报 告 摘 要 一、 事件快评 5月7日，中国证监会公开印发《推动公募基金高质量发展行动方案》，主要从1）优化 主动管理权益类基金收费模式；2）强化基金公司与投资者的利益绑定；3）提升行业服 务投资者的能力；4）提高公募基金权益投资的规模和稳定性；5）一体推进强监管防风 险促高质量发展等五个方面出发提出了25条举措。 二、 公募改革新规下的机构潜在调仓行为分析 根据《推动公募基金高质量发展行动方案》的要求，业绩基准成为评价基金业绩与基金 管理人考核的重要参照指标，对基金未来的持仓起指引作用。 本文从行业与个股两个方面，测算公募基金相对各自基准的平均超低配权重以及超低配 总金额。总体来看，根据基金最新披露的2024年年报数据看， 公募基金超配金额较多的 中信一级行业为电子、机械、基础化工、电新、医药；低配金额较多的行业包括非银金 融、银行、电力及公用事业、建筑、煤炭等。 未来随着公募基金改革方案的落地，机构资金可能会在超低配的行业与个股间迁移流 动。 一 推行浮动管理费收取机制，强化基金公司收入与投资者利益联结 《推动公募基金高质量发展行动方案》（以下简称方案）对新设立的主动管理权益类基金大力推行基于业绩比较基 ...

Market Review - The A-share market showed a mixed performance last week, with the ChiNext Index, Shenzhen Component Index, and CSI 1000 Index leading gains at 3.27%, 2.29%, and 2.22% respectively, while the Sci-Tech 50, SME Index, and CSI 500 Index lagged behind with returns of -0.60%, 1.49%, and 1.60% respectively [6][14] - The total net withdrawal of funds through the central bank's reverse repos was 781.7 billion yuan, with 1.6178 trillion yuan maturing and a net open market injection of 836.1 billion yuan [22] - The People's Bank of China has been increasing its gold reserves for six consecutive months, with the official gold reserves reaching 73.77 million ounces as of April 2025, an increase of 70,000 ounces from March [9] Fund Performance - Last week, the performance of actively managed equity, flexible allocation, and balanced mixed funds was 1.22%, 1.01%, and 0.91% respectively. Year-to-date, alternative funds have shown the best performance with a median return of 5.45% [34][36] - The total net asset value of public funds remained above 32 trillion yuan for two consecutive months, standing at 32.22 trillion yuan as of March 2025, showing little change from February [12] Fund Issuance - A total of 15 new funds were established last week, with a total issuance scale of 6.345 billion yuan, a decrease from the previous week. Among these, 8 were passive index funds and 4 were enhanced index funds [4][45][46] - 40 new funds were reported for issuance last week, including various ETFs and FOFs, indicating an increase in the number of fund applications compared to the previous week [5][6] Regulatory Developments - On May 7, the China Securities Regulatory Commission (CSRC) released an action plan to promote the high-quality development of public funds, addressing issues such as operational model optimization, industry evaluation system improvement, and risk management enhancement [7][8]

Group 1 - The core viewpoint of the article is to track and analyze the performance of various index enhancement portfolios and the factors influencing stock selection across different indices [1][2][3]. Group 2 - The performance of the HuShen 300 index enhancement portfolio showed an excess return of 0.54% for the week and 2.44% year-to-date [5][19]. - The performance of the Zhongzheng 500 index enhancement portfolio indicated an excess return of 1.29% for the week and 4.77% year-to-date [5][21]. - The Zhongzheng 1000 index enhancement portfolio achieved an excess return of 1.67% for the week and 6.24% year-to-date [5][21]. - The Zhongzheng A500 index enhancement portfolio reported an excess return of 0.21% for the week and 5.19% year-to-date [5][25]. Group 3 - In the HuShen 300 component stocks, factors such as expected PEG, quarterly ROE, and quarterly EP performed well [6][4]. - In the Zhongzheng 500 component stocks, factors like three-month reversal, one-month reversal, and three-month turnover showed strong performance [6][8]. - For the Zhongzheng 1000 component stocks, one-month reversal, specificity, and three-month reversal were notable factors [6][10]. - In the Zhongzheng A500 index component stocks, three-month reversal, expected PEG, and expected EPTTM were effective factors [6][12]. - Among public fund heavy stocks, one-month reversal, three-month reversal, and expected PEG were the best-performing factors [6][14]. Group 4 - The public fund index enhancement products for HuShen 300 had a maximum excess return of 0.57%, a minimum of -0.34%, and a median of 0.05% for the week [19]. - The Zhongzheng 500 index enhancement products had a maximum excess return of 1.06%, a minimum of -0.28%, and a median of 0.25% for the week [21]. - The Zhongzheng 1000 index enhancement products reported a maximum excess return of 0.97%, a minimum of -0.55%, and a median of 0.23% for the week [21]. - The Zhongzheng A500 index enhancement products had a maximum excess return of 0.58%, a minimum of -0.49%, and a median of 0.02% for the week [25].

