Quantitative Models and Factor Construction Quantitative Models and Construction Methods 1. **Model Name**: Dynamic Factor Adjustment Model **Model Construction Idea**: Combines factor momentum and reversal characteristics to dynamically adjust factor selection based on historical performance and failure probabilities[4][80][82] **Model Construction Process**: - Evaluate factor momentum using the average RankIC over the past 6 months and the average RankICIR over the past 3-12 months[4][82] - Calculate conditional failure probabilities by rolling one year of historical data to assess the likelihood of a factor transitioning from effective to ineffective[74][87] - Exclude factors with high failure probabilities and assign scores based on momentum and failure probabilities. Select the top N factors with the highest scores for equal-weighted scoring in each period[82][87][88] **Model Evaluation**: The model effectively balances momentum and reversal characteristics, reducing the impact of unstable factors and improving robustness in factor selection[82][87] 2. **Model Name**: "2+3" Dynamic Factor Model for Small-Cap Stocks **Model Construction Idea**: Combines two fixed factors (valuation and volatility) with three dynamically selected high-momentum factors to construct a robust small-cap stock selection model[98][99] **Model Construction Process**: - Fixed factors: Valuation (BTOP) and volatility (VOLATILITY) are always included due to their stable and significant performance in small-cap pools[98][99] - Dynamic factors: Exclude factors with conditional failure probabilities above 80% and select the top 3 factors based on medium- and long-term momentum scores[98][99] - Construct a portfolio of 50 equally weighted stocks based on the selected factors[98][103] **Model Evaluation**: The model demonstrates strong performance in small-cap pools, with high momentum and low reversal failure probabilities, making it robust against overfitting[98][103] 3. **Model Name**: "Exclusion + Scoring" Model for Large-Cap Stocks **Model Construction Idea**: Focuses on stricter exclusion of high-failure-probability factors and integrates failure information into the scoring process for large-cap stock selection[109][110] **Model Construction Process**: - Exclude factors with conditional failure probabilities above 70%[109][110] - Combine failure indicators into the momentum scoring model, selecting the top 5 factors with the highest comprehensive scores[109][110] - Construct a portfolio of 50 equally weighted stocks based on the selected factors[109][113] **Model Evaluation**: The model effectively addresses the high sensitivity and extreme reversals in large-cap pools, improving stability and performance[109][113] Model Backtesting Results 1. **Dynamic Factor Adjustment Model**: - Annualized return: 8.83% - Sharpe ratio: 0.42 - Excess annualized return: 11.47% - Maximum drawdown: 38.67%[103] 2. **"2+3" Dynamic Factor Model for Small-Cap Stocks**: - Annualized return: 8.83% - Sharpe ratio: 0.42 - Excess annualized return: 11.47% - Maximum drawdown: 38.67%[103] 3. **"Exclusion + Scoring" Model for Large-Cap Stocks**: - Annualized return: 8.40% - Sharpe ratio: 0.40 - Excess annualized return: 8.32% - Maximum drawdown: 36.40%[113] Quantitative Factors and Construction Methods 1. **Factor Name**: Valuation (BTOP) **Factor Construction Idea**: Measures the book-to-price ratio to capture undervalued stocks[8][39] **Factor Construction Process**: Calculate the ratio of book value to current market value for each stock[8][39] **Factor Evaluation**: Demonstrates stable and significant performance in small-cap pools, with strong selection ability in various market conditions[39][98] 2. **Factor Name**: Volatility (VOLATILITY) **Factor Construction Idea**: Measures the residual volatility of stock returns to identify low-risk stocks[8][50] **Factor Construction Process**: Calculate the standard deviation of residuals from a time-series regression of stock returns[8][50] **Factor Evaluation**: Performs well in both small-cap and large-cap pools, with low failure probabilities and consistent selection ability[50][98] 3. **Factor Name**: Earnings (EARNING) **Factor Construction Idea**: Measures earnings yield to capture profitability[8][39] **Factor Construction Process**: Calculate the ratio of earnings to market value for each stock[8][39] **Factor Evaluation**: Strong selection ability in large-cap pools, with stable performance across different market conditions[39][113] Factor Backtesting Results 1. **Valuation (BTOP)**: - RankICIR: Consistently ranks in the top 2 across small-cap pools[39][98] 2. **Volatility (VOLATILITY)**: - RankICIR: Demonstrates stable negative expression across all pools, with low failure probabilities[50][98] 3. **Earnings (EARNING)**: - RankICIR: Strong performance in large-cap pools, with high selection ability and stable expression[39][113]

