一 、成分股分红进度 截至2025年9月24日： 上证50指数中，有16家公司处于预案阶段，3家公司处于决案阶段，4家公司进入 实施阶段，24家公司已分红，3家公司不分红； 沪深300指数中，有69家公司处于预案阶段，16家公司处于决案阶段，16家公司 进入实施阶段，174家公司已分红，25家公司不分红； 中证500指数中，有42家公司处于预案阶段，29家公司处于决案阶段，19家公司 进入实施阶段，339家公司已分红，71家公司不分红； 中证1000指数中，有50家公司处于预案阶段，41家公司处于决案阶段，25家公司 进入实施阶段，682家公司已分红，202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9月24日： 上证50指数已实现股息率为2.20%，剩余股息率0.57%； 沪深300指数已实现股息率为1.75%，剩余股息率0.39%； 中证500指数已实现股息率为1.12%，剩余股息率0.12%； 中证1000指数已实现股息率为0.88%，剩余股息率0.07%。 四、股指期货升 ...

Core Viewpoint - The GuoXin Quantitative Team has made significant research contributions over the past year, focusing on various investment strategies and market trends, showcasing their effectiveness and potential for investment opportunities [1]. Team Overview - The GuoXin Quantitative Team consists of 7 members specializing in areas such as active quantitative stock selection, index enhancement, factor research, FOF investment, fund research, industry rotation, asset allocation, Hong Kong stock investment, and CTA strategies [1]. Research Highlights - The team has produced a selection of research reports that cover a wide range of investment strategies, including: - Active quantitative stock selection strategies - Factor-based stock selection and index enhancement strategies - Market trend analysis and research on hot sectors - FOF and fund research series [1][8][10]. Performance Metrics - The "Super Expectation Selected Portfolio" has achieved an annualized return of 36.04% since 2010, outperforming the CSI 500 Index by 32.90% [11][12]. - The "Growth Steady Portfolio" has maintained an annualized return of 41.15% since 2012, exceeding the CSI 500 Index by 34.84% [14][16]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" has delivered an annualized return of 21.78%, consistently ranking in the top 30% of active equity funds since 2018 [19][21]. Strategy Insights - The "Small Cap Selected Portfolio" has generated an annualized return of 39.22% since 2014, outperforming the CSI 2000 Index by 28.66% [25][27]. - The "Stable Selected Portfolio" has achieved an annualized return of 26.18% since 2012, with a lower maximum drawdown compared to the CSI Dividend Total Return Index [30][32]. - The "Multi-Strategy Enhanced Portfolio" has recorded an annualized return of 23.43% since 2013, with a significant information ratio of 2.60 [34]. Sector Rotation Strategies - The "Key Moment Leading Sheep Strategy" has identified strong momentum effects in the A-share market, achieving an annualized return of 25.29% since 2013, outperforming the CSI All Index by 19.65% [39][40].

Market Review - The A-share market showed a mixed performance last week, with the ChiNext Index, Small and Medium-sized Enterprises Board Index, and Sci-Tech 50 Index leading with returns of 2.34%, 1.99%, and 1.84% respectively, while the Shanghai Composite Index, CSI 300, and CSI 1000 lagged with returns of -1.30%, -0.44%, and 0.21% respectively [6][11] - The total trading volume of major broad-based indices increased, except for the ChiNext Index, indicating heightened market activity [14] - The power equipment and new energy, coal, and consumer services sectors performed well, with returns of 3.61%, 3.59%, and 3.52% respectively, while the comprehensive, banking, and non-ferrous metals sectors underperformed with returns of -4.09%, -4.09%, and -3.93% respectively [17][19] Fund Performance - A total of 40 new funds were established last week, with a total issuance scale of 744.28 billion yuan, marking an increase from the previous week [4][42] - The median return for active equity funds this year is 28.97%, outperforming flexible allocation and balanced mixed funds, which have median returns of 20.75% and 11.67% respectively [30][32] - The median return for index-enhanced funds was -0.13% last week, while the median return for quantitative hedging funds was -0.07% [33] Fund Issuance - Last week, 31 funds entered the issuance phase, with 10 funds set to begin issuance this week [4] - The number of funds reported for issuance was 37, a decrease from the previous week, including various ETFs and QDII products [5][6] Ant Fund Platform - As of September 19, 2.15 billion investors on the Ant Fund platform have achieved cumulative profits, with over 80% of investors in equity funds making profits, averaging a return of 12% [8][9] Regulatory Updates - Huatai-PB Asset Management received approval for licenses in Hong Kong, indicating a strategic move to integrate trading, advisory, and asset management services [10] Bond Market - The central bank's net reverse repurchase was 562.3 billion yuan, with a total of 18.268 trillion yuan in net open market operations [20][21] - The yield on government bonds increased across various maturities, with credit spreads widening [21][23] Convertible Bond Market - The China Convertible Bond Index fell by 1.55% last week, with total trading volume reaching 409 billion yuan, an increase of 24.7 billion yuan from the previous week [25] Fund Manager Changes - There were changes in fund managers for 83 funds across 38 fund companies last week, indicating potential shifts in management strategies [39] Fund Types - The number of ordinary FOF funds stands at 242, with target date funds at 119 and target risk funds at 152 [35][36]

