基金经理研究系列报告之八十一：华泰柏瑞量化：系统化投研体系，追求持续稳定的超额收益

1. Report Industry Investment Rating No relevant content provided in the text. 2. Core View of the Report - The Huatai-PineBridge Quantitative and Overseas Investment Department has a complete research and investment system, with high annual winning rates for its index enhancement products and excellent performance of representative products [2]. - The team's platform - style operation mode enables efficient collaboration among members, and the iterative models in three directions continuously promote the evolution of the research and investment framework [2]. 3. Summary According to the Directory 3.1华泰柏瑞量化——系统化投研体系，追求持续稳定的超额收益 3.1.1 Team Situation - The Huatai - PineBridge Quantitative team is led by Mr. Sheng Hao, with multiple fund managers and dedicated account investment managers having over 7 years of work experience. The team consists of 13 members, divided into three sub - teams for traditional fundamental research, price - volume strategy research, and unstructured data and new algorithm research [2][7][9]. - The team operates in a platform - style mode, sharing all resources, and receives collaborative support from other teams within Huatai - PineBridge [9]. 3.1.2 Product Layout - The sources of excess returns include strategy effectiveness, market breadth, transfer coefficient, and risk. Based on this understanding, the team has a diversified product layout [11]. - The product layout features a focus on broad - based index enhancement products, covering various broad - based indices. It includes two types of index enhancement products and each product has a clear risk positioning [13]. 3.1.3 Investment Framework - The team has built a complete research and investment system, with each step equipped with necessary technologies and tools, and continuously optimizes the system through accumulated experience [16]. - The research and investment system includes data collection, factor/feature construction, investment strategy formulation, risk control, and performance attribution. The team's model iteration has three directions: traditional fundamentals, short - term price - volume, and unstructured data, which complement each other to drive the evolution of the research and investment framework [17][20]. 3.2华泰柏瑞量化旗下产品业绩分析 3.2.1 Annual Winning Rates of Index Enhancement Products - Since 2020, the annual winning rates of the team's index enhancement products against the benchmark are excellent, with an overall winning rate of 89%. Many products have outperformed the benchmark every year since 2020 [2][29]. 3.2.2 Performance of Representative Products - The Huatai - PineBridge CSI 500 Enhanced Strategy ETF has led its peers since 2022, with a return of 20.23%, ranking in the top 7% among similar products. In 2025, it ranked first among all CSI 500 index enhancement products [2][32][38]. - The Huatai - PineBridge CSI 2000 Index Enhancement has also performed well since Q3 2024, ranking among the top in its category, with significant excess returns over the benchmark [2][40]. 3.3华泰柏瑞量化代表产品投资风格分析 3.3.1 Huatai - PineBridge CSI 500 Enhanced Strategy ETF - The product has a diversified stock holding, with the top ten holdings accounting for less than 15% and the top thirty holdings for about 30%. It adopts a moderate turnover strategy [47]. - There is little deviation in market value and industry from the benchmark. Stock selection is the main source of excess returns, with significant and stable contributions from stock - picking across multiple sectors [53][55][66]. 3.3.2 Huatai - PineBridge CSI 2000 Index Enhancement - The product has a highly diversified stock holding, with the top ten holdings accounting for less than 8% and the top thirty for less than 20%. It has a short - term heavy - holding cycle and a high - turnover investment strategy [67]. - There is little market value sinking operation, with few micro - cap stocks in the portfolio. Trading is the main source of excess returns, with significant and stable contributions from trading operations [71][74][76].