| 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2.21%，相对偏股混合型基金指数超额收 | | 益1.14%。本年，优秀基金业绩增强组合绝对收益1.19%，相对偏股混合型基金指 | | 数超额收益-2.18%。 今年以来，优秀基金业绩增强组合在主动股基中排名53.24% | | 分位点（1847/3469）。 | | 本周， 超预期精选组合 绝对收益2.53%，相对偏股混合型基金指数超额收益 | | 1.46%。本年，超预期精选组合绝对收益8.18%，相对偏股混合型基金指数超额收 | | 益 4.81% 。 今 年 以 来 ， 超 预 期 精 选 组 合 在 主 动 股 基 中 排 名 17.79% 分 位 点 | | （617/3469）。 | | 本周， 券商金股业绩增强组合 绝对收益1.43%，相对偏股混合型基金指数超额收 | | 益0.37%。本年，券商金股业绩增强组合绝对收益5.43%，相对偏股混合型基金指 | | 数超额收益2.06%。 今年以来，券商金股业绩增强组合在主动股基中排名27.88% | | 分位点（967/ ...

Core Viewpoint - The article focuses on the analysis of companies that reported better-than-expected earnings in their Q1 2025 financial disclosures, highlighting the importance of analyst reports that indicate "earnings exceed expectations" as a comprehensive judgment based on both objective earnings data and subjective research tracking [1][30]. Q1 Financial Disclosure Situation - As of April 30, 2025, a total of 5,360 A-share companies had disclosed their Q1 2025 financial reports [2][30]. - Among different indices, the median year-on-year net profit growth rate for the CSI 300 index constituents was the highest at 6.41% [5][30]. - The technology sector reported a median year-on-year net profit growth rate of 8.20%, while the pharmaceutical sector had a negative growth rate of -4.01% [6][30]. - In terms of industry performance, non-bank financial, agriculture, forestry, animal husbandry, and fishing, as well as steel sectors showed relatively high median year-on-year net profit growth rates [9][30]. - Hot concept indices with high public fund holdings, such as the semiconductor selection index and the national big fund index, reported median year-on-year net profit growth rates exceeding 20% [12][31]. Q1 Earnings Exceeding Expectations - The proportion of companies exceeding expectations in the CSI 300 index was the highest at 21.69% [20][31]. - The consumer sector had the highest proportion of companies exceeding expectations at 19.77% [21][31]. - In terms of specific industries, the home appliances, food and beverage, and agriculture sectors had a higher proportion of companies exceeding expectations [23][31]. - Among hot concept indices with high public fund holdings, the Moutai index, air energy heat pump index, and white goods selection index had a higher number of companies exceeding expectations [24][31]. - The representative ETF indices with a high proportion of companies exceeding expectations included the 800 consumer index, technology leaders, and the China Securities wine index [25][31]. - Selected companies that exceeded expectations based on their Q1 reports and analyst comments included Yara International, Juhua Co., and Dongpeng Beverage [27][31].

