Core Viewpoint - Nearly 90% of enhanced index ETFs have achieved excess returns this year, particularly in the small-cap broad-based products, indicating a significant performance advantage in a differentiated market environment [2][3]. Performance Analysis - As of October 31, 29 enhanced strategy ETFs have outperformed their benchmark returns, with only 4 failing to do so. Eight ETFs exceeded excess returns of 10 percentage points, with the招商中证2000增强策略ETF achieving over 20% excess return [4]. - The strong performance of enhanced index ETFs is attributed to two main factors: the inefficiency of the A-share market and the strong small-cap style this year, allowing these funds to outperform their benchmarks despite market constraints [4][5]. Market Dynamics - The current market's high volatility has created opportunities for enhanced indices to outperform, with quantitative models effectively capturing price deviations for excess returns [4][6]. - Enhanced ETFs have shown a daily tracking error of less than 0.3%, with AI algorithms dynamically adjusting industry exposure to mitigate single-style risks [5][6]. Growth Potential - The enhanced index ETF market has seen rapid growth, with 51 products currently available, a 35% increase in total assets to 9.573 billion yuan this year, although they still represent only 0.26% of the stock ETF market [8]. - The development potential for enhanced index ETFs is primarily in broad-based indices, as higher market recognition of these indices may lead to greater opportunities for excess returns [8][9]. Future Trends - The future growth of enhanced index ETFs is expected to continue with the maturation of quantitative technology and evolving demand. Two promising categories include mid-cap broad-based strategies and industry-themed enhancement strategies, particularly in sectors like AI and energy [9].

Core Insights - Nearly 90% of enhanced index ETFs have achieved positive excess returns this year, with small-cap broad-based products performing particularly well [1][2] - The future outlook suggests that mid-cap broad-based enhanced products and industry-themed enhanced products will align with long-term capital preferences and adapt to sector rotation trends, becoming key areas for industry innovation and growth [1][5] Performance Summary - As of October 31, 29 enhanced strategy ETFs (excluding newly established funds this year) have outperformed their benchmark returns, with only 4 failing to do so [2] - Eight ETFs have exceeded excess returns of 10 percentage points, with the China Securities 2000 Enhanced Strategy ETF achieving over 20% excess return, and others like the ICBC China Securities 1000 Enhanced Strategy ETF and Hai Fu Tong China Securities 2000 Enhanced Strategy ETF exceeding 16% [2] Market Dynamics - The strong performance of enhanced index ETFs is attributed to two main factors: the inefficiency of the A-share market and the strong small-cap style this year, allowing enhanced index funds to outperform benchmarks despite market cap constraints [2][3] - The current market's high volatility has created opportunities for enhanced indices to outperform, with quantitative models effectively capturing price deviations for excess returns [2][3] Development Potential - The enhanced index ETF market has seen rapid growth, with 51 products currently available and a total scale of 9.573 billion yuan, reflecting a 35% increase since the beginning of the year, although they only account for 0.26% of the stock ETF market [4] - Enhanced index ETFs are characterized by "high growth, low penetration," primarily covering core broad-based indices and small-cap themes [4] Future Opportunities - The development potential for enhanced index ETFs is expected to continue as quantitative technology matures and demand evolves, particularly in mid-cap broad-based and industry-themed strategies [5] - Mid-cap broad-based enhanced strategies focusing on emerging industry leaders and industry-themed strategies like the Sci-Tech Innovation Index are anticipated to attract attention for their potential to generate excess returns [5]

