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 ...

Group 1 - The report tracks stocks, industries, and sectors that are reaching new highs, indicating market trends and hotspots [1][4] - As of June 13, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index 3.23%, Shenzhen Component Index 11.94%, CSI 300 9.21%, CSI 500 9.33%, CSI 1000 7.65%, CSI 2000 4.96%, ChiNext Index 19.86%, and STAR Market 13.66% [5][25] - The industry indices that are closest to their 250-day new highs include non-ferrous metals, banking, pharmaceuticals, agriculture, forestry, animal husbandry, fishery, and electric power and public utilities [8][25] Group 2 - A total of 838 stocks reached a 250-day new high in the past 20 trading days, with the most significant numbers in the pharmaceutical, basic chemicals, and machinery sectors [2][13] - The highest proportion of new high stocks is found in the banking, textile and apparel, and pharmaceutical industries, with respective proportions of 71.43%, 29.29%, and 24.95% [13][16] - The manufacturing and cyclical sectors had the most new high stocks this week, with 262 and 212 stocks respectively [16] Group 3 - The report identifies 42 stocks that have shown stable new highs, with the majority coming from the manufacturing and consumer sectors, each contributing 9 stocks [22][26] - The mechanical industry had the most new highs within the manufacturing sector, while the food and beverage industry led in the consumer sector [22][26] - The selection criteria for stable new high stocks include analyst attention, relative strength of stock prices, price path stability, and continuity of new highs [19][20]

Key Points - The article discusses the dividend progress of constituent stocks in major indices as of June 10, 2025, highlighting the stages of dividend announcements and distributions across various indices [1][4]. - It provides a comparison of dividend yields across different industries, noting that coal, banking, and steel sectors have the highest yields [2][3]. - The article also presents the realized and remaining dividend yields for major indices, indicating the current financial performance and future expectations [6][7]. - It tracks the premium and discount of stock index futures, emphasizing the importance of considering dividend impacts on futures pricing [2][12]. Group 1: Dividend Progress of Constituent Stocks - As of June 10, 2025, the Shanghai Stock Exchange 50 Index has 14 companies in the proposal stage, 19 in the decision stage, 3 in the implementation stage, 9 that have paid dividends, and 4 that have not [1][4]. - The CSI 300 Index has 81 companies in the proposal stage, 92 in the decision stage, 34 in the implementation stage, 65 that have paid dividends, and 27 that have not [1][4]. - The CSI 500 Index has 68 companies in the proposal stage, 146 in the decision stage, 57 in the implementation stage, 139 that have paid dividends, and 90 that have not [1][4]. - The CSI 1000 Index has 81 companies in the proposal stage, 269 in the decision stage, 93 in the implementation stage, 338 that have paid dividends, and 219 that have not [1][4]. Group 2: Dividend Yield Comparison - The article provides statistics on the dividend yields of stocks that have disclosed dividend proposals, with coal, banking, and steel industries ranking the highest [2][3]. Group 3: Realized and Remaining Dividend Yields - As of June 10, 2025, the realized dividend yield for the Shanghai Stock Exchange 50 Index is 0.33%, with a remaining yield of 2.03% [7]. - The realized dividend yield for the CSI 300 Index is 0.39%, with a remaining yield of 1.60% [7]. - The realized dividend yield for the CSI 500 Index is 0.48%, with a remaining yield of 0.86% [7]. - The realized dividend yield for the CSI 1000 Index is 0.45%, with a remaining yield of 0.59% [7]. Group 4: Stock Index Futures Premium and Discount Tracking - As of June 10, 2025, the annualized discount for the IH main contract is 2.11%, for the IF main contract is 6.35%, for the IC main contract is 13.84%, and for the IM main contract is 22.25% [1][12]. - The article emphasizes the need to account for dividend impacts when calculating the premium and discount of stock index futures [2][12].