Core Insights - The article discusses the rapid growth of the ETF market in China, with the total market size exceeding 5 trillion yuan and the number of stock ETFs surpassing 1,000 [1] - The focus of the new ETF launched by Xingzheng Global is on "quality," tracking the CSI 300 Quality Index, which selects 50 stocks based on profitability and stability [1][2] - The fund manager emphasizes the long-term value creation potential of the CSI 300 Quality Index for investors [1] Market Growth and Opportunities - The ETF market has seen rapid growth, with each 1 trillion yuan milestone being reached in increasingly shorter timeframes, indicating significant opportunities for investors [1] - The CSI 300 Total Return Index is expected to yield positive long-term returns, despite common investor behaviors leading to losses [1] Performance Metrics - The CSI 300 Quality Index has outperformed the CSI 300 Index by 40 percentage points over the past decade, with a return of 72.19% and an annualized return of 5.75% [2] - The annualized volatility of the CSI 300 Quality Index is 18.30%, significantly lower than the CSI 300's 24.67%, showcasing its stability [2] Differentiation Strategy - Xingzheng Global aims to differentiate itself in the ETF market by focusing on quality factors and enhancing its passive investment strategies [3] - The choice of quality factors is based on profitability metrics like ROE (Return on Equity), which is considered a key indicator of a company's financial health [3] Composition and Market Position - As of September 30, 2025, the top ten holdings of the CSI 300 Quality Index account for 48.57%, featuring leading companies with strong growth potential [4] - The index is slightly biased towards large-cap stocks, with over 60% of its constituents having a market capitalization exceeding 100 billion yuan [4] Economic Context - The article notes that quality factors tend to outperform during the early stages of economic recovery, suggesting a favorable environment for the new ETF [5] - The fund manager expresses a long-term vision for the ETF, aiming to provide sustainable returns for investors [5]

Core Viewpoint - The article discusses the launch of the first ETF product by Xingzheng Global Fund, which tracks the CSI 300 Quality Index, marking a significant development in the public fund industry as it is the first ETF to track this index [1][4]. Group 1: ETF Product Launch - Xingzheng Global Fund's ETF strategy focuses on high-quality index products that prioritize the interests of investors, aiming to provide convenient investment tools for long-term stable returns [1][8]. - The CSI 300 Quality Index includes 50 companies selected from the CSI 300 Index based on their operational stability and performance in profitability, stability, and quality [4][5]. - The quality factor, which is less familiar compared to growth and value factors, is being explored as a promising investment strategy by the company [4][5]. Group 2: Investment Philosophy - The company recognizes the investment value of the CSI 300 Index, which represents the core strength of the Chinese economy and has shown performance in line with China's economic growth [5]. - The quality factor, represented by the Return on Equity (ROE) metric, aligns with the company's long-term investment philosophy, focusing on companies with strong profitability and quality [5][6]. Group 3: Future Outlook and Strategy - The company sees significant potential for the development of index investments in the domestic market, especially with the encouragement of national strategies and regulatory guidance [7]. - Xingzheng Global Fund has already made strides in quantitative investment products, including the CSI A500 Index Enhanced Fund, and plans to explore various ETF product lines, including strategy-based and enhanced index ETFs [7][8]. - The company emphasizes a long-term investment approach, focusing on nurturing its first ETF product rather than seeking immediate performance or scale [8].

Core Viewpoint - The article discusses the launch of the first ETF product by Xingzheng Global Fund, which tracks the CSI 300 Quality Index, marking a significant development in the public fund industry as it is the first ETF to follow this index [1] Group 1: ETF Product Launch - Xingzheng Global Fund's ETF strategy focuses on high-quality index products that prioritize the interests of investors, aiming to provide convenient investment tools for long-term stable returns [1] - The CSI 300 Quality Index includes 50 companies selected from the CSI 300 Index based on their operational stability and performance in profitability, stability, and quality [2] Group 2: Investment Strategy - The company recognizes the investment value of the CSI 300 Index, which represents the largest and most liquid stocks in the A-share market, aligning with China's economic growth [3] - The quality factor, represented by the Return on Equity (ROE) metric, is seen as a core indicator of a company's profitability and quality, making it a suitable choice for long-term investment strategies [3] Group 3: Market Potential and Differentiation - The domestic ETF market is expected to grow, driven by national strategies and regulatory support for index investment, with Xingzheng Global Fund entering this space with a differentiated approach [4] - The company has previously explored index-enhanced products and aims to provide long-term stable excess returns through its investment strategies [4] - The focus is on nurturing the ETF product line without rushing for short-term performance, adhering to a long-term investment philosophy [5]

