- The report does not contain any quantitative models or factors for analysis[1][2][3]

证券研究报告 金工 量化指增基金超额呈现边际修复 2026 年 1 月 24 日│中国内地 量化投资周报 本月以来估值因子偏弱，成长因子相对走强 本月以来估值因子整体偏弱，月初的回撤影响较大；波动率、换手率等防御 性量价因子同样表现不佳，仅在沪深 300 成分股票池取得正收益。成长、 盈利、小市值及反转因子相对走强，在中证 500 以外的成分股票池均呈现 正收益。预期类因子中，超预期因子在沪深 300 以外的股票池呈现正收益； 预期估值因子在沪深 300 和全 A 股股票池取得正收益，在其余股票池回撤； 预期增速因子则呈现普遍回撤。 本月以来小市值因子多空表现靠前，量价因子承压 从平均多空收益来看，本月以来小市值因子表现靠前，平均取得较明显的正 收益，但主要源于在沪深 300 成分股票池中的收益优势；预期增速和超预 期因子紧随其后；成长因子同样呈现正向的平均多空收益。反转、波动率和 换手率等量价因子整体承压，平均呈现较大回撤。 本月以来指增超额呈现边际修复，300 指增超额领先 我们重点跟踪以沪深 300、中证 500、中证 1000 和中证 A500 指数为基准 的量化指数增强基金。基于公募指增基金的复权净 ...

Group 1 - The market experienced a rotation trend from January 19 to January 23, with significant performances in sectors such as gold, photovoltaic, building materials, satellites, and chemicals, with multiple gold ETFs rising over 12% and several photovoltaic and building material ETFs increasing over 9% [1][2] - Gold is expected to maintain its long-term upward trend due to its geopolitical sensitivity and hedging convenience, especially during a phase of easing expectations [2] - The chemical sector is benefiting from price increases by global chemical giants in various regions, with a potential turning point expected between 2026 and 2027 [2][6] Group 2 - Broad-based ETFs have seen significant outflows, with the CSI 300-related ETFs experiencing a net outflow of over 230 billion yuan, and the total scale dropping below 855.05 billion yuan [3][4] - The trading volume of broad-based ETFs has surged, with the CSI 300-related ETFs' trading volume exceeding 300 billion yuan, doubling from the previous week [3] - The market is entering a consolidation phase due to increased margin financing ratios and outflows from broad-based ETFs, while the fundamental and policy support for the spring market remains unchanged [5][6] Group 3 - The focus is shifting towards cyclical assets as potential low-position opportunities, with sectors like transportation, coal, pharmaceuticals, and brokerage being highlighted for their relatively low profit effects [6] - The outlook for 2025 suggests a strong structural market led by cyclical and AI-related investments, with a focus on advanced manufacturing and the AI industry transitioning towards application [6]

Core Viewpoint - The public fund industry is undergoing a generational leadership transition, reflecting a shift from rapid growth to high-quality development amidst various pressures such as fee reforms and changing investor demands [1][2][3]. Group 1: Leadership Changes - In 2025, the public fund industry experienced a significant leadership turnover, with 462 changes in senior management across 162 fund managers, marking a historical high [2]. - Over 40% of public fund institutions adjusted their leadership, with notable changes in major firms like E Fund, Huaxia Fund, and China Merchants Fund [2][3]. - The leadership changes are driven by both natural generational shifts and strategic adjustments from shareholders, indicating a deeper transformation in the industry [3]. Group 2: Characteristics of Excellent Fund Executives - Five core traits are essential for successful public fund executives in the current transformation era [4]. - **Respect for Professionalism**: Executives must be knowledgeable about industry dynamics and act as "translators" between shareholder interests and professional operations [5][6]. - **Forward-Looking Vision**: Executives should possess a keen insight into market trends and customer needs, translating these insights into innovative product strategies [7]. - **Long-Term Thinking**: Successful executives understand market cycles and prioritize long-term strategies over short-term gains, ensuring sustainable growth [8][9]. - **Talent Development**: Building a robust talent ecosystem is crucial, focusing on identifying, nurturing, and retaining top talent while fostering a collaborative culture [10][11]. - **Industry Mission and Public Responsibility**: Executives must recognize their role in maintaining industry integrity and public trust, advocating for sound practices and investor education [12]. Group 3: Systemic Transformation - The industry is moving away from individual heroism towards a focus on systemic capabilities, emphasizing governance, collaboration, and technological integration [15][16]. - The separation of roles between chairpersons and general managers, along with strengthened board functions, signals a shift towards modern governance [17]. - Effective systems require breaking down departmental silos and fostering agile collaboration centered around customer needs and product life cycles [17][18]. - The transition from individual leadership to organizational design necessitates leaders to possess deep systemic thinking and strategic patience [18].

