公募量化基金：2025年度策略回顾与2026年度策略展望

Report Overview - The report is titled "Public Offering Quantitative Funds: 2025 Annual Strategy Review and 2026 Annual Strategy Outlook" and was released on January 12, 2026 [1] Industry Investment Rating - No industry investment rating information is provided in the report Core Views - In 2025, the scale of index - enhanced products significantly increased, with the total scale reaching 257.2 billion yuan by Q3 2025. The excess returns of index - enhanced products fluctuated, and the differentiation within each broad - based index enhancement became more obvious. Some high - performing index - enhanced products showed good adaptability to various market environments and had specific factor exposures [2][23] - Active quantitative funds can be divided into seven major categories, and the scale of all - industry quantitative stock - selection strategies and active equity team quantitative products increased significantly in 2025 [2][42] - The market actively embraced quantitative fixed - income + funds in 2025, with the total scale increasing by 36.7 billion yuan to about 122.547 billion yuan. The strategy pool of these funds became more diverse, including index - enhancement, style, convertible bond quantitative, and active - quantitative combination strategies [2][83] Section - by - Section Summaries 1. Index - Enhanced Funds 1.1 Scale & New Issuance - By Q3 2025, the scale of index - enhanced products exceeded 250 billion yuan, reaching 257.2 billion yuan, a significant increase from 206.5 billion yuan in Q4 2024. Non - traditional broad - based index - enhanced products such as A500 index - enhanced and some non - traditional broad - based index - enhanced products (e.g., ChiNext Index Enhancement) had significant scale growth [8] - In 2025, some non - conventional broad - based index - enhanced products had large new - issuance scales, such as GF ChiNext Index Enhancement with a new - issuance scale of 2.393 billion yuan [8] 1.2 Fund Company Statistics - As of Q3 2025, E Fund had the largest management scale of index - enhanced products, totaling 26.733 billion yuan. Companies with relatively comprehensive index - enhanced product lines included Huatai - PineBridge and Fullgoal [15] - In different types of index - enhanced products, some fund companies had outstanding performance in 2025. For example, Southern Fund's products in the SSE 50 index - enhanced category had an average excess return of 10.15% [18] 1.3 Excess Return Performance - The Alpha effect of index - enhanced products peaked in 2020 and then declined. In 2025, the excess returns of three major types of index - enhanced products (CSI 300, CSI 500, and CSI 1000) fluctuated significantly. The excess return of CSI 1000 index - enhanced products was strong in the first half of 2025, while those of CSI 300 and CSI 500 were weak. By the fourth quarter, most excess returns recovered [23] - The differentiation within each broad - based index enhancement was greater in 2025, especially in the CSI 1000 index - enhanced products, where the standard deviation of excess returns exceeded 6%, and the performance difference between the best - and worst - performing products was close to 25% [25] 1.4 High - Performing Index - Enhanced Products - In 2025, some high - performing index - enhanced products had significant excess returns. For example, Furong CSI 300 Enhancement had the best performance among CSI 300 index - enhanced products, and ICBC Credit Suisse CSI 1000 Index Enhancement performed well among CSI 1000 index - enhanced products [33] - Many high - performing index - enhanced products showed good performance in various market environments. Commonly positively exposed factors included growth, dividend, profitability, and analyst factors, while negatively exposed factors included volatility, liquidity, market capitalization, and valuation [35][37] 1.5 Index - Enhanced Product Watch List - The report selected fund products that were dominant in their respective types based on multi - dimensional investment ability evaluations, considering factors such as the ability to convert trading turnover into returns, the stability of Alpha acquisition, and performance stability in various market environments [39] 2. Active Quantitative Funds 2.1 Seven Strategy Types & Scale Changes - Active quantitative funds can be divided into seven major categories: all - industry quantitative stock - selection, active equity team quantitative, style funds, quasi - index - enhanced funds, industry - themed funds, industry - rotation