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][17]. Group 2 - The performance of the CSI 300 index enhancement portfolio showed an excess return of -0.65% for the week and 16.53% year-to-date [5][21]. - The CSI 500 index enhancement portfolio had an excess return of -0.37% for the week and 8.50% year-to-date [5][23]. - The CSI 1000 index enhancement portfolio recorded an excess return of -0.53% for the week and 16.52% year-to-date [5][26]. - The CSI A500 index enhancement portfolio achieved an excess return of 0.02% for the week and 9.22% year-to-date [5][27]. Group 3 - In the CSI 300 component stocks, factors such as one-year momentum, quarterly revenue growth year-on-year, and three-month institutional coverage performed well [6][8]. - In the CSI 500 component stocks, factors like executive compensation, standardized expected non-operating income, and quarterly revenue growth year-on-year showed strong performance [6][10]. - For the CSI 1000 component stocks, factors such as expected PEG, standardized expected non-operating income, and three-month institutional coverage performed well [6][12]. - In the CSI A500 index component stocks, factors like executive compensation, three-month institutional coverage, and quarterly revenue growth year-on-year were notable [6][14]. Group 4 - The public fund index enhancement products for the CSI 300 had a maximum excess return of 1.16% and a minimum of -1.26% for the week, with a median of -0.17% [21][19]. - The CSI 500 public fund index enhancement products had a maximum excess return of 1.09% and a minimum of -1.70% for the week, with a median of -0.25% [23][20]. - The CSI 1000 public fund index enhancement products recorded a maximum excess return of 0.96% and a minimum of -1.05% for the week, with a median of -0.08% [26][24]. - The CSI A500 public fund index enhancement products achieved a maximum excess return of 0.77% and a minimum of -0.96% for the week, with a median of -0.07% [27][25].

Core Viewpoint - The report tracks the performance of various active quantitative strategies by GuoXin JinGong, aiming to outperform the median returns of actively managed equity funds, with a focus on four main strategies: Excellent Fund Performance Enhancement, Super Expected Selection, Broker Golden Stock Performance Enhancement, and Growth Stability Combination [2][3]. Group 1: Performance Overview - The Excellent Fund Performance Enhancement strategy had an absolute return of -0.28% this week and a year-to-date return of 27.54%, ranking in the 53.24 percentile among active equity funds [1][10]. - The Super Expected Selection strategy achieved an absolute return of 1.29% this week and 45.51% year-to-date, ranking in the 20.03 percentile among active equity funds [1][19]. - The Broker Golden Stock Performance Enhancement strategy reported an absolute return of 0.39% this week and 33.97% year-to-date, ranking in the 39.18 percentile among active equity funds [1][20]. - The Growth Stability Combination had an absolute return of -1.23% this week and 51.45% year-to-date, ranking in the 14.27 percentile among active equity funds [1][29]. Group 2: Excellent Fund Performance Enhancement - This strategy aims to benchmark against the median returns of actively managed equity funds, utilizing a quantitative approach to enhance performance based on the holdings of top-performing funds [7][34]. - The strategy has shown a historical annualized return of 20.31% from 2012 to mid-2025, outperforming the benchmark by 11.83% [37]. Group 3: Super Expected Selection - The strategy focuses on stocks with super expected events, selecting based on fundamental and technical criteria to build a portfolio that captures significant excess returns [40][41]. - It has achieved an annualized return of 34.49% from 2010 to mid-2025, outperforming the benchmark by 32.62% [41]. Group 4: Broker Golden Stock Performance Enhancement - This strategy leverages the broker's stock pool, reflecting both top-down industry analysis and bottom-up stock selection, aiming to outperform the ordinary equity fund index [42]. - The strategy has recorded an annualized return of 19.34% from 2018 to mid-2025, exceeding the benchmark by 14.38% [43]. Group 5: Growth Stability Combination - This strategy employs a two-dimensional evaluation system for growth stocks, prioritizing those closer to their earnings report dates to maximize excess returns [46]. - It has achieved an annualized return of 39.59% from 2012 to mid-2025, outperforming the benchmark by 34.73% [47].

