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

Group 1 - The core viewpoint of the report emphasizes the investment value of the Bosera CSI 500 Enhanced Strategy ETF, highlighting its ability to generate stable excess returns through quantitative strategies [3][4][52]. - The report notes that the CSI 500 index, which consists of 500 stocks with higher market capitalization after excluding the CSI 300, has a diversified industry distribution and is currently valued below historical averages, making it a representative index for mid-cap growth [2][29][32]. - The report indicates that as of Q3 2025, the total scale of CSI 500 enhanced funds reached 493.46 billion, accounting for over one-fifth of all enhanced funds, showcasing the growing popularity of this investment strategy [2][41]. Group 2 - The Bosera CSI 500 Enhanced Strategy ETF has demonstrated a strong performance since its inception, achieving an annualized excess return of 7.76% with a tracking error of only 3.84%, indicating effective management and risk control [3][54][55]. - The fund's stock selection has contributed significantly to its excess returns, with 89.40% of its holdings deviating by less than 0.5% from the index, reflecting a disciplined approach to portfolio construction [4][58][61]. - The report highlights that the fund has a preference for high-growth and high-profitability stocks, with positive exposures to factors such as growth and long-term momentum [68]. Group 3 - The report outlines the advantages of enhanced ETFs, including higher capital efficiency, greater trading flexibility, lower fee structures, and increased transparency in holdings compared to traditional enhanced funds [12][17][21][23]. - The enhanced ETF market has seen significant growth, with 51 enhanced ETFs in total by October 2025, and the Bosera CSI 500 ETF being a key player in this segment [1][13][40]. - The report also notes that institutional investor participation in the Bosera CSI 500 Enhanced Strategy ETF has increased significantly, reaching 29.80% by mid-2025, indicating growing confidence in the fund [71].