Group 1: Monthly Performance of US Public Funds - In May 2025, US equity funds outperformed international equity funds, bond funds, and asset allocation funds, with median returns of 5.59%, 4.57%, 0.08%, and 3.31% respectively [1][7][12] Group 2: Fund Flows and Trends - In May 2025, there was a net outflow of $2.3 billion from actively managed funds, while passive funds saw a net inflow of $593 billion [9][19] - The top 10 asset management firms in the US experienced net outflows from their open-end funds, except for Fidelity and PIMCO, with American Funds and Vanguard seeing significant outflows of $8.3 billion and $7.8 billion respectively [31] - In the ETF segment, the top 10 firms, except for State Street, also faced net outflows, with iShares and Vanguard having the highest inflows of $25.8 billion and $21.8 billion respectively [31] Group 3: New Fund Issuance - In May 2025, a total of 42 new funds were established in the US market, including 37 ETFs and 5 open-end funds, with 32 being equity funds, 8 bond funds, and 2 asset allocation funds [3][42] Group 4: Insights from Overseas Asset Management Institutions - Key themes from overseas asset management firms include the outlook on US macroeconomic policies and foreign capital perspectives on the stock market [4][43] - BlackRock and Capital Group provided insights on the potential impacts of tariffs on inflation and economic growth, suggesting that tariffs could lead to higher inflation and slower growth in the short term [47][48]

Market Review - The A-share market saw a decline across major indices, with the small and medium board index, CSI 300, and Shanghai Composite Index recording returns of -0.43%, -0.45%, and -0.51% respectively, while the CSI 500, CSI 1000, and ChiNext Index lagged behind with returns of -1.75%, -1.74%, and -1.66% respectively [6][12] - The banking, comprehensive finance, and communication sectors performed well, with returns of 3.13%, 1.74%, and 1.43% respectively, while the pharmaceutical, textile and apparel, and retail sectors underperformed with returns of -4.16%, -4.10%, and -4.08% respectively [18][19] - The People's Bank of China conducted a net reverse repurchase operation of 102.1 billion yuan, with a total of 960.3 billion yuan injected into the market [20][22] Fund Issuance - A total of 50 new funds were established last week, with a total issuance scale of 450.23 billion yuan, marking an increase from the previous week [3][44] - Among the new funds, 14 were equity mixed funds and 13 were passive index funds, with issuance scales of 106.59 billion yuan and 62.16 billion yuan respectively [45] - There were 19 funds that entered the issuance phase for the first time last week, and 17 funds are set to begin issuance this week [3] Fund Performance - The median returns for active equity, flexible allocation, and balanced mixed funds were -1.35%, -0.85%, and -0.89% respectively last week [33] - Alternative funds have shown the best performance this year, with a median return of 11.97%, while active equity, flexible allocation, and balanced mixed funds had median returns of 2.11%, 0.74%, and -0.32% respectively [36][39] - The median excess return for index-enhanced funds was 0.25%, while quantitative hedging funds had a median return of -0.09% [36] REITs and ETFs - The first two data center REITs were approved, filling a market gap in the data center sector and encouraging more social capital to participate in infrastructure construction [5][7] - Ten companies have applied for the first batch of science and technology innovation bond ETFs, providing investors with convenient tools to access the high-grade technology innovation bond market [8][9]

我们分别以沪深300指数、中证500指数、中证1000指数、中证A500指数及公募重仓指数为选股空间， 构造单因子MFE组合并检验其相对于各自基准的超额收益。 1 沪深300样本空间中的因子表现 我们以沪深300指数为样本空间，对常见选股因子构造其相对于沪深300指数的MFE组合并跟踪其表 现，具体表现如下图。 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0.82%，本年超额收益6.67%。 中证500指数增强组合本周超额收益0.04%，本年超额收益7.84%。 中证1000指数增强组合本周超额收益0.34%，本年超额收益12.61%。 中证A500指数增强组合本周超额收益-0.89%，本年超额收益7.43%。 二、本周选股因子表现跟踪 沪深300成分股中预期EPTTM、单季EP、EPTTM等因子表现较好。 中证500成分股中BP、预期BP、预期EPTTM等因子表现较好。 中证1000成分股中BP、一个月换手、三个月波动等因子表现较好。 中证A500指数成分股中单季EP、预期EPTTM、预期PEG等因子表现较好。 公募基金重仓股中预期EPTTM、单季EP、预期PEG等因子表现较好。 三、本周公 ...

| 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-0.21%，相对偏股混合型基金指数超额收 | | 益1.44%。本年，优秀基金业绩增强组合绝对收益2.35%，相对偏股混合型基金指 | | 数超额收益-1.54%。 今年以来，优秀基金业绩增强组合在主动股基中排名46.01% | | 分位点（1596/3469）。 | | 本周， 超预期精选组合 绝对收益-2.84%，相对偏股混合型基金指数超额收 | | 益-1.19%。本年，超预期精选组合绝对收益12.67%，相对偏股混合型基金指数超 | | 额收益8.78%。 今年以来，超预期精选组合在主动股基中排名11.50%分位点 | | （399/3469）。 | | 本周， 券商金股业绩增强组合 绝对收益-1.14%，相对偏股混合型基金指数超额收 | | 益0.51%。本年，券商金股业绩增强组合绝对收益6.52%，相对偏股混合型基金指 | | 数超额收益2.63%。 今年以来，券商金股业绩增强组合在主动股基中排名26.43% | | 分位点（917/3469）。 | | -2.33% 本 ...