Core Viewpoint - The quantitative convertible bond portfolio experienced a slight decline in October, with a year-to-date return of 21.01% and an excess return of 4.02% [1] Group 1: Portfolio and Performance - The quantitative convertible bond portfolio is generated based on three factor systems: fundamental factors, low-frequency price-volume factors, and high-frequency price-volume factors, with monthly adjustments [5] - The portfolio's performance in October showed a return of -0.83% and an excess return of -0.72% [1] Group 2: Factor Data Tracking - A total of 32 fundamental factors, 80 low-frequency price-volume factors, and 32 high-frequency price-volume factors are tracked for convertible bonds [2][8] - The report provides a detailed list of factors used in the portfolio construction, referencing various research reports [8] Group 3: Risk Warnings - The report includes risk warnings for convertible bonds based on forced delisting and risk alert rules, as well as event-based and credit scoring methods [3][12] - Specific convertible bonds are flagged for trading-related forced delisting risks, financial-related forced delisting risks, and other credit risks [12] Group 4: Timing of Convertible Bond Index - The report employs price-volume models, pricing deviations, and convertible bond elasticity for timing and position management of the CSI Convertible Bond Index [4][13] - As of the end of October, the price-volume model and pricing model indicate a bullish signal, with a recommended position of 2/3 [4][13] Group 5: Pricing Deviation Factors - The report showcases the latest pricing deviation factors, which represent the difference between market prices and theoretical pricing for various convertible bonds [10][11] - A table lists specific convertible bonds along with their pricing deviation factors, indicating significant deviations for some bonds [11]

- The report does not contain any specific quantitative models or factors for analysis [1][2][3][4] - The report provides an overview of the A-share market, including style performance and crowding levels, highlighting the relative performance of growth vs dividend, small-cap vs large-cap, micro-cap stocks vs CSI 800, and momentum vs reversal [24][25][33] - Growth vs Dividend: Crowding level is at a historically high position (69%), with cumulative excess net value also at a high level, showing an increase over the past week [33][34][36] - Small-cap vs Large-cap: Crowding level is at a historically low position (34%), with cumulative excess net value at a balanced level, showing an increase over the past week [36][38][39] - Micro-cap stocks vs CSI 800: Crowding level is at a historically high position (82%), with cumulative excess net value at an extremely high level, remaining stable over the past week [39][41][42] - Momentum vs Reversal: Momentum style outperformed reversal style this week, contrary to long-term trends, as the total amount of active stock funds decreased [44][46][49] - The report discusses the relationship between U.S. bond yields and style indices, noting deviations from long-term trends in the past week [44][46][47] - The report provides detailed calculations for style crowding levels and cumulative excess net value, including methodologies for Z-score standardization and rolling historical percentiles [127][128] - The report highlights the historical percentile of institutional research activity across indices, sectors, and industries, with notable activity in upstream cycles and industries like steel and consumer services [109][111][111] - The report includes data on A-share valuation and equity-bond risk premium (ERP), indicating that overall equity allocation is at a balanced level [66][77][86] - The report provides insights into fund flows, including issuance and existing scale of active and passive equity funds, showing mixed trends in recent weeks [90][100][103] - The report tracks major capital indices, showing relative performance against the Wind All A Index, with QFII and private equity indices leading gains [87][88][90] - The report discusses trends in bond yields and the China-U.S. yield spread, highlighting recent changes and historical positions [112][113][117] - The report analyzes currency market trends, noting the appreciation of the onshore and offshore RMB against the USD in the past week [119][121][122] - The report provides an overview of commodity market performance, with mixed results across different indices in China and the U.S. [123][125][126]

Core Viewpoint - Quantitative investment has become a significant force in the A-share market, with Kuan Investment Asset Management gaining attention for its stable performance and commitment to long-termism [1][3]. Group 1: Company Philosophy - Kuan Investment's core philosophy emphasizes survival and long-termism, prioritizing absolute returns for clients over aggressive growth [3][4]. - The founder, Qian Cheng, has invested all personal funds into the company's fund, demonstrating a strong commitment to capital preservation [3]. - The company maintains a rigorous risk control system throughout the investment research process, aiming for moderate returns while managing risks effectively [3][5]. Group 2: Market Outlook - Qian Cheng expresses a cautious optimism about the A-share market's performance over the next one to two years, advising investors to temper their expectations [4]. - The competitive landscape of the quantitative investment sector is described as a "red ocean," with increasing pressure from new entrants [5]. Group 3: Technological Innovation - Continuous technological iteration and 100% in-house development are identified as key strategies for navigating the competitive market [5][6]. - The company emphasizes the importance of deep research and rapid technological adaptation, with a focus on studying new AI developments [5][6]. - Kuan Investment aims to provide long-term, customized services to clients, leveraging AI to enhance the precision of quantitative investment practices [6].

