| 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-0.33%，相对偏股混合型基金指数超额收 | | | | | | | | | | 益-0.40%。本年，优秀基金业绩增强组合绝对收益1.37%，相对偏股混合型基金指 | | | | | | | | | | 数超额收益-2.38%。 今年以来，优秀基金业绩增强组合在主动股基中排名53.65% | | | | | | | | | | 分位点（1861/3469）。 | | | | | | | | | | 绝对收益0.20%，相对偏股混合型基金指数超额收益 | | | | | | | 本周， 超预期精选组合 | | | 0.13%。本年，超预期精选组合绝对收益9.23%，相对偏股混合型基金指数超额收 | | | | | | | | | | 5.47% | | | | | | 。 今 年 以 来 ， 超 预 期 精 选 组 合 在 主 ...

Group 1: Market Trends and Highs - The report tracks stocks, industries, and sectors reaching new highs, serving as market indicators and highlighting the effectiveness of momentum and trend-following strategies [1][4] - As of May 23, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index 4.05%, Shenzhen Component Index 11.85%, CSI 300 8.78%, CSI 500 10.70%, CSI 1000 9.41%, CSI 2000 7.40%, ChiNext Index 20.73%, and STAR Market 12.98% [5][18] Group 2: New High Stocks Overview - A total of 647 stocks reached a 250-day new high in the past 20 trading days, with the highest numbers in the basic chemicals, machinery, and pharmaceuticals sectors, totaling 93, 88, and 53 stocks respectively [11][19] - The highest proportion of new high stocks is found in the banking, textile and apparel, and transportation sectors, with respective proportions of 64.29%, 24.24%, and 23.58% [11][19] Group 3: Stable New High Stocks - The report identifies 41 stable new high stocks, with the manufacturing and consumer sectors contributing the most, each with 11 stocks selected [16][19] - The automotive industry leads in the manufacturing sector for new highs, while the food and beverage industry leads in the consumer sector [16][19] Group 4: Sector and Concept Indexes - Among the sector indices, banking, automotive, home appliances, electric power and utilities, and non-ferrous metals are closest to their 250-day new highs, with distances of 0.96%, 2.38%, 3.08%, 1.95%, and 4.71% respectively [7][18] - Concept indices such as automotive, banking selection, gold, innovative drugs, and banking are also near their 250-day new highs [8][18]

一 、成分股分红进度 截至2025年5月20日： 上证50指数中，有33家公司处于预案阶段，6家公司处于决案阶段，2家公司进入 实施阶段，4家公司已分红，4家公司不分红； 沪深300指数中，有170家公司处于预案阶段，60家公司处于决案阶段，14家公司 进入实施阶段，28家公司已分红，27家公司不分红； 中证500指数中，有187家公司处于预案阶段，159家公司处于决案阶段，34家公 司进入实施阶段，29家公司已分红，91家公司不分红； 中证1000指数中，有290家公司处于预案阶段，326家公司处于决案阶段，77家公 司进入实施阶段，82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20日： 上证50指数已实现股息率为0.12%，剩余股息率2.22%； 沪深300指数已实现股息率为0.23%，剩余股息率1.76%； 中证500指数已实现股息率为0.08%，剩余股息率1.26%； 中证1000指数已实现股息率为0.13%，剩余股息率0.90%。 四、股指期货 ...

