公募量化基金：2025 年度策略回顾与 2026 年度策略展望

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The scale of index - enhancing products significantly increased in 2025, with A500 and non - traditional broad - based index - enhancing products growing notably. The excess returns of index - enhancing products fluctuated, and the differentiation degree within each broad - based index - enhancing category became larger [7][24]. - The scale of active quantitative funds also grew, with the full - industry quantitative stock - picking strategy and the quantitative products of the active equity team showing obvious scale growth [40]. - The market actively embraced quantitative fixed - income + funds in 2025, with the strategy pool becoming more diverse [76]. 3. Summary According to the Directory 3.1 Index - enhancing Funds - Scale & New Issuance: By 25Q3, the scale of index - enhancing products exceeded 2500 billion yuan, with A500 and non - traditional broad - based index - enhancing products having significant scale growth. In 2025, some non - conventional broad - based index - enhancing products in new issuances had large scale. The top 10 custodian banks and fund companies with large new - issuance scales were identified [7][10]. - Fund Company Statistics: As of 25Q3, 23 fund companies had index - enhancing product management scales of over 30 billion yuan. E Fund had the largest management scale. Different fund companies had different advantages in various types of index - enhancing products [13]. - Excess Return Performance: The Alpha effect of index - enhancing products peaked in 2020 and then declined. In 2025, the excess returns of three major types of index - enhancing products fluctuated, and the differentiation degree within each type increased. Small - cap index - enhancing products had higher excess returns [21][24]. - High - performing Index - enhancing Products: Some high - performing index - enhancing products had excess returns exceeding 20% in 2025. Many high - performing products had good performance adaptability in various market environments and had specific factor exposure characteristics [30][32]. - Index - enhancing Product Watchlist: The report selected fund products that were superior in their respective types based on multi - dimensional investment ability evaluations [36]. 3.2 Active Quantitative Funds - Seven Strategy Types & Scale Changes: Active quantitative funds can be divided into seven major categories. The full - industry quantitative stock - picking strategy and the quantitative products of the active equity team had obvious scale growth in 2025 [39][40]. - Similar Index - enhancing Strategy: The partial - equity fund index - enhancing strategy received high attention. Different products had different strategies when benchmarking the partial - equity fund index [46]. - SmartBeta Strategy - Micro - and Small - cap: The micro - and small - cap strategy can be classified into three major types. The difference in the degree of market - value sinking of stocks led to different returns [50][51]. - SmartBeta Strategy - Dividend: In 2024 and 2025, many public funds deployed dividend - strategy products. Companies sought differentiated layouts, and the investment in Hong Kong stocks had a significant impact on the performance in 2025 [53]. - SmartBeta Strategy - Growth: Different growth - style funds adopted different investment strategies, with different industry preferences and market - value exposures [56]. - SmartBeta Strategy - Value: Different value - style funds adopted different investment strategies, focusing on different aspects such as value - growth attributes and multi - strategy investment [61]. - Full - industry Stock - picking Strategy: The full - industry quantitative stock - picking strategy was diverse, including industry rotation, factor rotation, and multi - strategy [63]. - Integration of Active and Quantitative: Some fund managers actively integrated active and quantitative strategies, with different product strategies and positioning [69]. 3.3 Quantitative Fixed - income + Funds - Scale & New Issuance: There were about 171 quantitative fixed - income + funds in the market in 2025, with a scale increase of 36.7 billion yuan and a total scale of about 122.547 billion yuan. The market actively embraced quantitative fixed - income + strategies [76]. - Index - enhancing Strategy: The index - enhancing strategy in fixed - income + funds provided a tool - type product for obtaining broad - based index beta returns. The effectiveness of the strategy was related to multiple factors, and some fund companies had a large layout in this area [84]. - Style Strategy: The style strategy evolved from the value style to the growth style and the barbell strategy. Some companies innovated in this area to meet different market demands [88]. - Convertible Bond Quantitative Strategy: The convertible bond quantitative strategy was represented by E Fund's Dual - Bond Enhancement, which used a convertible bond option - pricing model for statistical arbitrage [90]. - Market Dynamics: Many active - management fixed - income + fund managers actively embraced quantitative investment, such as China Europe Fund, E Fund, and GF Fund [92]. - Quantitative Fixed - income + Fund Watchlist: The report screened out quantitative fixed - income + funds at different volatility levels based on multiple indicators [107].