金融工程 证 券 研 究 报 告 【金工周报】（20260119-20260123） 短期择时模型以看多为主，后市或震荡向上 ❖ 本周回顾 本周市场涨多跌少，上证指数单周上涨 0.84%，创业板指单周下跌 0.34%。 A 股模型： 短期：成交量模型部分宽基指数看多。特征龙虎榜机构模型中性。特征成交量 模型中性。智能算法沪深 300 模型看多，智能算法中证 500 模型看多。 中期：涨跌停模型中性。上下行收益差模型所有宽基指数看多。月历效应模型 中性。 长期：长期动量模型中性。 综合：A 股综合兵器 V3 模型看多。A 股综合国证 2000 模型中性。 港股模型： 中期：成交额倒波幅模型看多。恒生指数上下行收益差模型中性，上下行收益 差相似模型看多。 本周行业指数普遍上涨，涨幅前五的行业为：建材、石油石化、钢铁、有色金 属、基础化工，跌幅前五的行业为：银行、通信、食品饮料、非银行金融、计 算机。从资金流向角度来说，银行、非银行金融、有色金属、煤炭、建材主力 资金净流入居前，电子、通信、计算机、电力设备及新能源、国防军工主力资 金净流出居前。 本周股票型基金总仓位为 94.53%，相较于上周增加了 13 个 b ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In Q4 2025, active equity funds generally focused on technology, consumption, and computing power. The scale of active equity funds decreased, while index funds increased slightly. The performance of active equity funds declined compared to the previous quarter. Funds increased their positions in cyclical sectors and reduced their positions in technology and pharmaceutical sectors [1][5][8]. - Caitong Fund had the best average performance among active equity fund management companies with a scale of over 10 billion yuan in Q4 2025. Other fund companies with good performance included Western Securities, Yongying Fund, and Huashang Fund [25]. 3. Summary According to the Table of Contents 3.1 Fund Four - Quarter Report Investment Outlook Keywords - Technology, consumption, and computing power were the key focuses of active equity fund managers in Q4. The trend keywords included "repair", "recovery", and "resilience"; industry - related keywords were "technology", "consumption", and "electronics"; theme keywords were "computing power", "robotics", and "new energy"; event - related keywords were "interest rate cuts", "exports", and "tariffs" [1][5]. 3.2 Performance and Scale Dimension - **Scale Change**: The scale of active equity funds decreased from approximately 4 trillion yuan in Q3 2025 to about 3.85 trillion yuan in Q4, a decline of 4.14%. Meanwhile, the scale of index funds increased slightly from 4.44 billion yuan to 4.54 billion yuan, a growth of 2.46%. In terms of fund companies, Yongying and Guojin had significant growth in active equity management scale, with Yongying's active equity scale exceeding 100 billion yuan [8][12]. - **Performance**: The performance of active equity funds in Q4 2025 declined significantly compared to the previous quarter. Approximately 42.8% of active equity funds achieved positive returns, with a median return of - 1.02%. Most funds' performance ranged from - 10% to 5%, and 192 funds achieved returns of over 10%. The top - performing funds in Q4 were mainly concentrated in industries such as military, non - ferrous metals, and communications [13][15]. - **Position and Heavy - Holding Stock Allocation**: The overall position of active equity funds decreased in Q4, with the average stock position dropping to 87.70% (-1.05%) and the Hong Kong stock position also significantly decreasing (-1.93%). The allocation ratio of heavy - holding stocks in Hong Kong stocks decreased, while the allocation ratios in CSI 300, CSI 500, and CSI 1000 increased [17][18]. - **Large - Scale Funds**: E Fund's Blue - Chip Select remained the largest active equity fund. Some large - scale funds' performance declined in Q4 2025, and their shares decreased, while some funds' shares continued to grow, such as Yongying Ruixin and Yongying Technology Smart Selection [22]. - **New Issues and Continued Operations**: In Q4 2025, Yongying Pioneer Semiconductor Smart Selection and Yongying High - end Equipment Smart Selection had the highest estimated net subscription amounts among active equity products. The new - issue product with the largest scale was GF Quality Selection, with a scale of 3.759 billion yuan. E Fund had the largest new - issue scale among fund companies, and Agricultural Bank of China had the largest new - issue scale among custodian banks [23][24]. 