funds, and Hong Kong stock quantitative funds [42] - The scale of all - industry quantitative stock - selection strategies increased significantly, followed by active equity team quantitative products. The total scale of active quantitative funds in Q3 2025 was 227.895 billion yuan [43] 2.2 Quasi - Index - Enhanced Strategy - Some quasi - index - enhanced strategies targeted the CSI 300, CSI 500, or the active equity fund index. Products such as Bodaoyuanhang and Bodaojiuhang targeted the active equity fund index, but they had different strategies [49] 2.3 SmartBeta Strategy: Small - and Micro - Cap - The small - and micro - cap SmartBeta strategy can be divided into three categories: more focused on micro - cap stocks, more focused on small - cap stocks, and similar to CSI 2000 index - enhancement strategies. The degree of market - capitalization decline of stocks affected the product returns [53] 2.4 SmartBeta Strategy: Dividend - In 2024 and 2025, many public - offering funds launched dividend - strategy products. Some companies sought differentiated layouts, such as Ruidaxinhong Quantitative 6 - Month Holding with a market - capitalization decline in dividend stocks and GF High - Dividend Preference focusing on specific company screening and Hong Kong stock dividend investment opportunities [56] 2.5 SmartBeta Strategy: Growth - Different growth - style active quantitative funds had different investment strategies. For example, Bodaogrowth Zhihang used a multi - factor stock - selection enhancement model based on the CITIC Growth Style Index, and GF New - Generation Selection focused on selecting high - growth stocks [59][60] 2.6 SmartBeta Strategy: Value - Value - style active quantitative funds, such as GF Value Pilot One - Year Holding, combined subjective fundamental research and stock - selection with a value - growth style. Other products, like Caitong Huazhen Quantitative Stock - Selection, targeted specific benchmark indices [65] 2.7 All - Industry Stock - Selection Strategy - The all - industry quantitative stock - selection strategy was diverse. Products such as Guojin Quantitative Multi - Factor used factor - rotation strategies, China Merchants Quantitative Selection used a PB - ROE framework, and Hua'an Event - Driven Quantitative Strategy adopted an industry - rotation strategy [67][69] 2.8 Integration of Active and Quantitative - Some fund managers, such as Yang Dong of GF Fund and Zhang Xueming of China Europe Fund, integrated active and quantitative strategies in their product management. Their products had different strategy positioning and characteristics [74][77] 3. Quantitative Fixed - Income + Funds 3.1 Scale & New Issuance - There were about 171 quantitative fixed - income + funds in the market in 2025, with the total scale increasing by 36.7 billion yuan to about 122.547 billion yuan. The top - ranked funds in terms of scale reached tens of billions of yuan [83] - In 2025, fund companies paid high attention to quantitative fixed - income + funds, and about 1/5 of the new - issued products belonged to quantitative strategies [88] 3.2 Index - Enhancement Strategy - Fixed - income + funds using index - enhancement strategies in the equity part provided beta returns of broad - based indices. The effectiveness of the strategy was related to the characteristics of the benchmark index, investment value, product type, and position - central setting [92] 3.3 Style Strategy - The style strategy of fixed - income + funds evolved from value - style to growth - style and barbell strategies. Some products, such as China Europe Dingli, adopted a boom - growth strategy, while others used barbell strategies that combined dividends and growth [96] 3.4 Convertible Bond Quantitative Strategy - E Fund Dual - Bond Enhancement was a representative product of convertible bond quantitative strategies, using a convertible bond option - pricing model for statistical arbitrage [98] 3.5 Market Trends - Many fund companies' active - management fixed - income + fund managers actively embraced quantitative investment. For example, China Europe Fund promoted the "industrialization" of the investment - research system and developed a four - factor SmartBeta strategy, and E Fund's Bao Zhengyu combined active research and quantitative models [100][111] 3.6 Quantitative Fixed - Income + Fund Watch List - The report selected quantitative fixed - income + funds with different volatility levels as the watch list based on factors such as risk - control ability, return stability, and performance sustainability [115]