新经济龙头引擎：华商中证A500指数增强基金配置价值深度解析

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The CSI A500 index is a new flagship broad - based index that aggregates 500 leading stocks in various industries of the A - share market. It has obvious "new quality productivity" characteristics, a dispersed structure, and significant excess returns compared to other common broad - based indices [8]. - The Huashang CSI A500 Index Enhanced Fund, managed by experienced fund managers, uses a multi - factor stock - selection framework and an industry rotation model. It has achieved significant excess returns this year, with a cumulative excess return of 4.16% and an annualized excess return of 9.81%, ranking among the top in its category [2][42]. - The fund has good industry allocation and stock - selection abilities within industries. It has high stock - selection effects in industries such as power equipment, electronics, automobiles, and computers, and high industry allocation effects in industries such as communication, non - ferrous metals, and automobiles [3][54]. - Compared with index ETF funds, the index - enhanced fund has relatively lower risks and higher returns. The Huashang CSI A500 Index Enhanced Fund is an ideal tool for balanced allocation of all - industry leaders and growth blue - chips, suitable as a cornerstone asset for equity positions during the economic recovery period [3][79]. 3. Summary According to the Directory 3.1 Flagship Broad - based CSI A500: New Quality Productivity Index Benchmark - The CSI A500 index was launched in September 2024, selecting 500 stocks with large market capitalization and good liquidity from each industry. It uses a market - capitalization weighted method and is adjusted semi - annually [8][10]. - The index has a dispersed structure, with the top ten weighted stocks accounting for only 21.21%. It covers 41% of "specialized, refined, distinctive, and innovative" enterprises, showing obvious "new quality productivity" characteristics [8]. - The index incorporates ESG rating concepts, targeting international investors and locking in a large - and medium - cap investment style. Its component stocks have high liquidity, with 90.91% in the top 20% of the market's liquidity ranking [12][16]. - In the Shenwan primary industry composition, the electronics industry has the highest proportion of about 10.7%, followed by the banking and power equipment industries [19]. - The average return of the top ten weighted stocks in the past year was about 31.89%, and the average return since the beginning of this year was about 6.72% [22]. 3.2 Huashang CSI A500 Index Enhancement - One of the First A500 Index Enhancement Tools - The Huashang CSI A500 Index Enhanced A (022461.OF) was established on November 1, 2024. As of the end of the first quarter of 2025, its scale was about 1.214 billion yuan, accounting for 15% of the total scale of public funds benchmarked against the CSI A500 index [24][27]. - The fund's investment objective is to achieve excess returns over the performance benchmark through quantitative methods and fundamental analysis while effectively tracking the target index [25]. 3.3 Huashang Fund's Index Enhancement Strategy 3.3.1 Factor Mining: From Subjective Thinking to Defined Quantitative Results - Huashang Fund's multi - factor stock - selection framework has accumulated over 300 various factors, with a complete system for factor mining, synthesis, back - testing, optimization, and risk control. It uses subjective logic and manual mining, and also integrates the latest large - model technology [29]. 3.3.2 Significant Out - of - Sample Excess of the Index Enhancement Strategy - The quantitative factors of Huashang's index enhancement strategy are developed from all A - share stocks without manual parameter adjustment and in - sample optimization, resulting in a very low degree of over - fitting. During the out - of - sample back - testing period from June 1, 2023, to August 30, 2024, the strategy had an information ratio of 2.25, an annualized excess return of 14.37%, an excess maximum drawdown of 4.02%, and an annualized tracking error of 5.07% [32][33]. 3.3.3 Industry and Style Rotation Strategies - The industry rotation strategy combines long - term judgment and short - term monitoring, conducting weekly position adjustments by considering factors such as industry valuation, prosperity, and congestion for long - term judgment, and market inflection points and trading factors for short - term monitoring [35]. - The growth - value rotation strategy rotates the market's growth - value style by considering factors such as the proportion of strong - performing stocks, individual stock return distribution, style momentum, and style odds. The large - and small - cap timing mainly combines trend signals and inflection point signals [38]. 3.4 Significant Annualized Excess Return of 9.81% This Year - This year, the Huashang CSI A500 Index Enhanced A has achieved significant excess returns. Its cumulative excess return is 4.16%, and its annualized excess return is 9.81%, ranking among the top 141/568 (top 24.82%) in its category. The excess Sharpe ratio relative to the benchmark index reaches 2.92, ranking among the top 63/568 (top 11.09%) in similar index - enhanced funds [42]. - Compared with other CSI A500 index - enhanced funds, it ranks among the top 3 in terms of cumulative return, Sharpe ratio, and Calmar ratio performance, and ranks second in terms of the annualized Sortino ratio [47]. - In the past 6 months, it outperformed the benchmark in 4 months, with a monthly win - rate of 66.67% [48]. 3.5 Decomposition of Excess Returns: Significant Stock - Selection Effects in Power Equipment, Electronics, Automobiles, and Computers Industries - The excess return of the fund can be decomposed into three parts: active industry allocation, active stock - selection, and the interaction between the two. - The fund has high stock - selection effect excess returns in industries such as power equipment, electronics, automobiles, and computers, and high industry allocation effect excess returns in industries such as communication, power equipment, automobiles, and computers [54]. - From the perspective of absolute returns, stocks such as BYD, Sangfor, Zijin Mining, and Weil Semiconductor in the fund's holdings have made considerable contributions to the fund's returns, and industries such as computers, non - ferrous metals, automobiles, and banks have contributed more to the fund's returns [57]. 3.6 Fund's Positioning Preferences and Risk Control 3.6.1 Industry Allocation: A Balanced Approach Combining Offense and Defense - The fund's positions in financial, growth, consumption, and cyclical sectors are relatively balanced. The growth sector has a relatively high position of 30.66%, while the consumption and mid - cyclical sectors account for 15.07% and 14.29% respectively [59]. - According to the 2024 annual report, the top ten industries in the fund's holdings are electronics, non - ferrous metals, computers, banks, communication, power equipment, automobiles, public utilities, food and beverage, and non - bank finance [61]. - The fund over - allocates industries in both offensive and defensive directions. Offensive industries include communication, non - ferrous metals, and computers, while defensive industries include public utilities and environmental protection [63]. 3.6.2 Fund's Positioning Style: Combining Growth Elasticity and Downside Protection - The overall PE level of the fund's heavy - position stocks is comparable to the average level of similar A500 index - enhanced funds, but the market capitalization level is relatively low. - The fund's overall dividend yield and ROE levels are at a relatively high percentile among similar A500 index - enhanced funds, reflecting the fund manager's in - depth mining ability [70][73]. 3.6.3 A 20% Positioning Concentration Lower Than Peers to Diversify Portfolio Risks - The shareholding concentration of the Huashang CSI A500 Index Enhanced A is relatively low, with about 20% of the stock positions concentrated in the top ten heavy - position stocks, lower than the median level of 51.99% of market index - enhanced funds [75]. 3.7 Fund Manager Information - The Huashang CSI A500 Index Enhanced Fund is jointly managed by two quantitative investment experts. Deng Mo, the director of Huashang Fund's quantitative investment department, has more than 14 years of investment and research experience, with an investment style偏向 balanced allocation. Hai Yang, a Ph.D., has a balanced and growth - oriented investment style and is good at industry comparison and rotation [76].