3.3 Fund Company Dimension - **Performance**: Caitong Fund had the best average performance of active equity funds in Q4 2025, with an average return of 4.22%. Other fund companies with good performance included Western Securities, Yongying Fund, and Huashang Fund. Fund companies with high performance differentiation included Yongying Fund and Baoying Fund, while those with low differentiation included Morgan Fund and Haitong Fund [25][26]. - **Scale**: E Fund remained the largest active equity management company, but its scale decreased in Q4 2025. Yongying Fund's active equity scale increased significantly in Q4 2025 [28]. - **Heavy - Holding Stock Allocation**: Caitong Fund under - allocated non - ferrous metals and over - allocated electronics and communications. Leading fund companies generally over - allocated non - ferrous metals and chemicals and under - allocated pharmaceutical and biological industries. Some fund companies also had significant over - or under - allocation in certain industries, such as CITIC Prudential Fund significantly over - allocating banks and Huashang Fund significantly over - allocating computers [30]. - **Market Value and Valuation Style**: Companies with relatively large - market - value holdings included Ruiyuan, Morgan, and Huatai - PineBridge; those with relatively small - market - value holdings included Yongying, Dacheng, and Nuoyuan; companies with relatively high PE holdings included Yongying, Huashang, and E Fund; those with relatively low PE holdings included Ruiyuan, Dacheng, and ABC - CA Fund [34].

1. Report Industry Investment Rating No relevant content provided. 2. Report's Core View - In Q4 2025, active equity funds decreased their scale, with the scale dropping from about 4 trillion yuan in Q3 to about 3.85 trillion yuan, a decline of 4.14%. Meanwhile, the scale of index funds slightly increased. [10] - The performance of active equity funds in Q4 2025 significantly declined compared to the previous quarter, with about 42.8% of the funds achieving positive returns, and the median return rate was -1.02%. [15] - Active equity funds reduced their holdings in technology and pharmaceutical sectors in Q4 2025 and increased their positions in cyclical sectors. [1] 3. Summary According to Relevant Catalogs 3.1 Fund Four - Quarter Report Investment Outlook Keywords - Technology, consumption, and computing power were the key areas of focus for active equity fund managers in Q4. The trend keywords included "repair", "recovery", and "resilience"; industry - related keywords were "technology", "consumption", and "electronics"; theme - related keywords were "computing power", "robotics", and "new energy"; and event - related keywords were "interest rate cuts", "exports", and "tariffs". [7] 3.2 Performance and Scale Dimension - **Scale Change**: The scale of active equity funds decreased in Q4 2025, while the scale of index funds slightly increased. Fund companies such as Yongying and Guojin saw significant growth in their active equity management scale, with Yongying's active equity scale exceeding 100 billion yuan. [10][14] - **Performance**: The overall performance of active equity funds in Q4 2025 declined significantly. About 42.8% of the funds achieved positive returns, and the median return rate was -1.02%. The top - performing funds in Q4 mainly focused on industries such as military, non - ferrous metals, and communications. [15][17] - **Position and Heavy - Holding Stock Allocation**: The overall position of active equity funds decreased in Q4 2025, with the average stock position dropping to 87.70% (-1.05%), and the Hong Kong stock position also significantly decreasing. The heavy - holding stocks in Hong Kong decreased, while the allocation ratios of heavy - holding stocks in CSI 300, CSI 500, and CSI 1000 increased. [18][19] - **Large - Scale Funds**: The scale of some large - scale active equity funds decreased in Q4 2025, but some funds such as Yongying Ruixin and Yongying Technology Smart Selection saw an increase in their shares. [24] - **New Issuance and Continued Management**: Among active