当外资涌入 A 股、新质生产力写入政策文件、传统宽基指数逐渐 " 钝化 " 时，中国资本市场亟需一个 既能承载外资配置需求、又能精准映射产业升级的"新标尺"。中证 A500 的诞生，恰似一场指数编制 的 " 供给侧改革 " 。 开年以来， DeepSeek 的崛起打破了美国 Al 技术垄断的核心壁垒，也打破了"美国例外论"。市场方 面，以 A 股和港股为代表的中国资产联袂走强，昔日 "YYDS" 美股显露疲态，这一轮以 " 技术突破 " 驱动的行情，或许也是中国资产重估的主线。 当下，全球"聪明资金"正在形成共识——中国核心资产已成新时代的 " 必选项 " 。 再看"新"核心宽基 该指数的编制方式，突破了传统的仅靠市值排序的方案，吸收海外指数编制经验，旨在打造属于中国自 己的 " 新 " 核心宽基。 | | 中证A500指数编制规则"新"在哪? | | | --- | --- | --- | | 1、流动性筛选 | 1 | 提升指数可投资性 | | 2、ESG负面剔除 | 1 | 降低成份股发生重大负面风险事件概率 | | 3、互联互通标的 | 1 | 便利外资投资 | | 4、优先纳入行业市值龙头 | 1 ...

Core Viewpoint - The report provides a comprehensive overview of the Hai Futong CSI 2000 Enhanced Strategy ETF's performance and management strategies for the year 2024, highlighting its investment objectives, strategies, and financial results. Fund Overview - The fund is named Hai Futong CSI 2000 Enhanced Strategy ETF, managed by Hai Futong Fund Management Co., Ltd., and its contract became effective on March 27, 2024 [2]. - The fund aims to achieve a net asset value growth rate that does not deviate from its benchmark (CSI 2000 Index) by more than 0.35% on a daily average and seeks to outperform the benchmark [2][4]. Investment Strategies - The fund employs a combination of quantitative investment analysis and fundamental research to manage its portfolio actively [2]. - Key investment strategies include stock investment, bond investment, convertible bonds, asset-backed securities, stock index futures, and options [2][4]. Financial Performance - As of December 31, 2024, the fund reported a realized loss of approximately 6.35 million RMB and a total profit of about 6.75 million RMB [3]. - The weighted average net value profit rate for the period was -21.66%, while the fund's net asset value growth rate was 18.89% [3][4]. - The fund's net asset value at the end of the reporting period was approximately 12.28 million RMB, with a per share net value of 1.1889 RMB [3]. Market Context - The report indicates that the Chinese economy showed signs of weak recovery driven by policy measures, with a projected GDP growth of 5% for 2024 [9]. - The A-share market experienced fluctuations, with the Shanghai Composite Index rising by 12.7% and the CSI 300 Index increasing by 14.7% during the year [10]. Management Insights - The fund management team actively adjusted investment models to adapt to market changes, incorporating industry and style models to identify investment opportunities [11]. - The fund's net value growth rate of 18.89% significantly outperformed the benchmark's return of 10.32% during the reporting period [12]. Compliance and Governance - The fund management company emphasizes compliance with legal regulations and internal controls to ensure the protection of investors' interests [15]. - The management has implemented measures to enhance compliance culture and risk awareness among employees [15].

Core Viewpoint - The launch of multiple Science and Technology Innovation Board (STAR Market) index-enhanced funds indicates a strong interest from fund companies in equity funds, which is expected to bring incremental capital to the A-share market [2][11]. Group 1: Fund Launch and Market Impact - Over 10 STAR Market index-enhanced funds were approved and quickly launched for sale, showcasing efficiency in the process [3][6]. - As of March 29, approximately 70 equity funds are in the issuance phase, indicating a robust pipeline that could provide continuous capital inflow into the A-share market [2][11]. - The first batch of STAR Market index-enhanced funds is set to officially start sales on April 1, with a focus on combining index tracking with active management to potentially exceed index returns [7][11]. Group 2: Fund Characteristics and Strategies - The STAR Market index covers a wide range of companies, including AI chips, biotechnology, and high-end manufacturing, which helps mitigate risks associated with over-concentration in a single industry while targeting high-growth sectors [3][11]. - Fund companies are leveraging advanced strategies, such as using big data and AI algorithms, to create alpha returns while effectively tracking the index [8]. - The STAR Market index is viewed as a core investment tool for investors looking to capitalize on China's technological innovation and growth potential [11]. Group 3: Broader Fund Trends - The popularity of index-enhanced funds is part of a broader trend, with many fund companies also focusing on other types of funds, such as dividend-themed and industry-specific ETFs [12]. - The total fundraising amount for newly established funds in 2023 has reached 249.7 billion yuan, with equity products accounting for approximately 109.9 billion yuan, reflecting significant year-on-year growth [13].

