中欧中证500指数增强配置价值分析：基金经理研究系列报告之八十二

1. Report Industry Investment Rating No relevant content provided in the report. 2. Report's Core View - The CSI 500 index has high - value configuration due to its alignment with the national "new quality productivity" strategy, and its constituent stocks are expected to have significant profit growth, which may digest the current high valuation [3][10][17]. - The CSI 500 index - enhanced funds are a mature product category with a long history, large scale, and the ability to create obvious excess returns. Among them, the China - Europe CSI 500 Index - Enhanced Fund has excellent performance [23][30][31]. - The China - Europe CSI 500 Index - Enhanced Fund has low deviations in constituent stocks, factors, and industries, outstanding performance, strong unique Alpha acquisition ability, good market environment adaptability, and stock - selection as the main source of excess returns [84][85]. 3. Summary by Directory 3.1中证 500 指数配置价值分析 (Analysis of the Allocation Value of the CSI 500 Index) 3.1.1战略方向契合：新质生产力视角下的政策红利 (Strategic Direction Fit: Policy Dividends from the Perspective of New Quality Productivity) - The industry distribution of the CSI 500 index is highly consistent with the national "new quality productivity" strategy. Its constituent stocks cover many high - tech industries, making it a high - quality carrier for policy dividends [10]. - Most of the top - ten constituent stocks of the CSI 500 index are related to the key areas of new quality productivity and can benefit from policy support [13][14]. 3.1.2估值与盈利情况：当前具有良好的配置价值 (Valuation and Profitability: Currently with Good Allocation Value) - As of September 19, 2025, the PE (TTM) of the CSI 500 index is at a relatively high quantile since 2015, but it is in a reasonable range compared with other broad - based indices [15]. - According to Wind's consensus forecast data, the earnings per share of the CSI 500 index constituent stocks are expected to rise significantly in 2025 and 2026, and the net profit is also expected to increase notably, with expected growth rates of 24.7% and 18.1% respectively [17]. - Although the current valuation quantile of the index is high, the future profitability of the constituent stocks is optimistic, and the valuation is expected to be digested with the profit growth [22]. 3.2中证 500 指数增强基金投资价值与策略分析 (Analysis of the Investment Value and Strategy of CSI 500 Index - Enhanced Funds) 3.2.1产品发展情况：较为成熟的品类 (Product Development: A Relatively Mature Category) - The first CSI 500 index - enhanced product in the Chinese public - offering market was established in 2011, with a 14 - year history, accumulating a lot of investment experience [23]. - As of Q2 2025, the total scale of CSI 500 index - enhanced products exceeded 4.3 billion yuan, and the number of products increased from 15 at the end of 2016 to 71, indicating strong market demand and active layout by fund companies [23][26]. 3.2.2历史表现情况：更加明显的超额 (Historical Performance: More Obvious Excess Returns) - Historically, the CSI 500 index - enhanced products have generally created excess returns for investors, except in a few periods when the index rose rapidly [30]. - Compared with the CSI 300 index - enhanced products, the CSI 500 index - enhanced products can create more obvious excess returns, with a higher slope of the relative return curve and generally higher annual excess returns [31]. 3.2.3产品特征分布：中欧中证 500 指数增强独特性、市场环境适应性均较好 (Product Feature Distribution: The China - Europe CSI 500 Index - Enhanced Fund Has Good Uniqueness and Market Environment Adaptability) - Most CSI 500 index - enhanced products have limited ability to obtain unique Alpha, and their Alpha - acquisition methods may be similar, resulting in homogeneous performance. Only a few products can efficiently obtain unique Alpha [38]. - More than 62% of CSI 500 index - enhanced products have obvious shortcomings in market environment adaptability, while only 15% of products can perform in the top 50% in various market environments [42]. - The China - Europe CSI 500 Index - Enhanced Fund can efficiently obtain unique Alpha and has no obvious market environment adaptability shortcomings, performing in the top 40% in all market environments [44]. 3.3中欧中证 500 指数增强产品特征分析 (Analysis of the Product Features of the China - Europe CSI 500 Index - Enhanced Fund) 3.3.1持仓特征：成分股、因子、行业暴露均较小 (Positioning Characteristics: Small Exposure to Constituent Stocks, Factors, and Industries) - The China - Europe CSI 500 Index - Enhanced Fund has a relatively dispersed stock position, with a low proportion of the top - ten and top - thirty holdings. It does not rely on market - value sinking to obtain excess returns, and its market - value style deviation is small [46][51]. - The fund's factor exposure is relatively mild, with exposure to various factors controlled within 0.5 times the standard deviation in the past four full - position periods. The average factor exposure is lower than the sample average [53][55]. - The proportion of CSI 500 constituent stocks in the fund's position is significantly higher than the average of similar products, and the industry deviation from the CSI 500 index is controllable, with the maximum over - or under - allocation ratio not exceeding 6% and further tightened in H1 2025 [55][61]. 3.3.2业绩表现：25 年表现在同类中较为领先 (Performance: Leading Performance Among Peers in 2025) - Since its establishment, the China - Europe CSI 500 Index - Enhanced Fund has outperformed the benchmark index, with a cumulative return of 31.69% as of September 19, 2025, leading the benchmark by 27.77% [63]. - In 2025, the fund's return reached 34.56%, ranking in the top 5% among similar products, with an annualized tracking error of only 3.54%, ranking in the lower 18% [63]. - The fund has a prominent risk - return ratio, with an annualized Sharpe ratio of 2.29 and a Calmar ratio of 4.44, leading among all CSI 500 index - enhanced products [64]. - The fund has significant advantages in drawdown control, with a lower drawdown than the index and the average of similar products in major market drawdowns since 2024, and its maximum relative return drawdown is also significantly lower than the average of similar products [71][75]. 3.3.3收益拆分：选股收益贡献明显 (Return Decomposition: Significant Contribution from Stock - Selection Returns) - The China - Europe CSI 500 Index - Enhanced Fund mainly obtains excess returns through stock - selection, and trading can also contribute part of the excess returns [78]. - The fund's absolute returns come from a wide range of sectors, with the science and technology innovation sector contributing more returns. It can also obtain excess returns in most sectors through stock - selection [80]. 3.3.4产品特征总结 (Product Feature Summary) - The fund has no significant deviations in constituent stocks, factors, and industries, and the deviations in all dimensions tightened in H1 2025 [84]. - Despite strict deviation control, the fund's performance in 2025 is outstanding, with leading returns, small tracking errors, excellent risk - return ratios, and leading drawdown control among similar products [84]. - The fund has outstanding ability to obtain unique Alpha and good market environment adaptability, with no obvious market environment shortcomings [85]. - Stock - selection is the main source of excess returns, with the main stock - selection returns coming from the science and technology innovation sector, and relatively good stock - selection performance in other sectors [85].