Key Points - The article discusses the dividend progress of constituent stocks in major indices as of November 12, 2025, highlighting that no companies in the Shanghai 50, CSI 500, and CSI 1000 indices have declared or implemented dividends, while only one company in the CSI 300 is in the proposal stage [1][3] - The article provides a comparison of 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 various indices are reported, with the Shanghai 50 index having a realized yield of 2.50% and a remaining yield of 0.36%, while the CSI 300 has 1.99% and 0.24%, respectively [8][7] - The article tracks the premium and discount of stock index futures, indicating that the IH main contract has an annualized premium of 3.92%, while the IC and IM contracts show significant discounts of 10.12% and 14.93% [4][12] - The methodology for calculating the impact of dividends on index futures is discussed, emphasizing the importance of considering dividend points in estimating futures premiums [20][34] - The accuracy of dividend point estimation is analyzed, showing that the model has a high prediction accuracy for the Shanghai 50 and CSI 300 indices, with deviations around 5 points, while the CSI 500 has a slightly larger deviation of about 10 points [36][34]

Core Viewpoint - The article discusses the upcoming Guosen Securities 2026 Investment Strategy Conference, highlighting the focus on financial engineering and risk management strategies in the context of new economic cycles and paradigms [1][2]. Group 1: Conference Details - The conference will take place from November 20 to November 21, 2025, at the Shangri-La Hotel in Futian, Shenzhen, China [1]. - The event will feature various sessions, including discussions on multi-strategy enhanced portfolios and comprehensive risk models [2]. Group 2: Key Presentations - Zhang Yu will present on "Multi-strategy Enhanced Portfolios from an Enlightenment Perspective" [2]. - Zhang Xinwei will discuss "Comprehensive Risk Model Strategies" [2]. - Hu Zhichao will introduce a unified improvement framework for selection gene factors from a latent risk perspective [2]. Group 3: Panel Discussion - A roundtable forum titled "Seeking Insights for 2026" will be held, featuring prominent figures from various fund management companies [3]. - Participants include executives from Huaxia Fund, Haitong Fund, and Southern Fund, among others, discussing the role and opportunities of ETFs in asset allocation [3][4]. Group 4: Expert Profiles - Xu Wen, Deputy General Manager of Huatai-PB Fund, has over 24 years of experience in securities and fund management, with significant expertise in ETF management [4]. - Liu Bin, Chief Investment Officer at Harvest Fund, has 19 years of experience in fund management, focusing on quantitative investment strategies [7]. - Yang Chao from Tianhong Fund specializes in quantitative investment, managing over 7 billion in index-enhanced products [9].

Core Viewpoint - The article focuses on the analysis of companies that reported better-than-expected earnings in their Q3 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][33]. Q3 Financial Disclosure Situation - As of October 31, 2025, a total of 5,401 A-share companies listed before July 1, 2025, disclosed their Q3 2025 financial reports [2][34]. - Among different indices, the median year-on-year net profit growth rate for the CSI 500 index constituents was the highest at 10.27% [7]. - The financial sector reported a median year-on-year net profit growth rate of 10.97%, which is relatively high, while the consumer sector reported a decline of 4.27% [8][34]. - In terms of industry performance, non-bank financial, steel, and non-ferrous metals sectors showed higher median year-on-year net profit growth rates [11][34]. - Hot concept indices with high public fund holdings, such as the NVIDIA industry chain index and semiconductor selection index, reported median year-on-year net profit growth rates exceeding 40% [13][34]. - Representative industry-themed ETFs tracking indices like securities companies and CSI 300 non-bank also showed high median year-on-year net profit growth rates [16][34]. Q3 Earnings Exceeding Expectations - The proportion of companies exceeding expectations in the CSI 300 index was the highest at 21.65% [3][22]. - The financial sector had the highest proportion of companies exceeding expectations, reaching 13.11% [22][34]. - Non-bank financial and food and beverage industries had a higher proportion of companies exceeding expectations [25][34]. - Among hot concepts with high public fund holdings, the Moutai index and cyclical index had a higher number of companies exceeding expectations [35]. - The representative ETF indices with a high number of companies exceeding expectations included CSI 300 non-bank and securities companies [28][35]. Selected Companies - Based on the analysis of Q3 earnings reports and analyst comments, companies such as Sunshine Power and Shengyi Technology were identified as exceeding expectations for Q3 2025 [36][36].

