Quantitative Models and Factor Analysis Summary Quantitative Models and Construction Methods Model Name: Guosen JinGong Index Enhanced Portfolio - **Model Construction Idea**: The model aims to outperform its respective benchmarks by constructing enhanced portfolios based on multiple factors[11] - **Model Construction Process**: - **Return Prediction**: Predicting the returns of stocks within the benchmark index - **Risk Control**: Implementing risk control measures to manage portfolio risk - **Portfolio Optimization**: Optimizing the portfolio to maximize returns while adhering to constraints such as industry exposure, style exposure, stock weight deviation, and turnover rate[12] - **Model Evaluation**: The model is designed to consistently outperform its benchmarks by leveraging multiple factors[11] Model Backtesting Results Guosen JinGong Index Enhanced Portfolio - **CSI 300 Index Enhanced Portfolio**: - Weekly Excess Return: 0.00% - Year-to-Date Excess Return: 3.00%[5][14] - **CSI 500 Index Enhanced Portfolio**: - Weekly Excess Return: 0.01% - Year-to-Date Excess Return: -0.88%[5][14] - **CSI 1000 Index Enhanced Portfolio**: - Weekly Excess Return: 0.90% - Year-to-Date Excess Return: 2.17%[5][14] - **CSI A500 Index Enhanced Portfolio**: - Weekly Excess Return: -0.53% - Year-to-Date Excess Return: 2.90%[5][14] Quantitative Factors and Construction Methods Factor Name: Dividend Yield - **Factor Construction Idea**: Measures the dividend income relative to the stock price, indicating the return on investment from dividends[17] - **Factor Construction Process**: - Formula: $\text{Dividend Yield} = \frac{\text{Dividend per Share}}{\text{Stock Price}}$ - The factor is calculated as the sum of the dividends declared over the last four quarters divided by the current market capitalization[17] - **Factor Evaluation**: The dividend yield factor is effective in identifying stocks with high dividend returns, which can be attractive to income-focused investors[17] Factor Name: EPTTM (Earnings to Price TTM) - **Factor Construction Idea**: Measures the earnings relative to the stock price over the trailing twelve months, indicating the profitability of the company[17] - **Factor Construction Process**: - Formula: $\text{EPTTM} = \frac{\text{Earnings TTM}}{\text{Market Capitalization}}$ - The factor is calculated as the total earnings over the trailing twelve months divided by the current market capitalization[17] - **Factor Evaluation**: The EPTTM factor is useful for identifying undervalued stocks with strong earnings performance[17] Factor Name: BP (Book to Price) - **Factor Construction Idea**: Measures the book value relative to the stock price, indicating the intrinsic value of the company[17] - **Factor Construction Process**: - Formula: $\text{BP} = \frac{\text{Book Value}}{\text{Market Capitalization}}$ - The factor is calculated as the book value of equity divided by the current market capitalization[17] - **Factor Evaluation**: The BP factor helps in identifying stocks that are potentially undervalued based on their book value[17] Factor Backtesting Results CSI 300 Index Sample Space - **Best Performing Factors (Recent Week)**: Expected PEG, Single Quarter ROA, EPTTM[1][19] - **Worst Performing Factors (Recent Week)**: Three-Month Reversal, Expected Net Profit QoQ, One-Month Turnover[1][19] CSI 500 Index Sample Space - **Best Performing Factors (Recent Week)**: Dividend Yield, EPTTM, BP[1][20] - **Worst Performing Factors (Recent Week)**: Expected Net Profit QoQ, Single Quarter Operating Profit YoY Growth, Three-Month Institutional Coverage[1][20] CSI 1000 Index Sample Space - **Best Performing Factors (Recent Week)**: Single Quarter ROA, Single Quarter ROE, Standardized Unexpected Revenue[1][22] - **Worst Performing Factors (Recent Week)**: One-Month Reversal, Single Quarter Net Profit YoY Growth, Three-Month Reversal[1][22] CSI A500 Index Sample Space - **Best Performing Factors (Recent Week)**: Dividend Yield, Single Quarter Revenue YoY Growth, Single Quarter ROA[1][24] - **Worst Performing Factors (Recent Week)**: Expected Net Profit QoQ, Single Quarter Net Profit YoY Growth, Single Quarter Operating Profit YoY Growth[1][24] Public Fund Heavy Index Sample Space - **Best Performing Factors (Recent Week)**: Dividend Yield, Single Quarter ROA, DELTAROA[1][27] - **Worst Performing Factors (Recent Week)**: Three-Month Reversal, Three-Month Institutional Coverage, Single Quarter Net Profit YoY Growth[1][27]

