基金市场与ESG产品周报20251117：医药主题基金表现占优，TMT、科创主题ETF受被动资金加仓-20251117

Quantitative Models and Construction Methods 1. Model Name: Active Equity Fund Position Estimation Model - Model Construction Idea: The model aims to estimate the high-frequency positions of active equity funds using quantitative methods based on daily disclosed net value sequences[64] - Model Construction Process: - Utilize constrained multivariate regression models to find the optimal estimation results of fund positions among the constructed asset sequences[64] - Construct simulated portfolios for each fund to improve the accuracy of position estimation[64] - Measure the overall position change trend of active equity funds and further estimate their latest industry preferences[64] - Model Evaluation: The model provides a high-frequency estimation of fund positions, which is crucial for understanding the investment behavior of active equity funds[64] 2. Model Name: REITs Series Index Construction Model - Model Construction Idea: The model provides a new perspective for asset allocation using REITs indices based on index investment philosophy[48] - Model Construction Process: - Construct a complete series of REITs indices to reflect the market performance comprehensively[48] - Provide detailed sub-indices for different underlying assets and project types, considering the high dividend characteristics of REITs[48] - Use a tiered rounding method to ensure the stability of the index calculation[48] - Apply the divisor adjustment method to maintain the continuity of the index when non-trading factors (e.g., new issuance, expansion) occur[48] - Model Evaluation: The model effectively captures the performance of various REITs assets and provides valuable tools for investors to measure the risk-return profile of REITs[48] Model Backtesting Results Active Equity Fund Position Estimation Model - Weekly Position Change: The estimated positions of active equity funds decreased by 0.19 percentage points compared to the previous week[64] - Industry Allocation Trends: Increased allocation in electronics, home appliances, and automobiles; decreased allocation in computers, non-bank finance, and banking sectors[64] REITs Series Index Construction Model - Weekly Performance: The comprehensive REITs index increased by 0.87%[50] - Sub-Indices Performance: - Property REITs Index: +0.81%[50] - Franchise REITs Index: +1.00%[50] - Affordable Rental Housing REITs Index: +1.51%[50] Quantitative Factors and Construction Methods 1. Factor Name: ESG Fund Performance Tracking - Factor Construction Idea: Track the performance of ESG funds by considering environmental, social, and governance factors in investment strategies[79] - Factor Construction Process: - Classify ESG funds into thematic ESG funds and general ESG funds based on their investment strategies[79] - Thematic ESG funds include "ESG," "sustainable," and "responsible investment" themes[79] - General ESG funds cover themes like "low carbon," "carbon neutral," "green," "environment," "climate," "ecology," "Yangtze River protection," etc.[79] - Social themes include "social responsibility," "poverty alleviation," "rural revitalization," "Belt and Road," "Silk Road," "regional development," etc.[79] - Governance themes include "corporate governance" and "governance"[79] - Factor Evaluation: The factor provides a comprehensive classification and tracking of ESG funds, helping investors understand the performance and impact of ESG investments[79] Factor Backtesting Results ESG Fund Performance Tracking - Number of ESG Funds: 213 funds with a total scale of 1520.28 billion yuan[80] - Thematic Distribution: - ESG Theme: 172.07 billion yuan[80] - Environmental Theme: 1185.57 billion yuan[80] - Social Theme: 137.23 billion yuan[80] - Governance Theme: 25.41 billion yuan[80] - Type Distribution: - Active Equity Funds: 804.90 billion yuan[80] - Stock Passive Index Funds: 202.64 billion yuan[80] - Pure Bond Funds: 221.67 billion yuan[80] - Bond Passive Index Funds: 278.98 billion yuan[80] - QDII Funds: 12.08 billion yuan[80] - Weekly Performance: - Active Equity ESG Funds: Median net value change of -1.67%[84] - Stock Passive Index ESG Funds: Median net value change of -1.13%[84] - Bond ESG Funds: Median net value change of +0.04%[84]