Core Viewpoint - The article discusses the launch of the first ETF product by Xingzheng Global Fund, which tracks the CSI 300 Quality Index, marking a significant development in the public fund industry as it is the first ETF to follow this index [1] Group 1: ETF Product Launch - Xingzheng Global Fund is adopting a boutique strategy in its ETF business, prioritizing the interests of holders and focusing on high-quality index products with long-term viability [1][4] - The CSI 300 Quality Index consists of 50 companies selected from the CSI 300 Index based on their operational stability and performance in profitability, stability, and quality [1][2] Group 2: Investment Strategy - The quality factor, although less popular than growth and value factors, is being explored due to its potential for balanced returns [2] - The company recognizes the investment value of the CSI 300 Index, which represents the core strength of the Chinese economy, and has previously invested in related quantitative products [2] Group 3: Performance Metrics - Over the past decade, the CSI 300 Quality Index has outperformed the CSI 300 Index, with a growth of over 70% and a lower annualized volatility of 17.72% [3] Group 4: Future Outlook - The company sees significant potential for the development of index investments in the domestic market, especially with the encouragement from national strategies and regulatory guidance [3] - Xingzheng Global Fund plans to explore differentiated paths in the ETF market, considering strategy-based and enhanced index ETFs in future product lines [4]

作为业内公认的主动权益"能力者"，兴证全球基金在股票投资方面的积累毋庸置疑。 01 在市场的"核心区域"深耕 芒格说，钓鱼的第一规则，是在有鱼的地方钓鱼。 同样，投资的第一原则也是在有机会（流动性）的地方投资。 但这家拥有诸多知名基金经理和绩优主动公募产品的机构，近期开始进入ETF市场，而且还是令人关注的沪深300质量 ETF，这当然让很多人高度关注了起来。 主动权益高地开始做ETF意味着什么？ 为什么首选沪深300质量ETF作为"开局"？ 从中长期看，这个指数有吸引力么？ 兴证全球基金作为一个ETF的"新入者"，有什么优势？又有什么挑战？ 关于这些问题，该基金经理田大伟日前和我们展开了一场深入对话，他不仅对上述问题出了详细的回答，也系统介绍了相 关的指数的情况。 而整场对话中给人印象最深的是两句： "沪深300指数是目前市场里规模较大的、流动性较好的300个股票组成的指数。瞄准了沪深300指数，一定程度上可以说瞄 准了市场和中国经济的核心。"田大伟说。 同样以11月28日的交易数据为例，当天沪深300成交额3418.32亿元，显然，无论是总市值还是交易数据，沪深300指数都是 整个市场的核心区域。 而此次， ...

Core Insights - The article discusses the growth and differentiation strategies in the ETF market, highlighting the launch of the Xingzheng Global CSI 300 Quality ETF, which focuses on quality stocks based on profitability metrics [1][2]. ETF Market Growth - The total market size of ETFs has surpassed 5 trillion yuan, with the number of stock ETFs exceeding 1,000, indicating a thriving market [1]. - The rapid growth of the ETF market is noted, with each trillion yuan milestone being reached in shorter time frames, suggesting ample opportunities for investors [2]. Investment Strategy - The Xingzheng Global CSI 300 Quality ETF aims to provide long-term value by focusing on high-quality stocks selected based on profitability, stability, and quality [1][2]. - The ETF is designed to minimize tracking deviation and error, aligning closely with the CSI 300 Quality Index [2]. Performance Metrics - The CSI 300 Quality Index has shown significant long-term outperformance, with a 72.19% increase over the past decade and an annualized return of 5.75%, compared to the CSI 300 Index's 31.31% increase and 2.84% annualized return [3]. - The annualized volatility of the CSI 300 Quality Index is 18.3%, which is lower than the CSI 300's 24.67%, indicating a more stable investment option [3]. Differentiation Strategy - The ETF represents an extension of the company's "boutique strategy," focusing on differentiation to build competitive advantages in the market [4]. - The company plans to adopt a dual approach in passive investment, combining broad-based products with enhanced index products to leverage its active equity investment strengths [4]. Quality Factor Focus - The choice of the quality factor for the ETF is based on the profitability of constituent stocks, particularly the Return on Equity (ROE) metric, which is emphasized as a key indicator of a company's profitability [4]. - The top ten constituents of the CSI 300 Quality Index account for 48.57% of the index, featuring leading companies with strong growth potential [5]. Market Positioning - There are relatively few ETF products that focus on the CSI 300 Quality factor, providing a unique investment opportunity with long-term value and scarcity [6]. - The current economic recovery phase is seen as a favorable time for quality factors to outperform, as historical data suggests core assets tend to show strength during early recovery periods [6].