Core Viewpoint - Quantitative investment has become a significant force in the A-share market, with Kuan Investment Asset Management gaining attention for its stable performance and commitment to long-termism [1][2]. Group 1: Company Philosophy - The founder, Qian Cheng, emphasizes the importance of survival in the investment industry, stating that the goal is to create absolute returns for clients rather than focusing solely on growth [1][2]. - Qian Cheng has invested all his personal funds into the company's fund, demonstrating a strong commitment to protecting investors' capital [1]. Group 2: Risk Management - Kuan Investment employs a rigorous risk control system throughout the investment research process, aiming for moderate returns while managing exposure risks [2]. - The philosophy of seeking stable, moderate returns provides investors with a sense of security in long-term investments [2]. Group 3: Market Outlook - Qian Cheng expresses a cautious optimism about the A-share market's performance over the next one to two years, advising investors to maintain a prudent mindset as the market rises [2]. Group 4: Industry Dynamics - The quantitative investment sector is described as a "red ocean" market, characterized by intense competition and a high influx of talented individuals [2][3]. - Continuous technological iteration and 100% in-house development are seen as essential for navigating the competitive landscape [2][3]. Group 5: Research and Development - Kuan Investment's core competitiveness lies in in-depth research and rapid technological iteration, with a focus on reading and discussing new AI papers within a month of their release [3]. - The company has built a diverse research team with backgrounds in statistics and computer science, ensuring stability and avoiding reliance on third-party strategies [3]. Group 6: Future Vision - The vision for Kuan Investment is not merely about scaling but providing long-term effective services to clients, with an emphasis on health industry development and technological leadership [3][4].

Core Insights - The current stage for small and medium-sized fund companies is at a crossroads of "breakthrough and conservatism," where success will depend on either extreme differentiation or gradual marginalization in resource consumption battles [1][2] - The future winners in the public fund industry will not be the largest companies but rather the "smarter companies" that can balance strategic determination and tactical flexibility [1][4] Group 1: "Fixed Income +" Strategy - The "Fixed Income +" business is identified as a breakthrough path for the company, which has been developing this area since 2014, making it one of the early entrants in the industry [2] - In the first half of the year, the company's fixed income products saw significant growth, with "Fixed Income +" products contributing important incremental value [2] - The company has established a comprehensive multi-tiered "Fixed Income +" product system, with convertible bond investments as a core feature [2] Group 2: Investment Methodology - The company employs a strategy where the proportion of convertible bonds varies based on product type, with conservative products holding up to 20% in convertible bonds, balanced products between 20%-40%, and aggressive products exceeding 40% [2] - A systematic investment methodology for convertible bonds has been developed, categorizing them into three types: debt-type, balanced-type, and equity-type, focusing on different risk-return profiles [2] - A dedicated research team covers the entire market of convertible bonds, emphasizing both valuation and in-depth analysis of underlying stocks to identify investment value [2] Group 3: Diversification and Future Outlook - While consolidating its advantages in "Fixed Income +," the company is also expanding into other promising areas such as investment in the Beijing Stock Exchange and quantitative strategies [3] - The company aims to establish multiple growth curves beyond its core "Fixed Income +" business, with a focus on technology innovation and specialized fields [3] - The company emphasizes that scale is a result rather than a goal, aiming to create value for investors and earn market recognition over time [4]

- The non-bank financial sector confirmed an upward trend on the daily chart, while the retail sector experienced a downward trend on the daily chart[1][8][28] - The A-share prosperity index stood at 20.44 as of October 31, 2025, up 15.01 from the end of 2023, indicating an upward cycle[2][31] - The A-share sentiment index signals for bottom and top were both empty, with the overall signal being empty[2][39] - The CSI 500 enhanced portfolio underperformed the benchmark by 0.54%, while the CSI 300 enhanced portfolio outperformed the benchmark by 0.59%[2] - The Beta factor showed higher excess returns among style factors, while growth exhibited significant negative excess returns[2][58] - High-leverage stocks performed well recently, while factors such as residual volatility and non-linear market capitalization performed poorly[2][58] - The CSI 500 enhanced portfolio achieved a relative excess return of 51.82% since 2020, with a maximum drawdown of -5.73%[47] - The CSI 300 enhanced portfolio achieved a relative excess return of 39.01% since 2020, with a maximum drawdown of -5.86%[53] - The market's preference for high Beta stocks led to better performance in indices like CSI 500 and ChiNext, while indices like SSE Composite and SSE 50 performed poorly in style factors[65]

