秀基金业绩增强组合在主动股基中排名54.34% | | | 分位点（1885/3469）。 | | | 本周， 超预期精选组合 绝对收益0.12%，相对偏股混合型基金指数超额收益 | | | 0.49%。本年，超预期精选组合绝对收益9.36%，相对偏股混合型基金指数超额收 | | | 益 6.00% 。 今 年 以 来 ， 超 预 期 精 选 组 合 在 主 动 股 基 中 排 名 15.71% 分 | 位 点 | | （545/3469）。 | | | 本周， 券商金股业绩增强组合 绝对收益-0.28%，相对偏股混合型基金指数超额收 益0.09%。本年，券商金股业绩增强组合绝对收益4.97%，相对偏股混合型基金指 | | | 数超额收益1.61%。 今年以来，券商金股业绩增强组合 ...

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5月30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4.08%、 12.65%、9.77%、10.42%、8.85%、6.39%、21.84%、13.29%。中信一级行业指数中银行、电力及公用事业、医药、家电、农林牧渔行业指数距离 250日新高较近，煤炭、石油石化、房地产、消费者服务、电子行业指数距离250日新高较远。概念指数中，数字货币、银行精选、制药、创新药、万得微 盘股日频等权、银行等概念指数距离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5月30日，共697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基础化工、机械、医药行业，创新高个股数量占 比最高的是银行、汽车、纺织服装行业。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；按照指数分布 ...

一 、成分股分红进度 截至2025年5月27日： 上证50指数中，有26家公司处于预案阶段，11家公司处于决案阶段，1家公司进入 实施阶段，7家公司已分红，4家公司不分红； 沪深300指数中，有127家公司处于预案阶段，91家公司处于决案阶段，12家公司 进入实施阶段，42家公司已分红，27家公司不分红； 中证500指数中，有104家公司处于预案阶段，192家公司处于决案阶段，52家公 司进入实施阶段，61家公司已分红，91家公司不分红； 中证1000指数中，有139家公司处于预案阶段，378家公司处于决案阶段，111家 公司进入实施阶段，147家公司已分红，224家公司不分红。 二、行业成分股股息率比较 我们对当前已披露分红预案的个股股息率进行了统计，其中，煤炭、银行和钢铁行业的股 息率排名前三。 三、已实现及剩余股息率 截至2025年5月27日： 上证50指数已实现股息率为0.17%，剩余股息率2.18%； 沪深300指数已实现股息率为0.28%，剩余股息率1.73%； 中证500指数已实现股息率为0.23%，剩余股息率1.14%； 中证1000指数已实现股息率为0.23%，剩余股息率0.82%。 四、股 ...

Market Review - The A-share market showed mixed performance last week, with the Small and Medium-sized Board Index, CSI 300, and Shenzhen Component Index yielding returns of 0.62%, -0.18%, and -0.46% respectively, while the STAR 50, CSI 1000, and CSI 500 indices lagged with returns of -1.47%, -1.29%, and -1.10% respectively [1][6] - The total trading volume of major indices decreased last week, with all major indices falling within the historical percentile range of 35%-55% over the past 52 weeks [9][10] - In terms of industry performance, the comprehensive, pharmaceutical, and automotive sectors led with returns of 1.93%, 1.92%, and 1.80% respectively, while comprehensive finance, computer, and electronics sectors lagged with returns of -4.79%, -3.00%, and -2.10% respectively [13][14] Open-end Public Fund Performance - Last week, the active equity, flexible allocation, and balanced mixed funds had returns of -0.05%, -0.04%, and -0.12% respectively. Year-to-date, alternative funds performed best with a median return of 6.57%, while active equity, flexible allocation, and balanced mixed funds had median returns of 2.34%, 0.54%, and -0.11% respectively [24][26] - The median excess return for index-enhanced funds was 0.19%, while the median return for quantitative hedge funds was -0.09%. Year-to-date, the median excess return for index-enhanced funds was 1.65%, and for quantitative hedge funds, it was 0.46% [27][28] Fund Product Issuance - Last week, 27 new funds were established with a total issuance scale of 164.23 billion, a decrease from the previous week. The issuance included 94.88 billion for equity funds, 0 billion for mixed funds, and 69.35 billion for bond funds [33][34] - There were 25 funds that entered the issuance phase for the first time last week, and 35 funds are expected to start issuing this week [2]

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0.32%，本年超额收益3.16%。 中证500指数增强组合本周超额收益0.64%，本年超额收益6.49%。 中证1000指数增强组合本周超额收益0.52%，本年超额收益8.57%。 中证A500指数增强组合本周超额收益0.35%，本年超额收益6.13%。 二、本周选股因子表现跟踪 沪深300成分股中预期净利润环比、3个月盈利上下调、单季超预期幅度等因 子表现较好。 中证500成分股中非流动性冲击、单季ROE、预期PEG等因子表现较好。 中证1000成分股中三个月换手、一个月换手、非流动性冲击等因子表现较 好。 中证A500指数成分股中3个月盈利上下调、单季超预期幅度、DELTAROE等 因子表现较好。 公募基金重仓股中非流动性冲击、三个月换手、一个月换手等因子表现较 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1.07%，最低-0.38%，中位数 0.11%。 中证500指数增强产品本周超额收益最高0.90%，最低-0.43%，中位数 0.45%。 中证1000指数增强产品本周超额收益最高1.00%，最低-0. ...