- The report tracks the performance of Guosen Financial Engineering's index enhancement portfolios, which are constructed using multi-factor stock selection models targeting benchmarks such as CSI 300, CSI 500, CSI 1000, and CSI A500 indices[11][12][14] - The construction process of the index enhancement portfolios includes three main components: return prediction, risk control, and portfolio optimization[12] - Single-factor Maximized Factor Exposure (MFE) portfolios are constructed for each factor within different stock selection spaces (e.g., CSI 300, CSI 500, CSI 1000, CSI A500, and public fund heavy positions index) to evaluate the effectiveness of individual factors under real-world constraints[15][40][41] - The optimization model for MFE portfolios aims to maximize single-factor exposure while controlling for constraints such as style exposure, industry exposure, individual stock weight deviation, component stock weight proportion, and individual stock weight limits[40][41][42] - The formula for the optimization model is: $\begin{array}{ll}max&f^{T}\ w\\ s.t.&s_{l}\leq X(w-w_{b})\leq s_{h}\\ &h_{l}\leq H(w-w_{b})\leq h_{h}\\ &w_{l}\leq w-w_{b}\leq w_{h}\\ &b_{l}\leq B_{b}w\leq b_{h}\\ &\mathbf{0}\leq w\leq l\\ &\mathbf{1}^{T}\ w=1\end{array}$ where `f` represents factor values, `w` is the stock weight vector, and constraints include style, industry, and stock-specific limits[40][41] - Factors are categorized into valuation, reversal, growth, profitability, liquidity, volatility, corporate governance, and analyst dimensions, with over 30 factors tracked, such as BP, EPTTM, ROA, ROE, and dividend yield[16][17] - Factor performance varies across different stock selection spaces. For example, in the CSI 300 space, factors like expected PEG, single-quarter ROA, and EPTTM performed well recently, while factors like three-month reversal and one-month turnover performed poorly[19] - In the CSI 500 space, factors such as dividend yield, EPTTM, and BP showed strong performance recently, while factors like three-month reversal and single-quarter profit growth rate underperformed[20][21] - In the CSI 1000 space, factors like single-quarter ROA, single-quarter ROE, and standardized unexpected income performed well, while factors like one-month reversal and three-month reversal lagged[22][23] - In the CSI A500 space, factors such as dividend yield, single-quarter revenue growth rate, and single-quarter ROA performed well, while factors like expected net profit quarter-on-quarter and single-quarter profit growth rate underperformed[24][25] - In the public fund heavy positions index space, factors like dividend yield, single-quarter ROA, and DELTAROA performed well recently, while factors like three-month reversal and single-quarter profit growth rate lagged[26][27] - The report also tracks the performance of public fund index enhancement products, including CSI 300, CSI 500, CSI 1000, and CSI A500 enhancement products, with metrics such as excess returns over different periods[28][32][35][37][39]