- The report tracks the performance of Barra style factors for October 2025, showing that the market capitalization factor recorded a return of -1.49%, the book-to-market ratio factor recorded a return of 0.39%, the growth factor recorded a return of -0.34%, and the earnings expectations factor recorded a return of 0.12%[4][14] - The report introduces a series of stock selection factors based on trading behavior, including the Ideal Reversal Factor, Smart Money Factor, APM Factor, and Ideal Amplitude Factor[5][15] - The Ideal Reversal Factor is constructed by segmenting the traditional reversal factor using W-shaped cuts, focusing on the average transaction amount per trade to identify the trading days with the strongest reversal attributes[41] - The Smart Money Factor is constructed by analyzing minute-level price and volume data to identify the involvement of institutional investors, using a specific formula to calculate the factor value[42][44] - The APM Factor measures the difference in stock price behavior between morning (or overnight) and afternoon trading sessions, using a regression model to calculate the residuals and then constructing a statistical measure to quantify the difference[43][45][46] - The Ideal Amplitude Factor measures the difference in amplitude information between high and low price states, calculating the average amplitude for the highest and lowest 25% of trading days and then taking the difference[48] - The historical performance of the Ideal Reversal Factor shows an IC mean of -0.050, rankIC mean of -0.061, IR of 2.48, and a long-short monthly win rate of 78.1%[6][16] - The historical performance of the Smart Money Factor shows an IC mean of -0.038, rankIC mean of -0.062, IR of 2.74, and a long-short monthly win rate of 81.2%[6][21] - The historical performance of the APM Factor shows an IC mean of 0.028, rankIC mean of 0.034, IR of 2.25, and a long-short monthly win rate of 76.5%[6][25] - The historical performance of the Ideal Amplitude Factor shows an IC mean of -0.054, rankIC mean of -0.074, IR of 3.03, and a long-short monthly win rate of 83.3%[6][28] - The historical performance of the composite trading behavior factor shows an IC mean of 0.067, rankIC mean of 0.093, IR of 3.33, and a long-short monthly win rate of 80.0%[6][32] - In October 2025, the Ideal Reversal Factor recorded a long-short return of 1.63% with a 12-month long-short monthly win rate of 66.7%[7][16] - In October 2025, the Smart Money Factor recorded a long-short return of 2.90% with a 12-month long-short monthly win rate of 83.3%[7][21] - In October 2025, the APM Factor recorded a long-short return of -1.13% with a 12-month long-short monthly win rate of 41.7%[7][25] - In October 2025, the Ideal Amplitude Factor recorded a long-short return of 3.33% with a 12-month long-short monthly win rate of 66.7%[7][28] - In October 2025, the composite trading behavior factor recorded a long-short return of 3.73% with a 12-month long-short monthly win rate of 75.0%[7][32]

2025 年 10 月 31 日 中欧小盘成长: 广度优势+暴 控,打造高性价比小盘基 基金经理研究系列报告之八十五 申万宏源研究微信服务号 相关研究 证券分析师 白皓天 A0230525070001 baiht@swsresearch.com 奚佳诚 A0230523070004 xijc@swsresearch.com 蒋辛 A0230521080002 jiangxin@swsresearch.com 邓虎 A0230520070003 denghu@swsresearch.com 联系人 奚佳诚 (8621)23297818× xijc@swsresearch.com 请务必仔细阅读正文之后的各项信息披露与声明 小盘风格投资价值分析：量化舒适区，当下估值分位数与盈利预期相对占优 ○ 0 多维成长、内涵丰富，相比大盘估值或具备盈利预期与估值上的双重优势：1）行业结构: 年内收益靠前的行业多具备成长属性，而小盘指数成长属性更为突出；年内收益表现靠后 的行业在小盘指数中占比较少，如银行、食品饮料等；2）年内热点主题反映小盘具备丰富 内涵：提取了规模增长的非宽基、非港股指数，三只指数成分股均普遍由中小盘股票构 ...