Market Review - The A-share market saw all major broad-based indices rise last week, with the ChiNext Index, CSI 1000, and SME Index leading gains at 2.32%, 2.10%, and 1.62% respectively, while the CSI 300, SSE Composite, and SZSE Component lagged behind with returns of 0.88%, 1.13%, and 1.42% respectively [6][10] - The trading volume of major broad-based indices decreased last week, with all indices falling within the 20%-40% historical percentile range over the past 52 weeks [11][14] - In terms of industry performance, telecommunications, non-ferrous metals, and electronics led with returns of 5.06%, 3.79%, and 3.58% respectively, while household appliances, food and beverage, and transportation lagged with returns of -1.75%, -0.65%, and -0.56% respectively [15][17] Fund Performance - Last week, the performance of active equity, flexible allocation, and balanced mixed funds was 1.67%, 1.11%, and 0.40% respectively. Year-to-date, alternative funds have shown the best performance with a median return of 10.73%, while active equity, flexible allocation, and balanced mixed funds have median returns of 3.33%, 1.14%, and 0.54% respectively [28][30] - The median excess return for index-enhanced funds was 0.12%, while quantitative hedging funds had a median return of 0.16%. Year-to-date, the median excess return for index-enhanced funds is 2.19%, and for quantitative hedging funds, it is 0.86% [31][32] Fund Issuance - A total of 42 new funds were established last week, with a total issuance scale of 310.13 billion yuan, which is an increase compared to the previous week. Among these, equity funds accounted for 128.66 billion yuan, mixed funds for 8.84 billion yuan, and bond funds for 172.63 billion yuan [3][41] - There were 36 funds that entered the issuance phase for the first time last week, and 34 funds are expected to start issuing this week [3] REITs Market - As of June 6, the total market value of publicly offered REITs has surpassed 200 billion yuan, reaching 2020.74 billion yuan. The market has expanded to include various asset types beyond traditional infrastructure, such as consumer facilities and rental housing [8]

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0.83%，本年超额收益5.09%。 中证500指数增强组合本周超额收益1.13%，本年超额收益7.75%。 中证1000指数增强组合本周超额收益1.86%，本年超额收益11.66%。 中证A500指数增强组合本周超额收益1.24%，本年超额收益7.78%。 二、本周选股因子表现跟踪 沪深300成分股中三个月机构覆盖、单季ROA、单季ROE等因子表现较好。 中证500成分股中标准化预期外盈利、一个月反转、DELTAROE等因子表现 较好。 中证1000成分股中单季营收同比增速、DELTAROE、单季ROE等因子表现较 好。 中证A500指数成分股中单季ROE、预期PEG、DELTAROE等因子表现较好。 公募基金重仓股中DELTAROE、一年动量、单季营收同比增速等因子表现较 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1.14%，最低-0.35%，中位数 0.07%。 中证500指数增强产品本周超额收益最高0.88%，最低-0.75%，中位数 0.07%。 中证1000指数增强产品本周超额收益最高0.89%，最 ...

| 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1.87%，相对偏股混合型基金指数超额收 | | 益-0.06%。本年，优秀基金业绩增强组合绝对收益2.62%，相对偏股混合型基金指 | | 数超额收益-2.75%。 今年以来，优秀基金业绩增强组合在主动股基中排名51.60% | | 分位点（1790/3469）。 | | 绝对收益5.01%，相对偏股混合型基金指数超额收益 本周， 超预期精选组合 | | 3.07%。本年，超预期精选组合绝对收益14.85%，相对偏股混合型基金指数超额 | | 收益9.48%。 今年以来，超预期精选组合在主动股基中排名10.93%分位点 | | （379/3469）。 | | 本周， 券商金股业绩增强组合 绝对收益3.14%，相对偏股混合型基金指数超额收 | | 益1.20%。本年，券商金股业绩增强组合绝对收益8.27%，相对偏股混合型基金指 | | 数超额收益2.90%。 今年以来，券商金股业绩增强组合在主动股基中排名25.02% | | 分位点（868/3469）。 | | 本周， 成长稳健组合 绝 ...

Group 1 - The report tracks stocks, industries, and sectors that are reaching new highs, indicating market trends and hotspots [1][4] - As of June 6, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index at 2.99%, Shenzhen Component Index at 11.41%, CSI 300 at 8.98%, CSI 500 at 8.98%, CSI 1000 at 6.94%, CSI 2000 at 4.25%, ChiNext Index at 20.03%, and STAR Market 50 Index at 12.00% [5][21] - Among the CITIC first-level industry indices, banking, pharmaceuticals, light manufacturing, electricity and public utilities, and agriculture-related industries are closest to their 250-day new highs, while coal, oil and petrochemicals, real estate, food and beverage, and electric equipment and new energy industries are further away [8][21] Group 2 - A total of 777 stocks reached a 250-day new high in the past 20 trading days, with the highest number in the basic chemicals, machinery, and pharmaceuticals sectors [2][22] - The highest proportion of new high stocks is found in the banking, textile and apparel, and light manufacturing sectors, with respective proportions of 71.43%, 27.27%, and 24.24% [22][23] - The manufacturing and cyclical sectors had the most new high stocks this week, with 266 and 195 stocks respectively, while the technology, pharmaceuticals, consumer, and financial sectors had 106, 91, 73, and 43 stocks respectively [15][23] Group 3 - The report identifies 38 stable new high stocks, including Sanofi, Wancheng Group, and Shijia Photon, based on criteria such as analyst attention, relative strength, price path stability, and continuity of new highs [3][19] - The manufacturing sector had the most stable new high stocks, with 11, while the consumer sector had 8, with the mechanical industry leading in manufacturing and the food and beverage industry leading in consumption [19][23]