SINOLINK SECURITIES(SH:600109) SINOLINK SECURITIES·2025-11-20 11:57Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - On October 31, 2025, the China Securities Regulatory Commission and the Asset Management Association of China jointly released the "Guidelines for Performance Comparison Benchmarks of Publicly Offered Securities Investment Funds (Exposure Draft)" and the "Operating Rules for Performance Comparison Benchmarks of Publicly Offered Securities Investment Funds (Exposure Draft)", which stipulate fund performance rankings, style classifications, and style deviations [2]. - From a quantitative perspective, the report characterizes investable stock pools and fund styles under different styles, providing reference solutions for fund companies' risk control and product departments to implement regulatory documents [2]. - In the stock pool section, focusing on sector, industry, and thematic funds, the report expands the investable space and optimizes risk - return of traditional sector stock pools such as technology through the quantitative construction of the "technological innovation" investable pool while ensuring relatively controllable tracking errors [2][9]. - At the fund style characterization level, in addition to the traditional large - small cap and growth - value styles, strategy styles such as sentiment, GARP, and contrarian are introduced to further depict fund managers' capabilities and profiles [2]. 3. Summary by Relevant Catalogs 3.1科技创新股票池定义 (Definition of Technological Innovation Stock Pool) - Traditional market - cap or growth - value style stock pools have clear benchmark index references from regulators, with relatively broad benchmark index thresholds, providing sufficient investment space for fund managers [9]. - For sector, industry, and thematic funds, the pain points of stock pools are: limited investable space when strictly following the benchmark index sample space, and lack of freedom for active fund managers with no guaranteed performance advantage over passive funds; when expanding the investable range, it is necessary to ensure the sector's characteristics while expanding the investable space [9]. - Taking the "technological innovation" investable pool as an example, the report expands the investable space and optimizes risk - return of traditional sector stock pools such as technology while ensuring relatively controllable tracking errors [9]. 3.2基金投资与策略风格 (Fund Investment and Strategy Styles) - Fund Classification: Funds are classified by investment type (position), style (including market - cap, growth - value, and strategy styles), sector, industry, theme, and individual stock characteristics such as position concentration and turnover rate. Strategy styles include sentiment, GARP, quality - growth, contrarian, trend, and dividend strategies [23]. - Advanced Strategy Characterization Case: Contrarian Strategy: To judge a fund's contrarian strategy, it is required that the average proportion of long - term dark - horse stocks reaches 50%, and a 50% win - rate is used as the judgment threshold for ability selection. The nature of long - term continuously held dark - horse stocks is also an important reference for the contrarian strategy. Market - concentrated stocks are defined, and the proportion of dark - horse stocks in a fund's heavy - position stocks and the win - rate of dark - horse stock selection are calculated [30][31]. 3.3产品特征与投资能力圈匹配:长期跑赢基准的基础 (Matching Product Characteristics with Investment Capability Circles: The Foundation for Long - Term Outperformance of Benchmarks) - Measuring a fund manager's capability circle is an important basis for product design or benchmark selection. Taking industry allocation ability as an example, it is necessary to measure the radius of the fund manager's capability circle and investment strength in each industry. The fund manager's time and energy input in an industry should be reflected in a higher allocation ratio in historical positions, but high allocation does not necessarily mean excellent investment strength. It is also necessary to calculate stock - selection and timing abilities and measure the breadth and depth of the fund manager's capability circle from multiple angles such as multi - period average industry allocation ratio, average excess return, excess return win - rate, timing return, and timing win - rate. The report also conducts a capability boundary study on popular tracks [35].