Group 1 - The A-share market in 2025 saw significant growth, with the Shanghai Composite Index achieving its best annual performance since 2020, rising by 18.41% [1][22] - The public fund industry in China surpassed 37 trillion yuan for the first time, indicating a new development stage for the asset management industry [1][22] - A number of fund managers with strong active management capabilities delivered impressive results as market sentiment improved [1][22] Group 2 - Huashang Fund's active equity funds achieved an average return of 64.91% in 2025, with several funds exceeding 100% growth, including Huashang Balanced Growth Mixed A at 137.15% [2][23][24] - The success of Huashang Fund is attributed to its "deep research-driven investment" philosophy, focusing on value-driven industrial trend investments [2][24] - The company plans to continue focusing on sectors such as AI, robotics, and innovative pharmaceuticals in 2026, aiming to capture structural opportunities [3][24] Group 3 - Over the past seven years, Huashang Fund ranked 4th in active equity and 1st in active fixed income among peers, with a five-year absolute return of 90.58% [4][26] - The company received the "Active Equity Investment Golden Bull Fund Company Award" in December 2025, coinciding with its 20th anniversary [4][26] - Huashang Fund has created a total investment return of 52.252 billion yuan for its investors and has distributed 28.637 billion yuan in dividends as of December 31, 2025 [5][27] Group 4 - Huashang Fund has been actively embracing industry changes while maintaining its core focus on active management, including the development of index-enhanced products [6][28] - The company has been building a composite team since 2009 to integrate active and quantitative investment strategies, enhancing its research and risk control processes [6][28] - Future plans include expanding the index-enhanced product line and exploring multi-asset strategies to contribute to high-quality industry development [8][29]

Group 1 - The core viewpoint of the article is to track and analyze the performance of various index enhancement portfolios and the factors influencing stock selection across different indices [1][2][5][18]. Group 2 - The performance of the HuShen 300 index enhancement portfolio showed an excess return of 0.88% for the week and 2.99% year-to-date [6][18]. - The performance of the Zhongzheng 500 index enhancement portfolio indicated an excess return of 0.68% for the week but a negative return of -0.92% year-to-date [6][18]. - The Zhongzheng 1000 index enhancement portfolio achieved an excess return of 1.44% for the week and 1.18% year-to-date [6][18]. - The Zhongzheng A500 index enhancement portfolio reported an excess return of 1.76% for the week and 3.50% year-to-date [6][18]. Group 3 - In the HuShen 300 component stocks, factors such as three-month volatility, illiquidity shock, and BP performed well [7][9]. - In the Zhongzheng 500 component stocks, factors like SPTTM, single-quarter SP, and single-quarter surprise magnitude showed strong performance [8][10]. - For Zhongzheng 1000 component stocks, standardized expected external income, single-quarter EP, and expected BP were among the top-performing factors [12][13]. - In the Zhongzheng A500 index component stocks, factors such as three-month turnover, three-month volatility, and one-month turnover performed well [15][16]. Group 4 - The public fund index enhancement products for HuShen 300 had a maximum excess return of 2.44%, a minimum of -0.52%, and a median of 0.38% for the week [22][24]. - The Zhongzheng 500 index enhancement products had a maximum excess return of 1.77%, a minimum of -1.45%, and a median of 0.07% for the week [24]. - The Zhongzheng 1000 index enhancement products achieved a maximum excess return of 3.29%, a minimum of 0.00%, and a median of 0.86% for the week [23][27]. - The Zhongzheng A500 index enhancement products reported a maximum excess return of 2.50%, a minimum of -0.54%, and a median of 0.31% for the week [25][28].

证券研究报告 | 2026年01月24日 金融工程专题研究 汇安沪深 300 指数增强基金投资价值分析 沪深 300 指数由沪深市场中规模大、流动性好的具有代表性的 300 只证 券组成，汇聚了 A 股市场的核心资产，其长期表现受益于中国经济的稳 健增长与产业结构的持续优化升级。 成分股市值较大，龙头效应显著。截至 2025 年 12 月 31 日，沪深 300 指数成分股的平均市值达 2254.88 亿元，显著高于中证 500、科创 50 指数、创业板指等。前十大权重股占比合计为 23.08%，成分股权重较 为分散，平均总市值为 9428 亿元，均为各领域具有竞争力的龙头企业。 盈利持续增长，成长能力较强。指数 2024 年 EPS 增速为 3.76%，预计 2025 年增速为 5.43%，2026 年增速 11.46%；2024 年归母净利润增速 为 2.78%，预计 2025 年增速为 9.67%，2026 年增速 9.40%。 沪深 300 为宽基配置首选，指数产业结构持续优化升级。截至 2025 年 12 月 31 日，沪深 300 指数基金合计规模高达近 1.2 万亿元，占全部宽 基指数基金的比重 ...