Core Viewpoint - The U.S. mutual fund market showed mixed performance in April 2025, with equity funds underperforming compared to international equity, bond, and asset allocation funds [1][7]. Group 1: U.S. Mutual Fund Market Monthly Returns - In April 2025, the median returns for U.S. equity funds, international equity funds, bond funds, and asset allocation funds were -1.55%, 0.97%, 0.01%, and 0.11% respectively [1][7]. - Among U.S. equity funds, large-cap growth style funds performed the best with a median return of 1.66%, while large-cap value funds had the largest decline with a median return of -3.28% [8]. - International equity funds focused on Latin America performed well, with a median return of 6.9% for April 2025 and 19.22% year-to-date [8]. Group 2: U.S. Fund Flows - In April 2025, active management funds experienced a net outflow of $81.6 billion, while passive funds saw a net inflow of $36.1 billion [9][15]. - Open-end funds in the U.S. saw significant net outflows in both bond and equity categories, amounting to $61.9 billion and $33.3 billion respectively [24]. - Conversely, ETFs in the U.S. experienced net inflows of $31.1 billion for equity and $12.9 billion for bond ETFs [24]. Group 3: New Fund Issuance - In April 2025, a total of 42 new funds were established in the U.S. market, including 36 ETFs and 6 open-end funds [41][36]. - The new funds included 30 equity funds, 8 bond funds, and 4 asset allocation funds [41]. Group 4: Insights from Leading Asset Management Firms - Leading asset management firms are focusing on themes such as U.S. and European policy trends and foreign investment perspectives on the stock market [4][42]. - BlackRock anticipates that tariffs will increase inflation and hinder economic growth, while also identifying opportunities in developed market equities [44]. - Schroders highlights the potential for a strong bull market in gold due to geopolitical tensions and high sovereign debt levels [47].

Market Review - The A-share market showed a mixed performance last week, with the ChiNext Index, CSI 300, and Shanghai Composite Index yielding returns of 1.38%, 1.12%, and 0.76% respectively, while the STAR 50, CSI 1000, and CSI 500 indices had negative returns of -1.10%, -0.23%, and -0.10% respectively [6][10] - The automotive, non-bank financial, and retail sectors performed well, with returns of 2.71%, 2.67%, and 2.23% respectively, while the defense, computer, and comprehensive finance sectors lagged with returns of -1.61%, -1.40%, and -0.79% respectively [16][17] Fund Performance - Last week, the median returns for active equity, flexible allocation, and balanced mixed funds were 0.34%, 0.17%, and 0.16% respectively. Year-to-date, alternative funds have performed the best with a median return of 4.85% [28][30] - The median excess return for index-enhanced funds was 0.14%, while quantitative hedging funds also had a median return of 0.14%. Year-to-date, the excess median return for index-enhanced funds was 1.50% [31][32] Fund Issuance - A total of 15 new funds were established last week, with a total issuance scale of 6.345 billion yuan, which is a decrease from the previous week. Additionally, 27 funds entered the issuance phase, and 31 funds are set to begin issuance this week [3][40] - The first batch of 26 new floating management fee products was submitted for approval, which will link management fees to fund performance for eligible investors [5] Bond Market - As of last Friday, the central bank's reverse repos netted a withdrawal of 350.1 billion yuan, with a total of 836.1 billion yuan maturing and a net open market injection of 486 billion yuan. The pledge-style repo rates increased, with the 1-day rate rising by 12.92 basis points [18][19] ETF Index Series - On May 14, the China Securities Index officially launched several new ETF index series, including the CSI A500 and CSI cash flow indices, providing diversified benchmarks and investment targets for fund companies [9]

Group 1 - The core viewpoint of the article is to track the performance of index enhancement portfolios and the effectiveness of various stock selection factors across different indices [1][2][3] Group 2 - The performance of the HuShen 300 index enhancement portfolio showed an excess return of 0.37% for the week and 2.84% year-to-date [5] - The performance of the Zhongzheng 500 index enhancement portfolio showed an excess return of 1.06% for the week and 5.87% year-to-date [5] - The Zhongzheng 1000 index enhancement portfolio had an excess return of 1.73% for the week and 8.10% year-to-date [5] - The Zhongzheng A500 index enhancement portfolio reported an excess return of 0.53% for the week and 5.78% year-to-date [5] Group 3 - In the HuShen 300 component stocks, factors such as one-month reversal, expected PEG, and expected EPTTM performed well [6] - In the Zhongzheng 500 component stocks, one-month reversal, single-quarter SP, and SPTTM factors showed strong performance [6] - For Zhongzheng 1000 component stocks, factors like DELTAROA, executive compensation, and standardized expected external earnings performed well [6] - In the Zhongzheng A500 index component stocks, three-month reversal, single-quarter ROE, and one-month reversal factors were effective [6] - Among public fund heavy stocks, one-month reversal, three-month reversal, and single-quarter EP factors performed well [6] Group 4 - The HuShen 300 index enhancement products had a maximum excess return of 1.10%, a minimum of -0.76%, and a median of 0.06% for the week [19] - The Zhongzheng 500 index enhancement products had a maximum excess return of 0.99%, a minimum of -0.08%, and a median of 0.40% for the week [21] - The Zhongzheng 1000 index enhancement products had a maximum excess return of 0.81%, a minimum of -0.28%, and a median of 0.26% for the week [20] - The Zhongzheng A500 index enhancement products had a maximum excess return of 0.39%, a minimum of -0.52%, and a median of 0.23% for the week [22] Group 5 - The total number of public fund HuShen 300 index enhancement products is 67, with a total scale of 778 billion [16] - There are 70 Zhongzheng 500 index enhancement products with a total scale of 454 billion [16] - The Zhongzheng 1000 index enhancement products consist of 46 products with a total scale of 150 billion [16] - The Zhongzheng A500 index enhancement products have 35 products with a total scale of 223 billion [16]