equity products, Yongying Pioneer Semiconductor Smart Selection and Yongying High - end Equipment Smart Selection had the highest estimated net subscription amounts. The new - issue fund Guangfa Quality Selection had the largest issuance scale this quarter. [25] 3.3 Fund Company Dimension - **Performance**: Among active equity fund management companies with a management scale of over 10 billion yuan, Caitong Fund had the best average performance in Q4 2025, with an average return rate of 4.22%. Other companies with good performance included Western Lide, Yongying Fund, and Huashang Fund. [27] - **Scale**: E Fund remained the largest active equity management company in Q4 2025, although its scale decreased slightly compared to the previous quarter. Yongying Fund saw significant growth in its active equity scale in Q4 2025. [30] - **Heavy - Holding Stock Allocation**: Caitong Fund, the top - performing company in Q4, under - allocated non - ferrous metals and other industries and over - allocated electronics, communications, and other industries. Leading fund companies generally over - allocated non - ferrous metals and chemicals and under - allocated pharmaceutical biology. [32] - **Industry Allocation of Leading Fund Companies**: Leading active equity fund management companies' industry over - and under - allocations were mainly concentrated in several popular industries. For example, E Fund significantly over - allocated communications and food and beverages and significantly under - allocated power equipment and pharmaceuticals. [34] - **Market Value and Valuation Style of Heavy - Holding Stocks**: Companies with a relatively large - market - value style in their holdings included Ruiyuan, Morgan, and Huifutianfu; those with a relatively small - market - value style included Yongying, Dacheng, and Nuoyan; companies with relatively high PE in their holdings included Yongying, Huashang, and E Fund; and those with relatively low PE included Ruiyuan, Dacheng, and ABC Fortune. [37]

Core Viewpoint - The AI fund, China Europe Dividend Enjoy Flexible Allocation Mixed A (004814), reported a profit of 660 million yuan for Q4 2025, with a weighted average profit per fund share of 0.1483 yuan, and a net value growth rate of 6.68% for the period [2]. Fund Performance - As of January 22, the fund's unit net value was 2.325 yuan, with a recent three-month net value growth rate of 9.05%, ranking 607 out of 1286 comparable funds [3]. - The fund's six-month net value growth rate was 22.06%, ranking 625 out of 1286, while the one-year growth rate was 54.66%, ranking 264 out of 1286 [3]. - Over three years, the fund achieved a growth rate of 68.17%, ranking 92 out of 1286 [3]. Risk and Return Metrics - The fund's Sharpe ratio over the past three years was 1.2202, ranking 37 out of 1275 comparable funds [8]. - The maximum drawdown over the past three years was 19.38%, with a ranking of 265 out of 1264 [10]. - The highest drawdown in a single quarter occurred in Q1 2020, at 19.96% [10]. Investment Strategy - The fund maintained an average stock position of 90.5% over the past three years, compared to a peer average of 72.57% [13]. - The fund's highest stock position was 93.74% at the end of Q1 2022, while the lowest was 79.19% in mid-2021 [13]. Fund Size and Holdings - As of the end of Q4 2025, the fund's total size was 9.938 billion yuan [15]. - The top ten holdings included major companies such as China Ping An, China Life, and Zijin Mining [18].

（来源：经济参考报） 开年以来，公募基金频落"红包雨"。 据Wind统计，截至1月16日，华泰柏瑞沪深300ETF总份额为797.60亿份。以此测算，该基金此次分红金 额约为98.10亿元。 作为境内规模最大的ETF产品，自成立以来，华泰柏瑞沪深300ETF已累计分红13次、累计分红总额 165.76亿元。仅在2025年6月，该基金曾单次分红高达83.94亿元。时隔近7个月，这一记录将再度被刷 新。 事实上，2026年开年不足半月，公募基金分红热潮就持续发酵，多只产品密集宣布分红。Wind数据显 示，截至1月22日记者发稿，2026年全市场已有524只基金（不同份额分开计算，下同）发布了分红方 案，累计分红金额将达323.15亿元，分红力度与市场热度同步升温。 从产品分布看，除宽基ETF延续大额分红的局面外，主动权益基金的密集分红成为今年开年的新看点， 一定程度上打破了此前债券型基金主导分红的单一局面。 据记者不完全统计，截至1月22日发稿，主动权益类基金（含普通股票型、偏股混合型、平衡混合型、 灵活配置型）2026年以来的分红合计约60.18亿元，占比约为19%。 据Wind统计，截至1月22日记者发稿，2 ...