证券研究报告 | 2026年01月24日 多因子选股周报 超额全线回暖，中证 A500 增强组合年内超额 3.50% 核心观点 金融工程周报 国信金工指数增强组合表现跟踪 因子表现监控 以沪深 300 指数为选股空间。最近一周，三个月波动、非流动性冲击、BP 等因子表现较好，而标准化预期外盈利、单季超预期幅度、一年动量等因子 表现较差。 以中证 500 指数为选股空间。最近一周，SPTTM、单季 SP、单季超预期幅 度等因子表现较好，而三个月反转、高管薪酬、非流动性冲击等因子表现较 差。 以中证 1000 指数为选股空间。最近一周，标准化预期外收入、单季 EP、预 期 BP 等因子表现较好，而一个月波动、高管薪酬、三个月波动等因子表现 较差。 以中证 A500 指数为选股空间。最近一周，三个月换手、三个月波动、一个 月换手等因子表现较好，而一年动量、一个月反转、标准化预期外盈利等因 子表现较差。 以公募重仓指数为选股空间。最近一周，BP、预期 BP、单季 SP 等因子表 现较好，而一年动量、高管薪酬、单季 ROE 等因子表现较差。 公募基金指数增强产品表现跟踪 目前，公募基金沪深 300 指数增强产品共有 7 ...

Group 1 - The core viewpoint of the article emphasizes the growing interest in the CSI 1000 Index Enhanced products, which aim to share Beta returns while striving for excess Alpha, particularly in a recovering market since 2025 [3] - The CSI 1000 Index features a small and mid-cap style, covering companies ranked approximately 801 to 1800 in A-share market capitalization, with a significant representation from high-growth sectors such as electronics, electrical equipment, pharmaceuticals, and computers [4] - The CSI 1000 Index typically exhibits higher elasticity and greater volatility compared to broader indices like the CSI 300 and CSI 500, making it more suitable for investors with a certain risk tolerance seeking potential excess returns through accepting short-term fluctuations [4] Group 2 - Since 2021, the Chinese government has introduced various policies to support the high-quality development of "specialized, refined, and innovative" small and medium-sized enterprises, with cumulative fiscal subsidies exceeding 10 billion by 2025 [7] - The combination of industrial upgrades and policy dividends provides a clear growth logic for the CSI 1000 Index in the medium to long term, particularly as high-tech enterprises constitute a significant portion of its constituent stocks [7] - The performance of private equity CSI 1000 Index Enhanced strategies has shown a clear "Beta + Alpha" advantage, with a strategy index return exceeding 36% over the past year, compared to less than 16% for the CSI 1000 Index [7] Group 3 - When selecting CSI 1000 Index Enhanced products, traditional metrics like return rate and volatility are important, but two new indicators are introduced: non-regular investment annualized return and regular investment annualized return [10] - Non-regular annualized return reflects the product's ability to generate returns from a single entry point, while regular annualized return measures the stability of performance over time with fixed frequency investments [12][13] - Products that perform well on both metrics are rare and indicate a more sustainable and evenly distributed source of Alpha, making them suitable for both one-time allocations and long-term regular investments [14] Group 4 - The article highlights the compounding effect of index enhancement, noting that in volatile market conditions, consistent outperformance against a benchmark can lead to significant excess returns over time [18] - The strategy of index enhancement focuses on closely tracking the benchmark while allocating more to quality stocks and less to underperforming ones, aiming to accumulate excess returns [19] - Long-term holding is suggested as the optimal approach for index enhancement, as short-term evaluations may not accurately reflect the strategy's true capabilities [19]

