证券研究报告 | 金融工程 gszqdatemark 2025 05 13 年 月 日 量化点评报告 转债的配置与择时价值——五月可转债量化月报 转债的配置与择时价值。我们可以将转债个券分为偏债、平衡与偏股转债， 等权配置形成分域净值，并分别使用转债定价偏离度进行择时形成择时策 略，由策略结果可以看出： 1）平衡偏债转债风险溢价高，配置价值高但择时性价比低：平衡偏债转债 本身风险溢价较高，择时策略并未产生很明显的绩效提升，因此平衡与偏 债转债更适合弱化择时并进行长期配置，且构建因子策略进行稳定增强。 2）偏股转债风险溢价低，配置价值低但择时性价比高：偏股转债本身风险 溢价较低，夏普率与卡玛比率仅为 0.46 与 0.28。而基于估值的择时策略 可以在提升收益的同时降低风险，使得夏普率与卡玛比率分别上升至 0.87 与 0.74，因此偏股转债可以通过择时指标进行波段操作从而提升收益降低 风险。 转债的选债与择时。我们可以将选债与偏股择时按照如下方式结合： 1）选债部分：对于平衡与偏债转债我们使用低估+正股动量因子进行选债 增强，偏股转债我们使用低估因子进行选债增强。 2）择时部分：我们将平衡与偏债转债相对于中证 ...

Core Insights - The article emphasizes the attractiveness of dividend assets in a low-interest-rate environment, highlighting that the China Securities Dividend Total Return Index has a dividend yield of 6.26% as of March 31, 2025, placing it in the 91.38th percentile over the past decade [1] - The article introduces the upcoming launch of the招商红利量化选股混合 fund, which combines dividend theme investment with an active quantitative stock selection strategy, aimed at helping investors allocate to high-yield, undervalued assets [1][2] Investment Strategy - The招商红利量化选股混合 fund employs a multi-factor quantitative investment model to select stocks with investment value, evaluating aspects such as valuation, growth, profitability, operational quality, and volatility [2] - The fund's portfolio construction relies on quantitative model outputs and optimization algorithms to determine stock composition and weightings, seeking to achieve an effective investment boundary [2] Fund Management - The fund manager, Cai Zhen, has nearly 11 years of investment research experience and has managed the招商中证1000指数增强A fund since November 5, 2021, achieving a three-year return of 14.09%, significantly outperforming its benchmark by 21.30% [2][4] - The quantitative investment team at招商基金 has an international perspective and consists of 9 members with an average experience of 9.2 years, specializing in financial engineering, risk management, and information technology [3]

证券研究报告 | 金融工程 gszqdatemark 2025 05 13 年 月 日 量化点评报告 转债的配置与择时价值——五月可转债量化月报 转债的配置与择时价值。我们可以将转债个券分为偏债、平衡与偏股转债， 等权配置形成分域净值，并分别使用转债定价偏离度进行择时形成择时策 略，由策略结果可以看出： 1）平衡偏债转债风险溢价高，配置价值高但择时性价比低：平衡偏债转债 本身风险溢价较高，择时策略并未产生很明显的绩效提升，因此平衡与偏 债转债更适合弱化择时并进行长期配置，且构建因子策略进行稳定增强。 2）偏股转债风险溢价低，配置价值低但择时性价比高：偏股转债本身风险 溢价较低，夏普率与卡玛比率仅为 0.46 与 0.28。而基于估值的择时策略 可以在提升收益的同时降低风险，使得夏普率与卡玛比率分别上升至 0.87 与 0.74，因此偏股转债可以通过择时指标进行波段操作从而提升收益降低 风险。 转债的选债与择时。我们可以将选债与偏股择时按照如下方式结合： 1）选债部分：对于平衡与偏债转债我们使用低估+正股动量因子进行选债 增强，偏股转债我们使用低估因子进行选债增强。 2）择时部分：我们将平衡与偏债转债相对于中证 ...