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 ...

Market Overview - The A-share market exhibited a fluctuating upward trend this week, with major broad-based indices showing mixed performance and significant market style differentiation [1] - International gold prices recently reached a new historical high, leading to strong performance in related ETFs, with gold stock ETFs rising by 13.17%, the highest among all [1][2] - Other sectors such as photovoltaic and building materials ETFs also saw substantial gains, while Hong Kong innovative drug-related ETFs experienced slight adjustments [1] Fund Flow Analysis - Overall, ETF funds experienced a net outflow of 696.39 billion, with broad-based ETFs facing a net outflow of 873.01 billion, while industry ETFs saw a net inflow of 143.04 billion and commodity ETFs a net inflow of 32.91 billion [3] - Funds have not exited the market but have shifted towards more elastic sectors, with significant net inflows into TMT (Technology, Media, Telecommunications) and cyclical sectors like non-ferrous metals, indicating active funds' preference for technology growth themes [2][3] ETF Performance - The top-performing gold stock ETFs included: - 517400 Gold Stock ETF with a 13.17% increase and a latest scale of 826 million [2] - 159315 Gold Stock ETF from ICBC with a 13.03% increase and a scale of 222 million [2] - 517520 Gold Stock ETF from Yongying with a 12.95% increase and a scale of 177.52 billion [2] - Photovoltaic ETFs also performed well, with the top performer being 560980 Photovoltaic Leader ETF from GF with a 10.71% increase and a scale of 565 million [2] Upcoming ETF Listings - Next week, four new ETFs are set to be listed, including: - 589190 Sci-Tech Chip ETF from Huabao, with subscription starting on December 30, 2025 [5] - 159158 Power ETF from Invesco, with subscription starting on January 7, 2026 [5] - 589220 Sci-Tech 200 ETF from Guotai, with subscription starting on January 5, 2026 [5]

1月19日～1月23日，A股主要股指震荡分化，沪深300指数周跌0.62%，中证A500指数涨0.78%；创业板指跌0.34%，科创50指数涨2.62%；港股市场震荡调 整，恒生指数周跌0.36%，恒生科技指数跌0.42%。 在此背景下，ETF市场再度上演"冰火两重天"——一边是黄金、化工和科创芯片ETF持续吸金；另一边却是大资金从宽基ETF中"撤退"，单周规模下降超 4000亿元，ETF总规模降至6万亿元以下。 近期，"汇金系"减持搅动风云，沪深300相关产品年内"失血"已超3300亿元，昔日的"香饽饽"瞬间成了"烫手山芋"，头部机构受影响较大，华夏、易方达和 华泰柏瑞等基金公司ETF规模本周均缩水超800亿元。 今年以来，截至1月24日，股票型ETF高开低走，年内规模已"失血"2676.48亿元。债券型ETF和货币型ETF双双陷入低迷，年内规模分别缩水859.13亿元和 198.07亿元。相比之下，跨境ETF和商品型ETF表现较为亮眼，年内规模分别增长642.29亿元和573.31亿元。 沪深300挂钩ETF年内规模缩水超3300亿元 ETF挂钩指数方面，本周两级分化特征更加明显，宽基指数挂钩ETF规模持 ...

Core Viewpoint - The article highlights the latest trends in FOF (Fund of Funds) investments, indicating a preference for low-risk products and a strategic shift from gold ETFs to gold stock ETFs amidst rising international gold prices [1][4]. Group 1: FOF Investment Trends - In Q4 2025, FOFs favored low-risk products, with short-term bond ETFs being the most heavily weighted, particularly the Hai Fu Tong Short Bond ETF, held by 95 FOFs with a total market value of approximately 4.17 billion [3]. - The Guotai Li Xiang Medium and Short Bond C fund saw significant increases in holdings, with a quarterly change of about 1.49 billion shares, indicating a strategic shift in FOF allocations [3]. Group 2: Gold Investment Strategy - Despite rising international gold prices, FOFs reduced their holdings in gold ETFs, with a total reduction of 40.68 million shares in the Huaan Gold ETF alone, while simultaneously increasing their investments in gold stock ETFs [4][5]. - The increase in gold stock ETFs was notable, with FOFs adding 50.74 million shares in Yongying Gold Stock ETF and 24.03 million shares in Huaxia Gold Stock ETF, reflecting a shift in strategy towards higher potential returns in gold equities [4][5]. Group 3: FOF Market Growth - The overall scale of FOFs has surpassed 250 billion, driven by strong support from banking channels such as China Merchants Bank and China Construction Bank, which have launched successful asset allocation programs [2][7]. - As of the end of 2025, the total scale of FOFs reached 252.11 billion, marking a significant milestone in the market [7].