Core Viewpoint - The increasing acceptance of index investing among investors has led to a significant growth in the scale of index funds, reaching a total of 3.26 trillion yuan as of March 31, 2025 [1][8]. Index Predictions CSI 300 Index - Predictions indicate that seven stocks, including Guohang Airlines, Lingyi Technology, and Softcom Power, will be added to the CSI 300 Index, while seven stocks, such as Hualan Biological and 37 Interactive Entertainment, will be removed [2]. SSE 180 Index - Twelve stocks, including Yutong Bus and Shengyi Technology, are expected to be added to the SSE 180 Index, while twelve stocks, such as China Satellite and Zhangjiang Hi-Tech, are predicted to be removed [3]. SSE 50 Index - Four stocks, including AVIC Shenfei and China Aluminum, are forecasted to be added to the SSE 50 Index, while four stocks, such as Tongwei Co. and China Railway, are expected to be removed [4]. STAR 50 Index - It is predicted that Hengxuan Technology will be added to the STAR 50 Index, while Zhongfu Shenying will be removed [5]. CSI 500 Index - Fifty stocks, including GeKong Micro and HuaiBei Mining, are expected to be added to the CSI 500 Index, while fifty stocks, such as Goodway and Guangqi Technology, are predicted to be removed [6]. ChiNext Index - Eight stocks, including Changying Precision and Jiejie Micro, are forecasted to be added to the ChiNext Index, while eight stocks, such as Anke Bio and Dongfang Risheng, are expected to be removed [7].

Group 1 - The article emphasizes the rapid advancement of artificial intelligence (AI) as a strategic technology leading technological revolutions and industrial transformations, particularly highlighting the development of large language models (LLMs) and their significant breakthroughs over the past decade [5][60]. - The DeepSeek-R1 model, launched in January 2025, has shown competitive performance in various tasks and has rapidly gained user adoption, reaching 1 million users within 14 days and 10 million users in 20 days [8][13][16]. - The Chinese government's commitment to AI development is evident through its "three-step" strategic goals, aiming for significant advancements in AI technology and applications by 2030 [24][25]. Group 2 - The China Securities Artificial Intelligence Industry Index (CSI 931071) was established to reflect the performance of companies providing foundational resources, technology, and application support for AI, selecting 50 representative listed companies based on AI business proportion, growth level, and market capitalization [3][61]. - The index is characterized by its comprehensiveness, growth potential, and purity, focusing on companies with substantial AI revenue and avoiding speculative investments [30][39]. - As of March 21, 2025, the average market capitalization of the index's constituent stocks is 63 billion yuan, with a significant concentration in the computer (47.63%) and electronics (30.79%) sectors [41][62]. Group 3 - The index has demonstrated high growth potential, with a net profit growth rate of 16.41% in 2023 and projected growth rates of 24.24%, 41.10%, and 24.18% for 2024, 2025, and 2026, respectively [48][62]. - The index has shown high elasticity and volatility, with a return of 68.57% since February 2024, outperforming major broad-based indices [51][62]. - The index's top ten holdings account for 48.89% of its total weight, indicating a moderate concentration, with significant representation from semiconductor and computer equipment sectors [46][36]. Group 4 - The Huafu Artificial Intelligence ETF (515980) aims to track the performance of the China Securities Artificial Intelligence Industry Index and was launched on December 24, 2019 [4][63]. - The fund employs an index investment strategy, investing at least 90% of its net asset value in the index's constituent stocks [56][57]. - The fund management team consists of experienced professionals with backgrounds in finance and investment management [58][59].

一、券商金股股票池上月回顾 2025年4月，万辰集团、先达股份、民士达等券商金股股票的月度上涨幅度靠前。 2025年4月，东北证券、华西证券、华源证券收益排名前三，月度收益分别为 17.31%、13.41%、12.75%，同期偏股混合型基金指数收益-2.26%，沪深300指数 收益-3.00%。 2025年以来，东北证券、华鑫证券、国联证券收益排名前三，年度收益分别为 44.56%、42.58%、16.68%，同期偏股混合型基金指数收益2.28%，沪深300指数收 益-4.18%。 二、券商金股股票池中选股因子表现 最近一个月，总市值、SUE、单季度净利润增速表现较好，EPTTM、波动率、预 期股息率表现较差； 今年以来，总市值、SUE、剥离涨停动量表现较好，预期股息率、EPTTM、波动 率表现较差。 三、券商金股股票池本月特征 截至2025年5月6日，共有41家券商发布本月金股。在对券商金股股票池进行去重 后，总共有291只A股。 从 绝 对 占 比 来 看 ， 本 期 券 商 金 股 在 电 子 (10.00%) 、 医 药 (8.25%) 、 基 础 化 工 (8.25%)、食品饮料(7.25%)、机械 ...