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6月20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3.72%、 12.96%、9.62%、10.92%、9.26%、7.07%、21.19%、14.99%。中信一级行业指数中银行、有色金属、综合金融、农林牧渔、通信行业指数距离 250日新高较近，煤炭、房地产、食品饮料、消费者服务、建材行业指数距离250日新高较远。概念指数中，银行精选、银行、数字货币、黄金、万得微盘 股日频等权、创新药等概念指数距离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6月20日，共816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、基础化工、机械行业，创新高个股数量占 比最高的是银行、综合金融、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 ...

Group 1 - As of June 18, 2025, the dividend progress of component stocks in major indices shows that in the SSE 50 Index, 11 companies are in the proposal stage, 16 in the decision stage, 6 in the implementation stage, 14 have distributed dividends, and 3 do not distribute dividends [1] - In the CSI 300 Index, 65 companies are in the proposal stage, 87 in the decision stage, 23 in the implementation stage, 99 have distributed dividends, and 26 do not distribute dividends [1] - In the CSI 500 Index, 55 companies are in the proposal stage, 107 in the decision stage, 46 in the implementation stage, 215 have distributed dividends, and 77 do not distribute dividends [1] - In the CSI 1000 Index, 59 companies are in the proposal stage, 195 in the decision stage, 81 in the implementation stage, 447 have distributed dividends, and 218 do not distribute dividends [1] Group 2 - The current dividend yield statistics show that the coal, banking, and steel industries rank the highest in terms of dividend yield among disclosed dividend proposals [4] - As of June 18, 2025, the realized dividend yields for major indices are as follows: SSE 50 Index at 0.43% with a remaining yield of 1.90%, CSI 300 Index at 0.61% with a remaining yield of 1.37%, CSI 500 Index at 0.74% with a remaining yield of 0.61%, and CSI 1000 Index at 0.60% with a remaining yield of 0.45% [6] Group 3 - The annualized premium and discount for major stock index futures as of June 18, 2025, are as follows: IH main contract at a premium of 0.28%, IF main contract at a discount of 2.78%, IC main contract at a discount of 11.22%, and IM main contract at a discount of 16.42% [1][3] - The tracking of stock index futures' premium and discount levels will consider the impact of component stock dividends on the index point drop [2] Group 4 - The methodology for estimating dividend points in indices is crucial for accurately assessing the premium and discount of stock index futures, as it accounts for the natural drop in index points due to dividends [27] - The report outlines a detailed process for estimating dividend amounts based on net profit and dividend payout ratios, ensuring accurate predictions for future dividends [34][39]

Group 1: Contract Benchmark and Implicit Benchmark - The performance comparison benchmark of public funds plays a crucial role in fund operations, serving as a standard for measuring investment performance and a basis for fund manager evaluation [1][5] - There exists a mismatch between the contract benchmark and the actual investment style of public funds, leading to the identification of an "implicit benchmark" that aligns more closely with the fund's net value trajectory [1][7] - A quantitative method is proposed to identify the implicit benchmark for each fund, revealing that active equity funds have lower tracking errors relative to implicit benchmarks compared to contract benchmarks [15][18] Group 2: Explicit Risk and Implicit Risk - Risks associated with funds can be categorized into explicit risks, which are known and documented, and implicit risks, which are unknown and emerge with changing market conditions [2][29] - Implicit risks can significantly impact asset returns, necessitating a refined approach to risk assessment in fund performance evaluation [2][29] Group 3: Improvement of Selection Factors from Implicit Risk Perspective - The implicit risk model demonstrates a higher explanatory power for fund returns compared to the Fama five-factor model, with an average R-squared of 92.32% since 2010, surpassing the 84.94% of the Fama model [3][63] - The development of a composite selection factor adjusted for implicit risk has shown significant improvements in performance metrics, including a RankIC mean of 13.99% and an annualized RankICIR of 3.18 [3][55] Group 4: FOF Selected Portfolio Construction - The increasing allocation of public funds to Hong Kong stocks necessitates their consideration in portfolio construction, with a FOF portfolio yielding an annualized excess return of 8.86% relative to the median of active equity funds [4][6] - The FOF portfolio maintains a low tracking error of 3.52% and a high information ratio of 2.31, indicating robust performance stability [4][6] Group 5: Performance Evaluation from Absolute and Relative Perspectives - Traditional performance evaluation methods based on absolute returns may not accurately reflect the performance of funds with different implicit benchmarks, highlighting the need for relative performance assessments [21][24] - The analysis of funds with the same contract benchmark but differing implicit benchmarks reveals that absolute returns can be misleading, necessitating a relative evaluation approach [21][24] Group 6: Challenges in Traditional Risk Separation - Traditional multi-factor models, such as the Fama five-factor model, may not fully capture the complexities of fund returns due to the presence of unobserved implicit risks [41][45] - The need for a more dynamic approach to risk separation is emphasized, as traditional models may lead to biased estimates of fund performance [41][45] Group 7: Improvement of Selection Factors Based on Implicit Risk Model - The implicit risk model can enhance the stability and predictive power of various selection factors, including the Sharpe ratio and hidden trading ability, by adjusting for implicit risks [70][81] - The adjusted selection factors demonstrate improved performance metrics, such as higher RankIC and win rates, indicating a more reliable assessment of fund performance [70][81]

