金融工程专题研究：博时中证500增强策略ETF投资价值分析：量化赋能中盘宽基，精筑稳健超额Alpha

Quantitative Models and Construction Methods 1. Model Name: Bosera CSI 500 Enhanced Strategy ETF (159678.SZ) - Model Construction Idea: The fund aims to achieve returns exceeding the target index (CSI 500) through strict investment procedures and quantitative risk management while closely tracking the benchmark index [3][48][51] - Model Construction Process: - The fund employs quantitative enhancement strategies to actively manage the index portfolio and control risks - It ensures the net value growth rate of the fund and the daily tracking deviation from the performance benchmark is less than 0.35%, with an annual tracking error not exceeding 6.5% [51] - The fund's portfolio is constructed with a focus on high-growth, high-profitability stocks, and it maintains a strict control over individual stock deviations relative to the CSI 500 index [56][58] - The fund's holdings are primarily composed of CSI 500 constituent stocks, with an average weight of 84.64% within the index [56][58] - The fund employs the Brinson attribution model to decompose excess returns into industry allocation and stock selection contributions, with most excess returns derived from stock selection within industries [66] - Model Evaluation: The fund demonstrates stable excess returns, strong risk-adjusted performance, and effective tracking of the benchmark index. It has a preference for high-growth and high-profitability stocks, with significant stock selection capabilities in industries like computing, electronics, and new energy [3][66][68] --- Model Backtesting Results 1. Bosera CSI 500 Enhanced Strategy ETF - Annualized Excess Return: 7.76% [3][85] - Tracking Error: 3.84% [3][85] - Maximum Drawdown: 6.66% [3] - Information Ratio (IR): 1.79 [3][85] - Excess Calmar Ratio: 1.16 [3] - Monthly Win Rate: 65.63% [54] - Annual Performance: - 2023: Excess return of 3.63%, IR of 1.33, tracking error of 3.68%, monthly win rate of 70% [55] - 2024: Excess return of 7.64%, IR of 1.73, tracking error of 3.95%, monthly win rate of 66.67% [55] - 2025 (up to October 31): Excess return of 9.42%, IR of 2.31, tracking error of 3.84%, monthly win rate of 60% [55] --- Quantitative Factors and Construction Methods 1. Factor Name: High Growth and Profitability - Factor Construction Idea: The fund emphasizes stocks with high growth potential and strong profitability metrics [68] - Factor Construction Process: - Positive exposure to growth, long-term momentum, and profitability factors - Negative exposure to non-linear size and liquidity factors [68][73] - Factor Evaluation: The fund's preference for high-growth and high-profitability stocks aligns with its strategy to achieve excess returns over the benchmark index [68] --- Factor Backtesting Results 1. High Growth and Profitability Factor - Performance: The fund's stock selection based on this factor has shown strong excess returns in industries such as computing, electronics, and new energy [66][68] - Industry Allocation: Positive exposure to sectors like electronics, machinery, and automobiles, while underweighting sectors like defense, coal, and basic chemicals [63][65] - Stock Selection: Strong selection capabilities in computing, electronics, and new energy sectors, contributing significantly to excess returns [66][67]