目前市场上主流的量化产品均以沪深300、中证500等宽基指数为业绩基准。国信金工主动量化策略 以公募主动股基为业绩基准，以战胜主动股基中位数为目标，目 前包含"优秀基金业绩增强组合"、"超预期精选组合"、"券商金股业绩增强组合"和"成长稳健组合"。 本报告旨在对这些策略的业绩表现进行跟踪，供投资者参考。 一 国信金工主动量化策略跟踪 1 组合近期表现一览 图1和图2分别展示了优秀基金业绩增强组合、超预期精选组合、券商金股业绩增强组合及成长稳健组合在本周及2024年的收益表现情况。 我们以偏股混合型基金指 数（885001.WI）为比较基准 ，以主动股基仓位中位数作为组合仓位计算组合净值。组合近期表现如下： 优秀基金业绩增强组合：本周超额收益0.19%，本年超额收益-1.99%。 超预期精选组合：本周超额收益0.46%，本年超额收益5.32%。 券商金股业绩增强组合：本周超额收益0.23%，本年超额收益2.31%。 成长稳健组合：本周超额收益1.50%，本年超额收益12.68%。 2 优秀基金业绩增强组合 国信金工 优秀基金业绩增强组合 ，旨在对标公募主动股基收益中位数（本文以偏股混合型基金指数885001.W ...

Group 1: Market Trends and Highs - The report tracks stocks, industries, and sectors reaching new highs, serving as market indicators and highlighting the effectiveness of momentum and trend-following strategies [1][4] - As of May 16, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index at 3.50%, Shenzhen Component Index at 11.44%, CSI 300 at 8.62%, CSI 500 at 9.71%, CSI 1000 at 8.22%, CSI 2000 at 5.97%, ChiNext Index at 20.03%, and STAR Market 50 Index at 11.68% [5][24] Group 2: High-Performing Stocks - A total of 544 stocks reached a 250-day new high in the past 20 trading days, with the highest numbers in the basic chemical, machinery, and pharmaceutical sectors, totaling 81, 64, and 43 stocks respectively [2][13] - The highest proportion of new high stocks is found in the banking, transportation, and defense industries, with respective proportions of 64.29%, 20.33%, and 17.65% [13][26] Group 3: Sector Analysis - The manufacturing and cyclical sectors had the most stocks reaching new highs this week, with 174 and 157 stocks respectively, while the consumer, technology, pharmaceutical, and financial sectors had 68, 67, 43, and 32 stocks respectively [16] - The proportion of new high stocks in various indices includes: CSI 2000 at 10.05%, CSI 1000 at 7.80%, CSI 500 at 7.40%, CSI 300 at 10.33%, ChiNext Index at 5.00%, and STAR Market 50 Index at 6.00% [16][26] Group 4: Stable High-Performing Stocks - The report identifies 47 stable high-performing stocks, including Shuanglin Co., Wanchen Group, and Zhongchong Co., with the majority from the manufacturing and consumer sectors, totaling 17 and 11 stocks respectively [3][21] - The automotive industry leads in the manufacturing sector for new highs, while the agriculture, forestry, animal husbandry, and fishery industry leads in the consumer sector [21]