Core Insights - The rapid growth of index funds has led to the ETF market size surpassing 4 trillion yuan by April 17, 2025, with stock ETFs being the main contributors to this growth [1] - Index-enhanced funds are gaining popularity as they combine passive investment with active management, catering to investors' dual needs for passive investment and excess returns [1][2] Group 1: Advantages of Index-Enhanced Funds - Dual attributes: They passively track indices (e.g., STAR Market Composite Index, CSI 300) to reduce individual stock selection risk while also actively seeking to outperform benchmark indices through quantitative models or active stock selection [3][4] - Risk-return balance: Index-enhanced funds aim for excess returns while controlling tracking error (typically 2%-5%), offering lower fees and greater transparency compared to active funds [5] - Diverse index opportunities: The rapid expansion of the index system provides more segmented tracks for index-enhanced strategies, suitable for capturing structural market trends [6] Group 2: New Product Launch - The launch of the Huashang STAR Market Composite Index Enhanced Fund is highlighted, which aims to closely track the STAR Market Composite Index while striving for superior investment returns [7] - The STAR Market Composite Index covers a wide range of high-growth, high-potential technology companies, with a market capitalization coverage of nearly 97%, and a balanced industry distribution [6] Group 3: Team Expertise - The performance of index-enhanced products heavily relies on the professional capabilities of the management team, particularly in the context of the high R&D and volatility characteristics of STAR Market companies [8] - The Huashang STAR Market Composite Index Enhanced Fund is managed by a team with strong expertise in quantitative investment, led by two PhD holders [10][12] Group 4: Management Team Profiles - Dr. Aiding Fei, with over 10 years of experience in securities, focuses on quantitative multi-factor stock selection models and aims to mitigate emotional biases in investment [11] - Dr. Haiyang, with 8 years of experience, employs a quantitative-driven approach to monitor risks and returns across different sectors, seeking optimal exposure to risk and expected returns [12]

Core Viewpoint - The article discusses the current volatility in the U.S. stock market and the strategies investors are considering to hedge against potential shocks, particularly in light of uncertainties surrounding Trump's policies [1]. Group 1: Market Volatility and Investor Strategies - Despite a calming of volatility in April, investors are preparing for sudden market shocks, similar to those experienced in the past [1]. - Derivatives strategists suggest that while periodic option selling from income-focused ETFs may suppress overall volatility, short-term shocks will continue to occur [1]. - Investors are weighing their preferences between Gamma and Vega strategies for hedging against market fluctuations [1][2]. Group 2: Gamma vs. Vega Strategies - Gamma represents a strategy focused on short-term options to capitalize on intraday volatility, while Vega pertains to long-term contracts benefiting from market turbulence [2]. - Data from Bloomberg indicates that short-term options were the biggest winners in April, but if the market retraces to previous lows, extreme volatility may not be repeated [2]. - Analysts expect a gradual repricing of the market driven by weak future guidance, indicating a low-volatility bear market [2]. Group 3: Alternative Hedging Tools - VKO (Volatility Knock Out) options are gaining popularity as a speculative method to short stocks or volatility, offering a cheaper alternative to standard options [3]. - Hedge funds have actively engaged in VKO during recent market declines to secure better entry points, emphasizing the importance of timing in establishing positions [3]. - Quantitative Investment Strategies (QIS) are also being considered for hedging, with a mixed approach potentially being more effective given the varied performance of these strategies during April's volatility [3]. Group 4: Cost Trends and Market Outlook - Trading costs have returned to levels seen at the end of March, providing a favorable environment for hedgers [5]. - Analysts predict that earnings downgrades and valuation compression will lead to a gradual decline in U.S. stocks, testing lows expected in 2025 [5]. - The article notes that while sudden news shocks previously defined market declines, the next downturn is anticipated to be a slow erosion rather than a sharp sell-off [5].

A500指数，这个从2024年火到今天、被誉为中国版"标普500"的明星指数，成为了当下指数增强投资的 布局热门。今日（5月12日），又一A500指增基金——华宝中证A500指数增强基金（A类：023319；C 类：023320）正式开售，该基金将由绩优量化投资老将徐林明，搭档基金经理喻银尤共同管理。 徐林明的代表作——华宝沪深300增强A（003876）自2016.12.9成立以来，截至2025.3.31，区间收益率 达69.79%，而同期其基准指数（沪深300指数）仅上涨12.02%，区间超额收益高达57.77%，年化超额达 5.21%，在14只同期可比同类基金中高居第一（1/14）。（来源：2025年基金一季报、Wind。注：同类 产品指同期已经成立的、跟踪标的为沪深300指数的指数增强公募基金） 因此，在A500指数增强这个热门赛道上，华宝中证A500指数增强基金（A类：023319；C类：023320） 的发售，引起了市场的重点关注。 指数增强"经典赛道"：沪深300 靛青是从蓼蓝（蓝草）中提取的，却比蓼蓝（蓝草）的颜色更深。拿《荀子·劝学》中的名句——"青， 取之于蓝，而胜于蓝"，来形容"指数增强 ...

指数增强基金异军突起！据统计，有统计数据的指增基金过去一年（2024/4/1到2025/3/31）的业绩表现相对较好，平均超额收益率为2.56%，其中超过 70%的基金超额收益为正。 在此背景下，指数增强型基金也迎来申报发行热潮。据悉，国投瑞银中证A500指数增强型证券投资基金（A类023861，C类 023862）将于5月12日起发行，为投资者低位布局核心资产提供了全新工具。 指数增强基金，为何逆势获得正超额收益？ 过往的震荡市中，众多指数增强基金为何逆势获得正超额收益？量化专家自有其章法。 在国投瑞银基金量化投资部总经理殷瑞飞看来，指数增强基金的最大特色，在于追求超额收益的稳健性。区别于普通指数基金追求市场平均收益，指数增 强和主动基金都需要追求超额收益，而后两者的区别又在于，指数增强基金对超额收益的稳健性有着更高的要求，不求短期领跑，而是以月度、季度甚至 年度为考察窗口，争取尽可能多地跑赢指数。一言以蔽之，指数增强产品追求的是"跑赢指数的更高胜率"。 在实际操作中，实现指数增强的方法论来自两个层面： 第一层的关键词是"求胜"。采取量化方法争取超额收益，具体来看包括选股层面的优化，以及通过调整权重配置来实 ...