- The report highlights the performance of index-enhanced funds, with the CSI 1000 index-enhanced funds achieving the highest weekly excess return median of 0.96%, followed by CSI 500 at 0.88%, and CSI 300 at 0.44%[2][3][4] - The CSI 1000 index-enhanced funds showed a quarterly excess return median of 1.04%, while CSI 500 funds had 0.33%, and CSI 300 funds achieved 0.86%[3][4][5] - Absolute return (hedge) funds recorded a weekly return median of 0.27%, while other active quantitative funds had a negative weekly return median of -1.39%[6][7] - Multi-factor funds demonstrated a weekly return median of -1.41%, with a quarterly return median of 6.99%, and an annual return median of 6.99%[17][20] - Big data-driven active investment funds had a weekly return median of -1.37%, a quarterly return median of 5.95%, and an annual return median of 5.95%[18][20]

Summary of Key Points from the Conference Call Industry or Company Involved - The conference call focuses on the **AI investment strategies** and **ETF market** in the context of the **capital market** as discussed by **Huatai Securities** during their **2025 Spring Strategy Meeting**. Core Points and Arguments - **AI Strategies in Investment**: AI strategies significantly enhance traditional multi-factor models by processing vast amounts of data and complex factors, particularly in volume and price data analysis, optimizing investment decisions [1][4][9]. - **Acceptance of AI in Asset Management**: The asset management industry is increasingly accepting AI strategies, particularly those based on statistical models, due to their strong performance. However, the ability of reasoning-based large language models to reach expert-level performance remains to be validated [1][13][14]. - **ETF Market Growth**: The ETF market has surpassed **3.8 trillion yuan**, with a focus on smart beta strategies to achieve stable returns through industry rotation and asset allocation models [1][22]. - **Investment Strategy Focus**: Huatai Securities emphasizes a robust return strategy, primarily focusing on bond investments, and utilizes global asset allocation models and qualitative analysis for market judgment [1][27]. - **Industry Rotation Strategy**: The industry rotation strategy combines macro, meso, and micro factors with AI identification and qualitative analysis, favoring technology, consumer, and pharmaceutical sectors while adjusting investment targets based on significant events like the Two Sessions [3][31]. - **AI's Role in Financial Engineering**: AI enhances traditional multi-factor frameworks by integrating diverse data types, leading to more precise and efficient data analysis, thus optimizing portfolio design and improving returns while reducing risks [7][18]. - **Performance of AI in Quantitative Investment**: AI strategies outperform traditional multi-factor methods by effectively aggregating information and conducting global analyses, leading to superior excess returns [9][12]. - **Future of Large Models in Finance**: Large models like DeepSeek and ChatGPT show potential in subjective analysis, suggesting a new paradigm of combining subjective and quantitative investment approaches, although their expert-level capabilities need further validation [11][15]. - **ETF Product Development**: Huatai Securities is committed to providing ETF products and solutions, focusing on smart beta strategies and offering professional services, including market reports and strategy analyses [1][23]. Other Important but Possibly Overlooked Content - **Historical Context of AI in Quantitative Investment**: The application of AI in quantitative investment began around 2003, evolving through various phases, with significant adoption starting in 2017, leading to substantial investment returns [2][13]. - **Impact of Two Sessions on Market**: The analysis of the Two Sessions' impact on the market involves reviewing historical key topics and market performance, indicating that different time periods around the event affect market dynamics [32]. - **Investment Heat and Valuation Levels**: The current investment heat in AI-related sectors is at historical highs, with significant trading activity and valuation levels, necessitating cautious investment strategies [62][64]. - **Differentiation of Index Products**: Index products vary significantly in valuation levels and stock resonance, suggesting that investors should choose based on their risk appetite and investment strategy [68][70]. - **Performance of Active Equity Fund Managers**: Different fund managers exhibit varying performance in the AI sector, categorized into stable allocation, focused sector, and flexible adjustment types, highlighting the importance of selecting managers based on their stability and risk-return profile [73][74]. This summary encapsulates the essential insights from the conference call, providing a comprehensive overview of the discussions surrounding AI investment strategies and the ETF market.