Market Review - The A-share market showed a mixed performance last week, with the Shanghai Composite Index, CSI 300, and ChiNext Index gaining 1.08%, 0.82%, and 0.65% respectively, while the SME Board, CSI 500, and STAR 50 Index declined by -0.59%, -0.04%, and 0.01% respectively [1][12] - The trading volume of major indices decreased last week, with the average daily trading volume also declining over the past month [14][16] - In terms of industry performance, power equipment and new energy, steel, and oil and petrochemicals led with gains of 5.10%, 4.57%, and 4.56% respectively, while pharmaceuticals, computers, and comprehensive finance lagged with losses of -2.36%, -2.08%, and -1.98% respectively [1][17] Fund Performance - Active equity, flexible allocation, and balanced mixed funds reported returns of 0.17%, 0.19%, and 0.72% respectively last week. Year-to-date, active equity funds have the best performance with a median return of 29.59% [29][30] - The median excess return for index-enhanced funds was -0.14%, while quantitative hedge funds had a median return of 0.27%. Year-to-date, index-enhanced funds have a median excess return of 3.95% [33][34] Fund Issuance - A total of 48 new funds were established last week, with a total issuance scale of 265 billion, which is a decrease from the previous week. Additionally, 37 funds entered the issuance phase last week, and 39 funds are set to begin issuance this week [3][4] Open-end Public Fund Overview - As of last week, there were 254 ordinary FOF funds, 118 target date funds, and 153 target risk funds. The median performance of target date funds was the best, with a cumulative return of 16.64% year-to-date [2][36] Market Dynamics - The central bank's net withdrawal of funds through reverse repos was 15,722 billion, with a net public market injection of 4,958 billion. Interest rates for different maturities of government bonds have risen, and credit spreads for different ratings have narrowed [20][24][25]

Group 1: Weekly Index Enhanced Portfolio Performance - The CSI 300 index enhanced portfolio achieved an excess return of 0.01% this week and 18.92% year-to-date [6][18] - The CSI 500 index enhanced portfolio recorded an excess return of -0.26% this week and 7.89% year-to-date [6][18] - The CSI 1000 index enhanced portfolio had an excess return of -0.63% this week and 16.63% year-to-date [6][18] - The CSI A500 index enhanced portfolio posted an excess return of 0.20% this week and 9.84% year-to-date [6][18] Group 2: Stock Selection Factor Performance Tracking - In the CSI 300 component stocks, factors such as EPTTM, expected BP, and BP performed well [9][10] - In the CSI 500 component stocks, three-month volatility, expected EPTTM, and expected BP showed strong performance [9][10] - For the CSI 1000 component stocks, EPTTM, three-month volatility, and expected EPTTM were the top-performing factors [9][10] - In the CSI A500 index component stocks, expected EPTTM, EPTTM, and BP were the best-performing factors [9][10] Group 3: Public Fund Index Enhanced Product Performance Tracking - The CSI 300 index enhanced products had a maximum excess return of 0.89%, a minimum of -1.44%, and a median of -0.18% this week [22][24] - The CSI 500 index enhanced products achieved a maximum excess return of 1.65%, a minimum of -1.05%, and a median of 0.05% this week [24][28] - The CSI 1000 index enhanced products recorded a maximum excess return of 0.94%, a minimum of -1.66%, and a median of -0.30% this week [24][28] - The CSI A500 index enhanced products had a maximum excess return of 0.59%, a minimum of -1.02%, and a median of -0.16% this week [24][29]

Core Viewpoint - The report tracks the performance of various active quantitative strategies by Guosen Securities, focusing on their ability to outperform the median returns of actively managed equity funds, with a comparison to the mixed equity fund index as a benchmark [2][3]. Group 1: Performance Overview - The "Excellent Fund Performance Enhancement Portfolio" had an absolute return of -1.15% this week and a year-to-date return of 27.32%, underperforming the mixed equity fund index by 1.21% and 5.23% respectively [1][4][8]. - The "Super Expected Selection Portfolio" achieved an absolute return of 0.42% this week and 44.80% year-to-date, outperforming the mixed equity fund index by 0.36% and 12.25% respectively [1][4][18]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" recorded an absolute return of 0.62% this week and 35.91% year-to-date, with excess returns of 0.55% and 3.35% compared to the mixed equity fund index [1][4][19]. - The "Growth and Stability Portfolio" had an absolute return of -1.02% this week and 53.93% year-to-date, underperforming the mixed equity fund index by 1.08% and outperforming it by 21.38% respectively [1][4][28]. Group 2: Strategy Summaries - The "Excellent Fund Performance Enhancement Portfolio" aims to outperform the median returns of actively managed equity funds by utilizing a quantitative approach based on the holdings of top-performing funds [5][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 [10][39]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" leverages the stock pool identified by brokerage analysts, optimizing the selection to maintain alignment with the performance of the broader equity fund index [14][41]. - The "Growth and Stability Portfolio" employs a time-series evaluation approach to identify growth stocks that are likely to release excess returns around earnings announcements, using a multi-factor scoring system for stock selection [23][45].