Core Viewpoint - The end of Han Yong's era at Huatai-PineBridge Fund marks both a visible cost of the company's imbalanced business structure and a forced opportunity to break away from path dependence, necessitating a return to a client-centered approach in the face of regulatory fee reforms and competitive pressures [1][17]. Management Changes - Han Yong has served as the General Manager of Huatai-PineBridge Fund for over 13 years, making significant contributions to the company's long-term stable development [2][4]. - On May 9, 2025, Han Yong was replaced by Chairman Jia Bo as the acting General Manager due to work adjustments [1][2]. Business Development - Under Han Yong's leadership, the fund's management scale surged from 134.06 billion yuan at the end of 2011 to 633.94 billion yuan by the first quarter of 2025, elevating its industry ranking from 38th to 18th [8]. - The Huatai-PineBridge CSI 300 ETF, launched in 2012, became a cornerstone of the company's growth, achieving a record fundraising scale of 32.969 billion units during its initial offering [7][8]. Product Structure and Challenges - Despite the success of the CSI 300 ETF, the company struggled to diversify its ETF product matrix, with only 4 out of 51 ETFs exceeding 10 billion yuan in management scale [10]. - In contrast, competitors like E Fund and Huaxia Fund have developed a more comprehensive range of ETF products, highlighting Huatai-PineBridge's product structure imbalance [10][11]. Fee Rate Adjustments - On November 19, 2024, Huatai-PineBridge Fund announced a reduction in management and custody fees for its CSI 300 ETF, reflecting the need to adapt to regulatory fee reforms and market changes [17]. - The management fee was reduced from 0.50% to 0.15%, and the custody fee from 0.10% to 0.05%, indicating a shift towards prioritizing client needs [17].

以下文章来源于妙投APP ，作者刘国辉 妙投APP . 虎嗅旗下二级市场投研服务品牌，为您提供精选上市公司价值拆解，热门赛道产业链梳理 出品 | 妙投APP 作者 | 刘国辉 图片来源 | AI制图 做投资的公募基金，早在七八年前就开始买GPU，是要干嘛？ 一个方向是做量化指数增强产品。 指数增强基金在国内被作为场外指数基金的一种，在以某种指数为业绩基准的同时，加入主动量化的策略，以图 在获取指数β收益的基础上，形成一部分超额收益。 "我们在持牌机构里面还是比较早做高频量价的，2018年，我提出来要买GPU，公司第一时间给我派了这个额度， 买了当时市场当中最好的硬件。"在4月22日举办的蚂蚁财富"指数时代的投资洞察和服务探索"发布会上，国泰君 安资管量化投资部总经理胡崇海这样表示。 今年以来，公募指数增强产品的成立和上报数量都有大幅增长。 同时，在代销渠道上，指数增强基金作为公募行业里的一个小赛道，也终于迎来重量级选手的发力。 4月22日，蚂蚁财富发布一站式指数投资服务平台"指数+"，由多家机构提供更稳的宽基指数增强产品，此外，平 台还提供了丰富的工具和数据信息，呈现全球市场行情数据，并提供配置、定投等指数投 ...

本研究报告仅通过邮件提供给 中庚基金 使用。1 证 券 证券分析师 蒋辛 A0230521080002 jiangxin@swsresearch.com 邓虎 A0230520070003 denghu@swsresearch.com 研究支持 2025 年 05 月 09 日 东证融汇魏江：三维量化选股增强， 做长周期下的成长+Alpha ——基金经理研究系列报告之六十六 白皓天 A0230123070002 baiht@swsresearch.com 联系人 蒋辛 (8621)23297818× jiangxin@swsresearch.com 研 究 报 告 请务必仔细阅读正文之后的各项信息披露与声明 权 益 量 化 研 究 股 票 基 金 相关研究 - ⚫ 东证融汇魏江：上海财经大学金融工程硕士，2015 年开始从事金融行业相关工作，具有 9 年量化投研工作经验，其中 7 年量化投资经验。曾任通联数据股份公司量化研究员， 负责多因子模型、风险模型的研发，曾任财通证券资产管理有限公司投资经理助理，负 责指数增强类策略的开发与"固收+"产品的实盘管理。现任东证融汇证券资产管理有限 公司公募量化负责人，管理 ...