Core Viewpoint - The latest quarterly report reveals that bond funds remain the primary focus for public FOFs, with significant investments in ETFs as well. The top five funds favored by FOFs in Q4 2025 include various bond and ETF products, indicating a strong preference for fixed-income investments [1]. Group 1: FOF Holdings Overview - As of the end of Q4 2025, bond funds dominate the top 50 holdings of public FOFs, with 40 out of 50 being bond-related [1]. - The top fund held by FOFs is the Hai Fu Tong Zhong Zheng Short Bond ETF, with a market value exceeding 5.98 billion yuan, held by 119 FOFs [2]. - Other notable funds include Guotai Li Xiang Short and Medium Bond C and Fu Guo State-Owned Enterprise Bond C, each with holdings exceeding 1.7 billion yuan [2]. Group 2: Active Equity Fund Holdings - The top active equity fund held by FOFs is Xing Quan Commercial Model Preferred A, with a total holding value of 406.73 million yuan, held by 16 FOFs [4]. - Following closely is Yi Fang Da Information Industry Selected C, with a holding value of 365.40 million yuan, held by 10 FOFs [5]. - Other significant active equity funds include Yi Fang Da Ke Rong and Yi Fang Da Supply Reform, each with holdings above 300 million yuan [4]. Group 3: Fund Increases in Q4 - The fund with the highest increase in holdings during Q4 2025 is the Hai Fu Tong Zhong Zheng Short Bond ETF, which saw an increase of 2.69 billion yuan, bringing its total holding value to 5.98 billion yuan [6]. - Guotai Li Xiang Short and Medium Bond C also experienced a significant increase of 1.14 billion yuan, with a total holding value of 1.80 billion yuan [7]. - Other funds with notable increases include Jing Shun Chang Zhong Short Bond F and Fu Guo State-Owned Enterprise Bond C, each with increases exceeding 600 million yuan [7]. Group 4: Investment Strategies and Focus Areas - FOF managers express confidence in the A-share market, with increased allocations in technology, resources, and non-bank financial sectors during Q4 2025 [8]. - Specific strategies include focusing on gold and silver stocks, rare earths, and other metals, as well as exploring opportunities in the tourism sector [8]. - Long-term asset allocation strategies remain a priority, with a focus on consumer sectors and non-bank financials, alongside participation in overseas bond markets and REITs [8].

Group 1 - The public fund management industry demonstrated strong resilience, with a total asset management scale reaching a historical high of 37.64 trillion yuan by the end of 2025, an increase of approximately 1.85 trillion yuan from the end of the third quarter of 2025 [1] - Excluding money market funds, the public fund management scale was 22.67 trillion yuan in the fourth quarter of last year, reflecting a quarter-on-quarter growth of 0.62 trillion yuan, with equity funds (including QDII funds) at 10.38 trillion yuan, showing a slight increase of 0.03 trillion yuan [1] Group 2 - By the end of last year, 10 companies entered the "trillion yuan club," with E Fund and Huaxia Fund exceeding 2 trillion yuan in management scale, while several others managed between 1 trillion and 2 trillion yuan [2] - Excluding money market funds, only three companies had management scales exceeding 1 trillion yuan: E Fund, Huaxia Fund, and GF Fund, with only E Fund and Huaxia Fund surpassing 1 trillion yuan in equity fund scale [2] - The top five industries favored by public funds were technology, industrial, financial, transportation, and consumer sectors, with technology, industrial, and financial sectors each holding over 100 billion yuan in market value [2] Group 3 - Several fund companies expressed their market outlook, with a focus on the digital economy and financial technology as key long-term investment themes for 2026 [3] - The overall performance of the equity market was positive, particularly for technology stocks, with expectations that opportunities will outweigh risks in 2026 [3] - The public fund industry showed strong growth in the fourth quarter, contributing to the stability of the capital market and the real economy, while demonstrating professional asset management capabilities [3]