Market Review - The A-share market showed mixed performance last week, with the ChiNext Index, Shanghai Composite Index, and CSI 300 Index yielding returns of 0.22%, -0.25%, and -0.25% respectively, while the STAR 50, CSI 1000, and SME Index lagged with returns of -1.89%, -0.76%, and -0.65% respectively [1][10] - The metals, oil and petrochemicals, and pharmaceuticals sectors performed well, with returns of 3.95%, 3.31%, and 1.54% respectively, while food and beverage, computers, and building materials sectors underperformed with returns of -4.42%, -2.25%, and -2.16% respectively [1][17] - The central bank's reverse repo operations resulted in a net withdrawal of 72.7 billion yuan, with 930.9 billion yuan maturing and a net market injection of 858.2 billion yuan [19][21] Fund Performance - Active equity, flexible allocation, and balanced mixed funds yielded returns of 0.07%, 0.02%, and -0.28% respectively last week. Year-to-date, alternative funds have performed best with a median return of 12.15% [29][30] - The median excess return for index-enhanced funds was 0.23%, while quantitative hedge funds had a median return of -0.06%. Year-to-date, index-enhanced funds have a median excess return of 2.38% [33][34] Fund Issuance - A total of 16 new funds were established last week, with a total issuance scale of 8.934 billion yuan, a decrease from the previous week. The majority of new funds were equity mixed funds and passive index funds [40][45] - There were 34 funds entering the issuance phase last week, with 17 funds expected to start issuance this week [2][40] ETF Dividend Announcement - On June 11, Huatai-PB Fund announced a cash dividend for its Huatai-PB CSI 300 ETF, with a distribution of 0.880 yuan per 10 fund shares. The record date for dividend rights is June 17, the ex-dividend date is June 18, and the cash dividend payment date is June 27 [4][6]

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0.74%，本年超额收益5.84%。 中证500指数增强组合本周超额收益0.20%，本年超额收益7.93%。 中证1000指数增强组合本周超额收益0.75%，本年超额收益12.43%。 中证A500指数增强组合本周超额收益0.65%，本年超额收益8.45%。 二、本周选股因子表现跟踪 沪深300成分股中高管薪酬、预期EPTTM、预期PEG等因子表现较好。 中证500成分股中单季ROE、单季ROA、单季营收同比增速等因子表现较 好。 中证1000成分股中高管薪酬、预期EPTTM、单季ROE等因子表现较好。 中证A500指数成分股中单季ROE、单季ROA、预期EPTTM等因子表现较 好。 公募基金重仓股中单季营收同比增速、一年动量、预期PEG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0.71%，最低-0.43%，中位数 0.22%。 中证500指数增强产品本周超额收益最高1.46%，最低-0.57%，中位数 0.29%。 中证1000指数增强产品本周超额收益最高1.26%，最低-0.68%，中位数 0 ...

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-0.32%，本年超额收益-3.07%。 超预期精选组合：本周超额收益0.71%，本年超额收益10.32%。 券商金股业绩增强组合：本周超额收益-0.74%，本年超额收益2.11%。 成长稳健组合：本周超额收益0.72%，本年超额收益14.87%。 2 优秀基金业绩增强组合 | 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-0.06%，相对偏股混合型基金指数超额收 | | 益-0.32%。本年，优秀基金业绩增强组合绝对收益2.56%，相对偏股混合型基金指 | | 数超额收益-3.07%。 今年以来，优秀基金业绩增强组合在主动股基中排名51.95% | | 分位点（1802/3469）。 | | 绝对收益0.96%，相对偏股混合型基金指数超额收益 本周 ...