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 September 19, 2025, the distance to the 250-day new highs for major indices are: Shanghai Composite Index 1.63%, Shenzhen Component Index 1.09%, CSI 300 1.08%, CSI 500 1.24%, CSI 1000 1.54%, CSI 2000 1.91%, ChiNext Index 1.79%, and STAR 50 Index 1.28% [5][22] Group 2: High-Performing Sectors and Stocks - The sectors closest to their 250-day new highs include electronics, communications, consumer services, electric equipment and new energy, and automotive, while food and beverage, banking, coal, comprehensive finance, and non-bank financial sectors are further away [8][22] - As of September 19, 2025, a total of 1,461 stocks reached 250-day new highs in the past 20 trading days, with the highest numbers in the electronics, machinery, and basic chemicals sectors [13][22] Group 3: Stock Selection and Monitoring - The report identifies 50 stocks with stable new highs, focusing on analyst attention, relative strength, price path stability, and continuity of new highs, with the majority from the technology and manufacturing sectors [19][23] - The technology sector had the most stocks reaching new highs, particularly in the electronics industry, while the manufacturing sector saw the most in the machinery industry [19][23]

Key Points - The article provides an overview of dividend progress among major stock indices in China as of September 17, 2025, highlighting the number of companies in various stages of dividend announcements and distributions [1][3] - It compares the dividend yields across different industries, noting that coal, banking, and steel sectors have the highest yields [2][4] - The realized and remaining dividend yields for major indices are detailed, with the Shanghai 50 Index showing a realized yield of 2.18% and a remaining yield of 0.57% [8][7] - The article tracks the premium and discount of stock index futures, indicating that the IH main contract has an annualized premium of 1.66%, while the IC and IM contracts show significant discounts [4][19] - A methodology for estimating dividend points for stock indices is discussed, emphasizing the importance of accounting for dividend impacts when calculating futures premiums [31][33] Dividend Progress of Component Stocks - As of September 17, 2025, the Shanghai 50 Index has 21 companies in the proposal stage, 2 in the decision stage, and 24 that have distributed dividends [1][3] - The CSI 300 Index has 86 companies in the proposal stage, 13 in the decision stage, and 167 that have distributed dividends [1][3] - The CSI 500 Index has 59 companies in the proposal stage, 30 in the decision stage, and 323 that have distributed dividends [1][3] - The CSI 1000 Index has 76 companies in the proposal stage, 41 in the decision stage, and 657 that have distributed dividends [1][3] Industry Dividend Yield Comparison - The article presents statistics on the dividend yields of companies that have disclosed dividend proposals, with coal, banking, and steel industries ranking the highest [2][4] Realized and Remaining Dividend Yields - The realized dividend yields as of September 17, 2025, are as follows: - Shanghai 50 Index: 2.18% realized, 0.57% remaining [8] - CSI 300 Index: 1.75% realized, 0.40% remaining [8] - CSI 500 Index: 1.10% realized, 0.14% remaining [8] - CSI 1000 Index: 0.85% realized, 0.09% remaining [8] Stock Index Futures Premium and Discount Tracking - The article tracks the annualized premiums and discounts of stock index futures as of September 17, 2025: - IH main contract: 1.66% premium - IF main contract: 1.19% premium - IC main contract: 9.49% discount - IM main contract: 11.25% discount [4][19] Dividend Point Estimation Methodology - The methodology for estimating dividend points for stock indices is outlined, emphasizing the need to consider dividend impacts on index calculations [31][33]

Market Overview - The A-share market saw all major indices rise last week, with the Sci-Tech 50, Small and Medium-sized Enterprises Index, and CSI 500 Index leading with returns of 5.48%, 3.66%, and 3.38% respectively, while the CSI 300, Shanghai Composite, and ChiNext Index lagged with returns of 1.38%, 1.52%, and 2.10% respectively [1][9] - In terms of trading volume, all major indices except the Sci-Tech 50 experienced a decline in trading volume last week [10] - The electronic, real estate, and agriculture sectors performed well, with returns of 5.98%, 5.82%, and 4.52% respectively, while the banking, comprehensive finance, and pharmaceutical sectors underperformed with returns of -0.64%, -0.58%, and -0.28% respectively [1][14] Fund Issuance and Performance - A total of 46 funds were reported last week, a decrease from the previous week, including 3 FOFs and 3 QDIIs [2] - Last week, 40 new funds were established with a total issuance scale of 21.794 billion yuan, which is a decrease from the previous week [3] - The Huashang Hong Kong Stock Connect Value Return Fund completed its fundraising on September 8, raising over 1 billion yuan with a subscription confirmation ratio of 32.95% [5] - The performance of open-end public funds showed that active equity, flexible allocation, and balanced mixed funds had returns of 2.18%, 1.73%, and 0.91% respectively [29][36] Fund Sales and Management - As of last week, there were 243 ordinary FOF funds, 119 target date funds, and 152 target risk funds in the open-end public fund category [35] - The top three fund sales institutions by equity fund holdings were Ant Fund, China Merchants Bank, and Tian Tian Fund, with holdings of 822.9 billion yuan, 492 billion yuan, and 349.6 billion yuan respectively [7] - The target date funds had the best median performance this year, with a cumulative return of 13.94% [36] Bond Market - As of last Friday, the central bank's reverse repo net injection was 196.1 billion yuan, with reverse repos maturing at 1,068.4 billion yuan, resulting in a net open market injection of 1,264.5 billion yuan [17] - The yield on government bonds of different maturities has increased, with credit spreads widening by 3.69 basis points [18][23] Sector Performance - Over the past month, the communication sector has seen the highest cumulative increase of 25.38%, while the comprehensive finance sector has experienced a cumulative decline of 5.53% [14] - Year-to-date, the communication, non-ferrous metals, and electronics sectors have shown high cumulative returns of 63.94%, 60.31%, and 38.03% respectively, while sectors like coal, transportation, and food and beverage have the lowest returns [14][16]

