Group 1 - The A-share market is experiencing a gradual recovery in sentiment, with structural opportunities emerging, indicating a key time window for style rebalancing [1] - The launch of the CITIC Prudential CSI A500 Index Enhanced Securities Investment Fund aims to capture excess returns through quantitative models amid changing market styles [1][2] - The CSI A500 Index is seen as having high cost-effectiveness for allocation, with a significant overlap with the CSI 300 Index and representation of high-growth sectors like semiconductor equipment and industrial robots [2] Group 2 - The quantitative enhancement strategy for the CSI A500 Index can be divided into two approaches: focusing on fundamental alpha factors for overlapping stocks and utilizing price-volume factors for mid-cap stocks [3] - The team emphasizes the importance of dynamic risk control, adapting to market changes and allowing for customized risk deviation thresholds based on various factors [5][6] - Continuous iteration and reflection in quantitative investment strategies are crucial, with the team striving to optimize trading behaviors and find more scientific alternatives due to regulatory constraints [4][6]
中信保诚基金姜鹏： 中证A500布局正当时 量化赋能捕捉超额收益