Market Review - The A-share market showed a mixed performance last week, with the Sci-Tech 50, CSI 1000, and CSI 500 indices gaining 0.78%, 0.18%, and 0.08% respectively, while the SME Composite, Shanghai Composite, and CSI 300 indices fell by -0.49%, -0.49%, and -0.43% respectively [5][14] - The media, computer, and electronics sectors performed well, with returns of 2.86%, 2.66%, and 1.30% respectively, while the comprehensive, financial, and real estate sectors lagged with returns of -3.48%, -3.21%, and -2.93% respectively [21][22] - The central bank's net reverse repurchase was 735.8 billion yuan, with 504.5 billion yuan maturing, resulting in a net open market injection of 1.2403 trillion yuan [23] Fund Performance - Last week, 37 new funds were established with a total issuance scale of 21.998 billion yuan, a decrease from the previous week. The types of funds included 9 passive index funds and 19 enhanced index funds, with issuance scales of 4.332 billion yuan and 4.176 billion yuan respectively [4][44] - The median returns for active equity, flexible allocation, and balanced mixed funds were 0.35%, 0.07%, and -0.11% respectively. Year-to-date, alternative funds have performed the best with a median return of 6.56% [33][35] - The median excess return for index-enhanced funds was -0.08%, while the median return for quantitative hedging funds was -0.10%. Year-to-date, the median excess return for index-enhanced funds was 1.25% [36][37] Fund Issuance - A total of 19 funds were reported for issuance last week, including 2 FOFs and several ETFs such as E Fund National Growth 100 ETF and Huaxia CSI A500 Enhanced Strategy ETF [5][6] - The issuance of new funds last week was lower than the previous week, with 6 funds entering the issuance phase and 27 funds expected to start issuance this week [4][5] Index Adjustments - On April 28, two major index companies announced a reduction in index usage fees for domestic public index products, including the cancellation of fixed usage fees and a 20% reduction in basis point rates starting April 1, 2025 [10][12][13]

Group 1 - The core viewpoint of the article is to track the performance of various index enhancement portfolios and stock selection factors across different indices, highlighting their excess returns and factor performance over the recent week and year-to-date [1][2][3]. Group 2 - The performance of the HuShen 300 index enhancement portfolio showed an excess return of -1.26% for the week and 1.88% year-to-date [5]. - The performance of the ZhongZheng 500 index enhancement portfolio showed an excess return of -0.50% for the week and 3.40% year-to-date [5]. - The ZhongZheng 1000 index enhancement portfolio had an excess return of -0.78% for the week and 4.40% year-to-date [5]. - The ZhongZheng A500 index enhancement portfolio reported an excess return of -0.22% for the week and 4.88% year-to-date [5]. Group 3 - In the HuShen 300 component stocks, factors such as one-year momentum, one-month reversal, and DELTAROE performed well [6]. - In the ZhongZheng 500 component stocks, factors like one-month reversal, SPTTM, and executive compensation showed strong performance [6]. - For ZhongZheng 1000 component stocks, factors such as non-liquidity shock, three-month earnings adjustments, and expected net profit month-on-month performed well [6]. - In the ZhongZheng A500 component stocks, one-month reversal, one-year momentum, and executive compensation were among the top-performing factors [6]. Group 4 - The HuShen 300 index enhancement products had a maximum excess return of 0.44%, a minimum of -0.66%, and a median of -0.06% for the week [19]. - The ZhongZheng 500 index enhancement products had a maximum excess return of 0.48%, a minimum of -1.30%, and a median of -0.35% for the week [19]. - The ZhongZheng 1000 index enhancement products had a maximum excess return of 1.09%, a minimum of -0.82%, and a median of -0.06% for the week [19]. - The ZhongZheng A500 index enhancement products had a maximum excess return of 0.46%, a minimum of -0.38%, and a median of -0.22% for the week [19]. Group 5 - The total number of public fund index enhancement products includes 67 for HuShen 300 with a total scale of 77.8 billion, 69 for ZhongZheng 500 with 45.2 billion, 46 for ZhongZheng 1000 with 15 billion, and 35 for ZhongZheng A500 with 22.3 billion [16].