Core Insights - The report highlights the strong performance of the CSI 1000 index, which achieved a return of 1.18% during the week of October 27-31, 2025, making it one of the top-performing indices [3][7]. - For the year, the CSI 1000 index has shown a return of 29.99%, outperforming the benchmark index by 3.99% [4][15]. Market Performance - In the week of October 27-31, 2025, the CSI 1000 and CSI 500 indices led in returns, with gains of 1.18% and 1.00%, respectively, while the STAR 50 and SSE 50 indices lagged with returns of -3.19% and -1.12% [3][7]. - Year-to-date, the Micro Index and ChiNext Index have performed exceptionally well, with returns of 67.31% and 48.84%, while the CSI Dividend and SSE 50 indices have underperformed, returning 0.83% and 12.17% [8]. Strategy Performance - The CSI 1000 index enhancement strategy yielded a return of 1.03% for the week, slightly underperforming the index return of 1.18%, resulting in an excess return of -0.15% [4][12]. - In October, the strategy achieved a return of 0.27%, outperforming the index, which had a return of -0.90%, leading to an excess return of 1.17% [14]. - For the year, the strategy's return stands at 29.99%, compared to the index's 26.00%, resulting in an excess return of 3.99% [15]. Investment Recommendations - The CSI 1000 index is noted for its strong performance in 2025, attributed to its strategic focus on sectors such as new energy, semiconductors, and medical devices, which are considered frontier industries [5][18]. - The index is characterized by significant valuation elasticity and policy expectations, making it a high-risk, high-volatility investment option as market risk appetite is expected to tighten towards year-end [5][18].

Core Insights - The recent market recovery has led to a surge in demand for newly launched mutual funds, with several funds completing their fundraising targets in record time, indicating strong investor confidence [3][5][8] - The introduction of floating fee rate products has shown promising initial performance, with average returns exceeding 12.47% for the first batch, which is expected to positively influence subsequent fund launches [4][7] Fundraising Trends - On October 24, 2023, the Jiashi Growth Sharing Mixed Fund completed its fundraising of approximately 30 billion yuan in just five days, ahead of its scheduled end date [3][5] - Other funds, such as the China Europe Value Navigation Fund and Penghua Manufacturing Upgrade Fund, also completed their fundraising quickly, with the former reaching 20 billion yuan in one day [5][6] - The trend of early fundraising closures is not limited to equity funds but also includes FOFs, ETFs, and QDII funds, reflecting a broader market enthusiasm [5][6] Performance of Floating Fee Rate Products - The first batch of floating fee rate products has delivered strong performance, with some funds achieving over 40% returns within three months of their launch [4][7] - The success of these products is attributed to their innovative fee structure and the overall positive market sentiment, which is expected to encourage further adoption of this model [7] Market Outlook - Multiple asset management firms maintain an optimistic outlook for the market, predicting a "slow bull" trend driven by improving macroeconomic conditions and corporate earnings recovery [8][9] - The ongoing shift in investor sentiment towards more established fund managers and the importance of sales capabilities in fund distribution are also highlighted as key factors influencing fundraising success [6][8]

Core Viewpoint - The recent trend of mutual funds in China shows a strong demand for newly launched products, with several funds completing their fundraising targets in record time, indicating a positive market sentiment and investor confidence in the capital market [1][4][5]. Fundraising Trends - On October 24, 2023, the Jiashi Growth Sharing Mixed Fund announced the early closure of its fundraising, achieving a target size of approximately 30 billion yuan in just about 5 days [1][4]. - The China Europe Value Navigator Fund also completed its fundraising of 20 billion yuan in just one day [2][4]. - The trend of early fundraising closures is not isolated, as multiple new products, including FOF, ETF, and QDII funds, have also been reported to close early due to high demand [4][5]. Performance of Floating Rate Funds - The initial performance of the first batch of floating rate funds has been strong, with an average increase of 12.47% since their inception, and some funds reporting gains exceeding 40% within three months [2][6]. - The successful performance of these funds is expected to positively influence the fundraising and operation of subsequent batches of floating rate funds [6][7]. Market Outlook - Several public fund companies express optimism about the market outlook, citing factors such as the expansion of profit-making effects, accelerated capital inflow, and improvements in macroeconomic conditions as potential drivers for a mid-term upward trend in the market [9][10]. - The overall market valuation is considered reasonable, and there is an expectation for more investment opportunities driven by fundamentals, particularly in growth sectors like new energy and technology [9][10].