Core Viewpoint - The article analyzes the changes in private equity fund holdings based on the top ten shareholders and circulation shareholders data, revealing significant shifts in industry focus and stock positions among private equity managers in Q1 2025. Private Equity Fund Holdings Industry Changes - In Q1 2025, the electronics, pharmaceuticals, and basic chemicals sectors saw the highest number of stocks entering the top ten list by private equity managers, with counts of 18, 12, and 11 respectively [3] - Compared to Q4 2024, there was a notable increase in stocks from the electronics, power equipment and new energy, and steel sectors, while private equity managers withdrew from the basic chemicals, machinery, and defense industries [3] Private Equity Managers' Stock Adjustments - The top 20 stocks with the highest increase in private equity fund holdings were predominantly in the electronics, power equipment and new energy, and basic chemicals sectors. Notable stocks included Guoci Materials, Daili New Materials, and Songji Shares [6] - Conversely, the top 20 stocks with the largest decrease in holdings were also concentrated in the electronics, basic chemicals, and pharmaceuticals sectors, with significant reductions in holdings for stocks like BeiJi ShenZhou-U and Shengyi Technology [8] Private Equity Managers' Sample Pool - The analysis included private equity managers with a focus on stock strategies, managing over 10 billion, and having at least three stocks in the top ten list during both Q4 2024 and Q1 2025 [2] Individual Manager Adjustments - Manager Renqiao increased holdings in stocks such as Xiaofang Pharmaceutical and Chengtou Holdings while reducing positions in Jingzhu Technology [9] - Manager YingShui raised stakes in stocks like Changyang Technology and Tianneng Heavy Industry, while decreasing holdings in stocks such as Fangbang Shares and Shangshi Development [11] - Manager Fengliu (Gaoyi Linshan No.1) increased holdings in Guoci Materials and Songji Shares, while reducing positions in Shengyi Technology and Haikang Vision [12] - Manager Gedong increased holdings in SuDa WeiGe while reducing stakes in Zhongzheng High-Tech and Si Rui Pu [14] - Manager Ningquan raised stakes in stocks like Feilida and Meichang Shares while reducing positions in Yangguang Lighting and Zhoubing Technology [16] - Manager Gao Yi reduced holdings in stocks like Senqi Lin and Yangnong Chemical [18]

Key Points - The article discusses the dividend progress of constituent stocks in major indices as of May 13, 2025, highlighting the number of companies in different stages of dividend announcements and distributions [1][3][8] - It provides a comparison of dividend yields across various industries, noting that coal, banking, and steel sectors have the highest yields [4] - The realized and remaining dividend yields for different indices are presented, with the Shanghai 50 Index having a realized yield of 0.12% and a remaining yield of 2.22% [6] - The article tracks the premium and discount of stock index futures, indicating that the IH main contract has an annualized premium of 0.34%, while the IF, IC, and IM contracts show significant discounts [1][3][17] Group 1: Dividend Progress of Constituent Stocks - As of May 13, 2025, in the Shanghai 50 Index, 37 companies are in the proposal stage, 4 in the decision stage, 0 in the implementation stage, 4 have paid dividends, and 4 do not pay dividends [1] - In the CSI 300 Index, 206 companies are in the proposal stage, 36 in the decision stage, 7 in the implementation stage, 23 have paid dividends, and 27 do not pay dividends [1] - The CSI 500 Index has 281 companies in the proposal stage, 97 in the decision stage, 17 in the implementation stage, 14 have paid dividends, and 91 do not pay dividends [1][8] - The CSI 1000 Index shows 505 companies in the proposal stage, 188 in the decision stage, 39 in the implementation stage, 43 have paid dividends, and 224 do not pay dividends [1][8] Group 2: Dividend Yield Comparison - The article presents the median dividend yields of stocks with disclosed dividend proposals, with coal, banking, and steel industries ranking the highest [4] - The realized dividend yields as of May 13, 2025, are 0.12% for the Shanghai 50 Index, 0.18% for the CSI 300 Index, 0.05% for the CSI 500 Index, and 0.07% for the CSI 1000 Index [6] Group 3: Stock Index Futures Premium and Discount Tracking - The article tracks the annualized premium and discount of stock index futures, with the IH main contract at a premium of 0.34%, while the IF, IC, and IM contracts show discounts of 4.15%, 13.18%, and 18.20% respectively [1][3][17] - The article emphasizes the importance of considering dividend impacts when calculating the premium and discount of stock index futures [2]