权益基金月度观察：权益基金全面上涨，数字经济最新主线-20250811

• The report introduces a quantitative model for evaluating equity funds, using 22 benchmark indices as independent variables and fund returns as dependent variables. The model applies rolling window regression with a 6-month window to calculate the R² matrix for each fund. The benchmark index with the highest average R² over the past six periods is selected as the reference index for fund performance evaluation. The formula used is based on linear regression methodology[17][18][20] - The report evaluates equity fund strategies by analyzing their fit to single indices using goodness-of-fit (R²). In July 2025, the average R² was 0.7852, with 9.69% of funds exceeding 0.9 and 18.53% below 0.7, showing minimal change compared to June 2025[36][37] - The report highlights the distribution of equity fund strategies, with growth-oriented funds being the most tracked (34.50% of the sample). Among specific indices, the "Digital Economy" index saw the largest increase in tracking funds, growing from 280 to 416 funds, while indices like "TMT (CITIC)" and "Advanced Manufacturing 100" experienced declines in tracking funds[40][41][42] - The report categorizes high-rated funds into four levels: AAA, AA+, AA, and BB+. AAA funds are stable alpha-type funds with long-term excess returns and no signs of decline. AA+ funds show steadily increasing alpha values, while AA funds are alpha-timing funds with high variability. BB+ funds represent products with improving alpha trends, often overlooked by traditional selection methods[46][47][48] - The report identifies high-rated funds across different categories, such as large-cap, mid-small-cap, value, growth, and thematic funds. For example, in the large-cap category, funds like "Penghua Optimal Value A" achieved high ratings with an R² of 0.82[57][58][60] - The report introduces "Emerging Funds," defined as funds receiving their first rating this month and managed by fund managers with less than three years of experience. Six emerging funds were identified, including "嘉实前沿科技 A" and "民生加银内核驱动 A"[65][66][67]