Core Insights - Growth stocks outperformed last year, leading to a significant increase in both performance and scale for several growth-oriented funds by the end of Q4 2025 [1][2] - The market trend has shifted from merely "star chasing" to focusing on "industry chain opportunities," with funds that strategically position themselves in high-growth sectors attracting substantial capital inflows [7] Fund Performance and Scale Growth - Several funds have transitioned from "mini funds" to larger scales, with notable examples including: - China Europe Cycle Selection increasing from 0.36 million to 15.75 million - Industrial Bank Quality Selection rising from 0.35 million to 17.91 million - Yongying Technology Selection reaching 154.68 million [1][2] - New funds entering the billion scale include: - Huatai PineBridge Xinxiang Tianli increasing from 62.65 million to 116.21 million - Huatai PineBridge Technology Innovation and Morgan Emerging Power also crossing the 100 million mark [2] Sector Focus and Investment Strategies - Funds that saw significant scale increases were heavily invested in high-demand sectors such as AI, commercial aerospace, and precious metals [1][4] - The investment strategies of these funds include: - Huatai PineBridge Xinxiang Tianli focusing on limited supply upstream resources and high-end manufacturing - Morgan Emerging Power maintaining positions in AI-related stocks while increasing exposure to lithium batteries and other sectors [4][5] - Funds like Yongying Technology Selection and Debon Xin Star Value continue to emphasize AI and related innovations, indicating a strong belief in the sector's growth potential [5][6] Market Dynamics and Fund Management - The surge in fund sizes is linked to the performance of their core holdings, creating a positive feedback loop where high sector demand drives fund inflows [8] - The shift in market dynamics reflects a growing preference for funds that can deliver stable returns and dividends, particularly in high-growth sectors [8] - Analysts suggest that the rapid increase in fund size may impact investment strategies, potentially leading to higher trading costs and challenges in maintaining flexibility [8]

Core Viewpoint - The AI Fund, China Europe Dividend Smart Selection Mixed A (023584), reported a profit of 3.6729 million yuan for Q4 2025, with a net value growth rate of 2.48% for the period [3]. Fund Performance - The fund's scale reached 178 million yuan by the end of Q4 2025 [12]. - As of January 22, the unit net value was 1.064 yuan, with a one-year adjusted net value growth rate of 63.65% for China Europe Prosperity Selected Mixed A, the highest among its peers [3]. - The fund's three-month adjusted net value growth rate was 3.90%, ranking 499 out of 621 comparable funds, while the six-month rate was 5.91%, ranking 560 out of 621 [3]. Investment Strategy - The fund manager indicated that there is still room for further development and exploration in dividend investment in China, with a future focus on "market-oriented" dividends [3]. Risk Metrics - The fund's Sharpe ratio since inception is 0.2125 [4]. - The maximum drawdown since inception is 4.6%, occurring in Q4 2025 [7]. Portfolio Composition - The average stock position since inception is 75.27%, compared to the peer average of 85.83%. The fund reached a peak stock position of 89.95% at the end of Q3 2025 and a low of 45.9% at the end of H1 2025 [11]. - The top ten holdings as of Q4 2025 include Guangzhou Development, Nanjing High-Tech, Ordos, Weifu High-Tech, Huadian International, Nanjing Steel, Wuxi Bank, Shandong Publishing, Luolai Lifestyle, and Zhongchuang Zhiling [15].

AI基金中欧国企红利混合A（019015）披露2025年四季报，第四季度基金利润70.08万元，加权平均基金份额本期利润0.017元。报告期内，基金净值增长率 为3.64%，截至四季度末，基金规模为5477.92万元。 该基金属于偏股混合型基金。截至1月21日，单位净值为1.17元。基金经理是曲径，目前管理的8只基金近一年均为正收益。其中，截至1月22日，中欧金安 量化混合A近一年复权单位净值增长率最高，达61.83%；截至1月21日，中欧国企红利混合A最低，为14.5%。 基金管理人在四季报中表示，本基金是以中证国企红利指数为主要基准权重指数的，专注投资红利资产的量化基金，面对市场不确定性加剧的现状，我们将 风险敞口的管控调整得更为严谨。我们认为狭义的"红利"投资，也就是高股息的强势，有望将会扩散到具有潜在高分红能力的广义红利股。这类潜力高分红 的公司，往往具有经营壁垒高，ROE稳定，同时经营现金流充沛的特点。这类企业在未来具有持续分红的潜力，同时估值依然处在历史较低位置。我们认为 拥有这类经营稳健特征的国企央企呈现了较好的投资机会。 截至1月21日，中欧国企红利混合A近三个月复权单位净值增长率为1.33% ...