Group 1 - The report tracks stocks, industries, and sectors that are reaching new highs, indicating market trends and hotspots [1][4][25] - As of November 7, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index at 0.47%, Shenzhen Component Index at 2.34%, CSI 300 at 1.45%, CSI 500 at 2.93%, CSI 1000 at 1.39%, CSI 2000 at 1.36%, ChiNext Index at 3.49%, and STAR 50 Index at 8.02% [6][25] - Among the CITIC first-level industry indices, the oil and petrochemical, electric equipment and new energy, comprehensive, electric and public utilities, and steel industries are closest to their 250-day new highs, while food and beverage, comprehensive finance, pharmaceuticals, real estate, and retail industries are further away [9][25] Group 2 - A total of 1,018 stocks reached a 250-day new high in the past 20 trading days, with the highest number of new highs in the machinery, basic chemicals, and electronics sectors [2][14][25] - The highest proportion of new high stocks is found in the coal, non-ferrous metals, and steel industries, with respective proportions of 52.78%, 52.42%, and 39.62% [14][25] - The cyclical and manufacturing sectors had the most new high stocks this week, with respective counts of 319 and 301 [16][25] Group 3 - The report identifies 50 stocks that have shown stable new highs based on analyst attention, relative strength, price path stability, and continuity of new highs, including companies like Shannon Chip and Zhongji Xuchuang [3][20][27] - The cyclical and technology sectors had the most stocks reaching stable new highs, with 21 and 16 stocks respectively [20][27] - In the cyclical sector, the non-ferrous metals industry had the most new highs, while in the technology sector, the electric equipment and new energy industry led [20][27]

Core Viewpoint - The article emphasizes the increasing acceptance of index investing among investors, leading to a significant growth in the scale of index funds, which reached a total of 4.44 trillion yuan as of September 30, 2025 [8][11]. Index Fund Growth - As of September 30, 2025, there are 1,521 passive equity index funds with a total scale of 4.44 trillion yuan [8]. - The scale of index funds tracking major indices such as CSI 300, CSI A500, and SSE 50 are 1.21 trillion yuan, 217.4 billion yuan, and 188.6 billion yuan respectively [11]. Index Component Adjustments - Regular adjustments to index components are conducted by China Securities Index Company and Shenzhen Securities Information Company every June and December, which can create trading opportunities if the adjustments are substantial [14]. - The article provides predictions for component adjustments in six major indices: CSI 300, SSE 180, SSE 50, Sci-Tech 50, ChiNext Index, and CSI 500, offering investment references for investors [14]. Predictions for Major Indices - **CSI 300 Index**: Predictions include the addition of 11 stocks such as Huadian New Energy and the removal of 11 stocks including Xingyu Co., Ltd. [2][15]. - **SSE 180 Index**: Predictions indicate the addition of 7 stocks including Huadian New Energy and the removal of 7 stocks such as COSCO Shipping Energy [3][16]. - **SSE 50 Index**: Predictions suggest the addition of 4 stocks including SAIC Motor and the removal of 4 stocks such as China Mobile [4][17]. - **Sci-Tech 50 Index**: Predictions include the addition of 2 stocks such as Aojie Technology and the removal of 2 stocks including Huaxi Biological [5][18]. - **CSI 500 Index**: Predictions indicate the addition of 50 stocks including Electric Power Investment and the removal of 50 stocks such as China Great Wall Technology [6][20]. - **ChiNext Index**: Predictions suggest the addition of 8 stocks including Changsheng Bearing and the removal of 8 stocks such as Huaxia Eye Hospital [7][22].