Group 1 - The core viewpoint of the article is to track the performance of various index-enhanced portfolios and the factors influencing stock selection across different indices [2][3][19] Group 2 - The performance of the CSI 300 index-enhanced portfolio showed an excess return of 1.60% for the week and 2.09% year-to-date [7][19] - The CSI 500 index-enhanced portfolio had an excess return of 0.23% for the week but a negative return of -1.59% year-to-date [7][19] - The CSI 1000 index-enhanced portfolio achieved an excess return of 1.77% for the week and -0.36% year-to-date [7][19] - The CSI A500 index-enhanced portfolio reported an excess return of 0.97% for the week and 1.63% year-to-date [7][19] Group 3 - In the CSI 300 component stocks, factors such as standardized unexpected earnings, quarterly earnings surprises, and DELTAROE performed well [8][10] - In the CSI 500 component stocks, factors like year-on-year revenue growth, specificity, and expected net profit quarter-on-quarter showed strong performance [10][12] - For the CSI 1000 component stocks, factors such as illiquidity shock, one-month turnover, and three-month turnover performed well [10][14] - In the CSI A500 index component stocks, factors like three-month earnings adjustments, standardized unexpected revenue, and specificity showed good performance [10][16] Group 4 - The public fund index-enhanced products for the CSI 300 had a maximum excess return of 2.12% and a minimum of -0.45% for the week, with a median of 0.44% [21][23] - The CSI 500 index-enhanced products had a maximum excess return of 0.42% and a minimum of -2.18% for the week, with a median of -0.14% [25] - The CSI 1000 index-enhanced products reported a maximum excess return of 1.18% and a minimum of -0.52% for the week, with a median of 0.49% [24][25] - The CSI A500 index-enhanced products had a maximum excess return of 2.00% and a minimum of -0.52% for the week, with a median of 0.37% [26]

Group 1: Market Index and Style Performance Review - Major broad market indices mostly increased this week, with the CSI 500 rising by 2.18%, the Northbound 50 by 1.58%, and the CSI 1000 by 1.27%. However, the Shanghai Composite Index fell by 0.45% and the CSI 300 by 0.57% [2][10]. - Over the past month, all major broad market indices have risen, with the CSI 500 up by 17.59% and the CSI 1000 by 14.64% [10][11]. - In terms of industry performance, sectors such as computer, electronics, media, non-ferrous metals, and machinery performed well, while defense, agriculture, coal, real estate, and non-bank financials lagged behind [14][16]. Group 2: Factor Performance Tracking - In the CSI 300 stock pool, factors such as the 20-day volume variation coefficient, standardized unexpected earnings, and overnight momentum before earnings announcements performed well this week [3][24]. - In the CSI 500 stock pool, the 60-day specificity, 20-day specificity, and 60-day momentum factors showed strong performance [3][26]. - The overall market stock pool saw strong performance from quarterly ROA, quarterly ROE, and quarterly net profit margin factors [3][22]. Group 3: Quantitative Fund Performance - The average excess return for CSI 300 index-enhanced products was 0.58%, while the CSI 500 index-enhanced products had an average excess return of -0.26% [4][12]. - The best-performing active quantitative fund this week was Huian Quantitative Preferred A [4][12]. Group 4: Quantitative Index Enhancement Portfolio Tracking - The CSI 300 index enhancement portfolio achieved an excess return of 0.24% over the past week, while the CSI 500 index enhancement portfolio had an excess return of 0.27% [5][12]. - The CSI 800 index enhancement portfolio recorded an excess return of 0.59% [5].

证券研究报告 | 2026年01月17日 多因子选股周报 景气类因子表现出色，四大指增组合本周均跑赢基准 核心观点 金融工程周报 国信金工指数增强组合表现跟踪 因子表现监控 以沪深 300 指数为选股空间。最近一周，标准化预期外盈利、单季超预期幅 度、DELTAROE 等因子表现较好，而股息率、一个月反转、一个月换手等 因子表现较差。 以中证 500 指数为选股空间。最近一周，单季营收同比增速、特异度、预期 净利润环比等因子表现较好，而三个月换手、一个月换手、三个月波动等因 子表现较差。 以中证 1000 指数为选股空间。最近一周，非流动性冲击、一个月换手、三 个月换手等因子表现较好，而单季营利同比增速、SPTTM、BP 等因子表现 较差。 以中证 A500 指数为选股空间。最近一周，3 个月盈利上下调、标准化预期 外收入、特异度等因子表现较好，而非流动性冲击、一个月换手、一个月反 转等因子表现较差。 以公募重仓指数为选股空间。最近一周，一年动量、DELTAROA、3 个月盈 利上下调等因子表现较好，而三个月换手、一个月换手、股息率等因子表现 较差。 公募基金指数增强产品表现跟踪 目前，公募基金沪深 300 ...