Group 1 - The core viewpoint of the report indicates that the fund, AI Fund China Europe Dividend Select Mixed Initiation A, has shown a profit of 1.5113 million yuan in Q4 2025, with a weighted average profit per fund share of 0.032 yuan. The fund's net value growth rate for the reporting period was 2.8%, and the fund size reached 61.4973 million yuan by the end of Q4 [3][15] - The fund is categorized as a mixed equity fund, with a unit net value of 1.29 yuan as of January 22. The fund managers are Liu Yong and Zhang Xue Ming [3] - The fund management expresses optimism about the future of dividend investment in China, suggesting there is still room for further development and deeper exploration. They plan to enhance research in this area and refine existing dividend strategies [3] Group 2 - As of January 22, the fund's three-month cumulative net value growth rate is 4.09%, ranking 514 out of 689 comparable funds. The six-month growth rate is 6.58%, ranking 603 out of 689, and the one-year growth rate is 18.55%, ranking 581 out of 673 [3] - The fund's Sharpe ratio since inception is 1.3735, indicating a favorable risk-adjusted return [8] - The maximum drawdown since inception is 6.78%, occurring in Q2 2025, which is the highest quarterly drawdown recorded [11] Group 3 - The average stock position since inception is 86.6%, compared to the peer average of 84.04%. The fund reached its highest stock position of 92.16% at the end of Q3 2025 and its lowest of 67.43% at the end of Q3 2024 [14] - As of the end of Q4 2025, the fund's top ten holdings include Guangzhou Development, Nanjing High-Tech, Weifu High-Tech, Huadian International, Ordos, Nanjing Steel, Wuxi Bank, Shandong Publishing, Guiyang Bank, and Zhongchuang Zhiling [18]

Core Viewpoint - The report highlights the performance and management strategies of the AI Fund, specifically the China Europe Rui Da 6-Month Holding Mixed A Fund, which has shown modest growth in a challenging market environment [4][5]. Fund Performance - The fund reported a profit of 371,800 yuan in the fourth quarter, with a weighted average profit per fund share of 0.0144 yuan [4]. - The fund's net value growth rate for the reporting period was 0.85%, with a total fund size of 43.73 million yuan as of the end of the fourth quarter [4][15]. - As of January 21, the unit net value was 1.739 yuan, with a near-term performance of 2.00% over three months, 2.75% over six months, 4.82% over one year, and 12.29% over three years, ranking 329/630, 449/630, 487/630, and 263/570 respectively among comparable funds [5]. Market Analysis - The fund manager noted a transition in the bond market from "emotional recovery" to "prudent pricing" during the fourth quarter, influenced by a retreat in the equity market and a subsequent easing of redemption pressures on bond funds [4]. - The report indicates that the market experienced a brief recovery due to ample liquidity and a cleared trading structure, although concerns about future fiscal policies and supply-demand imbalances for long-term bonds led to a notable decline in long-end yields by year-end [4]. Investment Strategy - The fund's strategy involved reallocating some long-duration interest rate bonds to short-duration credit bonds to reduce duration while enhancing static returns [5]. - The fund maintained a flexible approach to managing convertible bond positions, participating in the market with a low overall position while anchoring around valuation centers [5]. Risk Metrics - The fund's three-year Sharpe ratio was 0.9492, ranking 114/541 among comparable funds [9]. - The maximum drawdown over three years was 2.41%, with the largest single-quarter drawdown recorded at 4.09% in the first quarter of 2021 [11]. Portfolio Composition - The average stock allocation over the past three years was 7.07%, significantly lower than the comparable average of 19.23%, with a peak allocation of 36.4% at the end of 2021 and a low of 5% at the end of 2025 [14]. - As of the end of the fourth quarter of 2025, the fund's top ten holdings included companies such as Taisheng Wind Power, Tonghua Dongbao, and Chengzhi Co., among others [17].