Overview of Public FOF Funds in Q3 2025 - As of Q3 2025, a total of 518 FOF products have been established in the market, with a combined scale of 193.49 billion yuan, representing a 16.44% increase compared to Q2 2025 [1][6] - The FOFs are categorized into three types based on the proportion of equity assets: debt-oriented FOFs (112.32 billion yuan), balanced FOFs (39.43 billion yuan), and equity-oriented FOFs (41.74 billion yuan). The median returns for these categories in Q3 2025 are 3.07%, 11.84%, and 21.20%, respectively [1][8][16] FOF Fund Manager Preferences - The most held active equity funds by FOFs in Q3 2025 are: 1. Fuguo Stable Growth A (33 FOFs) 2. Boda Growth Smart Navigation C (30 FOFs) 3. Invesco Great Wall Quality Evergreen A (26 FOFs) [2][27] - The largest positions by scale in active equity funds are: 1. E Fund Science and Technology Innovation (5.87 billion yuan) 2. Huaxia Innovation Frontier A (4.85 billion yuan) 3. Xingquan Business Model Preferred A (4.62 billion yuan) [2][28] Changes in Fund Allocations Compared to Q2 2025 - In active equity funds, the most net increased holdings by FOFs are: 1. Caitong Asset Management Digital Economy C (13 FOFs) 2. E Fund Growth Power C (13 FOFs) 3. Invesco Great Wall Stable Return C (6 FOFs) [3][40] - The largest net increase in scale for active equity funds is seen in E Fund Information Industry A (1.60 billion yuan) [3][41] FOF Stock Investment Situation - By Q3 2025, 158 FOFs have directly invested in stocks, with balanced FOFs having the highest proportion of stock investments [5] - The top three stocks held by FOFs are: 1. Zijin Mining 2. CATL 3. Cambricon Technologies [5] Performance of Different FOF Categories - The median returns for different FOF categories in Q3 2025 are: - Debt-oriented FOF: 3.07% - Balanced FOF: 11.84% - Equity-oriented FOF: 21.20% [16] - The top-performing funds in Q3 2025 for each category are: - Debt-oriented: Galaxy Zhiyuan Pension Target Date 2045 (12.79%) - Balanced: Penghua Pension 2045 (25.24%) - Equity: Guotai Youxuan Leading One-Year Holding (59.42%) [18][20][22] FOF Fund Management Companies - As of Q3 2025, there are 82 fund companies engaged in FOF business, with the top five managing 40.71% of the total scale [9] - The leading fund managers by scale are: 1. China Europe Fund (9.44%) 2. Xingsheng Global Fund (9.42%) 3. E Fund (8.29%) [9] FOF Issuance and Market Trends - In Q3 2025, 20 new FOFs were issued, an increase of 4 from Q2 2025 [13] - The overall performance of FOFs has improved significantly compared to previous years, with median returns recovering from negative figures in 2022 to positive returns in 2025 [15][16]

Group 1 - The core viewpoint of the article emphasizes the performance of the "brokerage golden stocks" and their ability to track the performance of mixed equity funds, showcasing the analytical capabilities of brokerage firms [2][10][31] - In October 2025, the top-performing stocks in the brokerage golden stock pool included GuoDun Quantum, Rongxin Culture, and JiangBolong, with significant monthly increases [1][3][4] - The top three brokerages in terms of monthly returns were Western Securities, Great Wall Securities, and Guoyuan Securities, with returns of 5.84%, 5.43%, and 4.03% respectively, while the mixed equity fund index returned -2.14% [6][8] Group 2 - As of November 3, 2025, a total of 42 brokerages released their golden stocks for the month, resulting in 275 unique A-shares after deduplication [21][27] - The sectors with the highest allocation in the current golden stock pool were electronics (15.26%), non-ferrous metals (8.68%), and basic chemicals (6.84%) [27] - The brokerage golden stock performance enhancement portfolio had an absolute return of -0.77% for the month and a relative excess return of 1.37% compared to the mixed equity fund index [35] Group 3 - The article highlights the performance of various selection factors within the brokerage golden stock pool, noting that total market capitalization and quarterly revenue growth rates performed well recently [18][16] - The article also discusses the stocks that received multiple recommendations from analysts, indicating higher market attention, with stocks like Industrial Fulian and Kingsoft receiving recommendations from five or more analysts [22][23] - The brokerage golden stock index showed a year-to-date return of 28.59%, compared to the mixed equity fund index's return of 32.47% [14][35]