Group 1: Weekly Index Enhanced Portfolio Performance - The CSI 300 index enhanced portfolio achieved an excess return of 0.61% this week and 17.47% year-to-date [1][6] - The CSI 500 index enhanced portfolio recorded an excess return of -0.85% this week and 8.97% year-to-date [1][6] - The CSI 1000 index enhanced portfolio had an excess return of -0.05% this week and 17.24% year-to-date [1][6] - The CSI A500 index enhanced portfolio reported an excess return of -0.55% this week and 9.19% year-to-date [1][6] Group 2: Stock Selection Factor Performance Tracking - In the CSI 300 component stocks, factors such as three-month institutional coverage, one-month volatility, and one-year momentum performed well [1][7] - In the CSI 500 component stocks, one-year momentum, expected net profit month-on-month, and single-quarter revenue year-on-year growth showed strong performance [1][7] - In the CSI 1000 component stocks, single-quarter EP, three-month earnings adjustments, and single-quarter ROE were notable factors [1][7] - In the CSI A500 index component stocks, one-year momentum, standardized expected external income, and single-quarter revenue year-on-year growth performed well [1][7] - Among public fund heavy stocks, one-year momentum, single-quarter revenue year-on-year growth, and expected net profit month-on-month were strong factors [1][7] Group 3: Public Fund Index Enhanced Product Performance Tracking - The CSI 300 index enhanced products had a maximum excess return of 2.13%, a minimum of -1.11%, and a median of 0.05% this week [1][20] - The CSI 500 index enhanced products had a maximum excess return of 0.44%, a minimum of -1.86%, and a median of -0.42% this week [1][22] - The CSI 1000 index enhanced products had a maximum excess return of 0.63%, a minimum of -1.37%, and a median of 0.03% this week [1][26] - The CSI A500 index enhanced products had a maximum excess return of 0.84%, a minimum of -0.79%, and a median of -0.02% this week [1][27]

Core Viewpoint - The report tracks the performance of various active quantitative strategies by GuoXin JinGong, focusing on their absolute and relative returns against benchmarks, specifically the active equity mixed fund index and the performance of individual stock pools [2][3][6]. Group 1: Performance Overview - The "Excellent Fund Performance Enhancement Portfolio" achieved an absolute return of 2.52% this week and a year-to-date return of 27.90%, underperforming the mixed fund index by 0.12% and 2.68% respectively [1][10]. - The "Super Expected Selection Portfolio" recorded an absolute return of 1.55% this week and 43.65% year-to-date, outperforming the mixed fund index by 13.07% [1][18]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" had an absolute return of 2.22% this week and 33.45% year-to-date, with a relative outperformance of 2.87% against the mixed fund index [1][19]. - The "Growth and Stability Portfolio" achieved an absolute return of 2.83% this week and 53.34% year-to-date, outperforming the mixed fund index by 22.76% [1][28]. Group 2: Strategy Summaries - The "Excellent Fund Performance Enhancement Portfolio" aims to outperform the median return of active equity funds by utilizing a quantitative approach based on the holdings of top-performing funds [7][33]. - The "Super Expected Selection Portfolio" selects stocks based on positive earnings surprises and analyst upgrades, focusing on both fundamental and technical criteria to build a robust stock selection [12][39]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" leverages the stock pool identified by brokerage analysts, optimizing the selection to maintain alignment with the broader market while aiming for superior returns [16][41]. - The "Growth and Stability Portfolio" employs a time-series evaluation method to identify growth stocks that are likely to outperform around earnings announcements, incorporating various risk management mechanisms [24][45].