Quantitative Models and Construction Methods - **Model Name**: Maximized Factor Exposure (MFE) Portfolio **Model Construction Idea**: The MFE portfolio aims to maximize the exposure of a single factor while controlling for constraints such as industry exposure, style exposure, stock weight deviation, and turnover rate. This approach evaluates the effectiveness of factors under realistic constraints in enhanced index portfolios [56][57][59] **Model Construction Process**: The optimization model is formulated as follows: $ \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} \\ & 0\leq w\leq l \\ & 1^{T}w=1 \\ & \Sigma|w-w_{0}|\leq to_{h} \end{array} $ - **Objective Function**: Maximize single-factor exposure, where \( f \) represents factor values, and \( w \) is the stock weight vector - **Constraints**: 1. Style exposure deviation (\( X \)): \( s_{l} \) and \( s_{h} \) are the lower and upper bounds for style factor deviation 2. Industry exposure deviation (\( H \)): \( h_{l} \) and \( h_{h} \) are the lower and upper bounds for industry deviation 3. Stock weight deviation (\( w_{l} \) and \( w_{h} \)): Limits on individual stock weight deviation relative to the benchmark 4. Component weight limits (\( b_{l} \) and \( b_{h} \)): Constraints on the weight of benchmark components 5. No short selling and upper limits on stock weights 6. Full investment constraint: \( 1^{T}w=1 \) 7. Turnover constraint: \( \Sigma|w-w_{0}|\leq to_{h} \), where \( w_{0} \) is the previous period's weight [56][57][59] **Model Evaluation**: The model effectively balances factor exposure and practical constraints, ensuring stable returns and avoiding excessive concentration in specific stocks [60] --- Quantitative Factors and Construction Methods - **Factor Name**: Six-Month UMR **Factor Construction Idea**: The six-month UMR factor measures risk-adjusted momentum over a six-month window, capturing medium-term momentum trends [19][8][44] **Factor Construction Process**: - The UMR (Up-Minus-Down Ratio) is calculated as the ratio of upward movements to downward movements in stock prices over a specified period - The six-month UMR specifically uses a six-month window to compute this ratio, adjusted for risk [19][8][44] **Factor Evaluation**: This factor demonstrates strong performance in various index spaces, particularly in the CSI 500 and CSI All Share indices, indicating its effectiveness in capturing medium-term momentum [8][44] - **Factor Name**: Three-Month UMR **Factor Construction Idea**: Similar to the six-month UMR, this factor focuses on shorter-term momentum trends over a three-month window [19][8][44] **Factor Construction Process**: - The three-month UMR is calculated using the same methodology as the six-month UMR but with a three-month window for data aggregation [19][8][44] **Factor Evaluation**: This factor shows consistent performance across multiple indices, including the CSI 500 and CSI All Share indices, making it a reliable short-term momentum indicator [8][44] - **Factor Name**: Pre-Tax Earnings to Total Market Value (EPTTM) **Factor Construction Idea**: This valuation factor evaluates the earnings yield of a stock, providing insights into its relative valuation [19][8][44] **Factor Construction Process**: - EPTTM is calculated as the ratio of pre-tax earnings to the total market value of a stock, with adjustments for rolling time windows (e.g., one year) [19][8][44] **Factor Evaluation**: EPTTM consistently ranks among the top-performing valuation factors, particularly in the CSI 300 and CSI 800 indices, reflecting its robustness in identifying undervalued stocks [8][44] --- Backtesting Results of Models - **MFE Portfolio**: - The MFE portfolio demonstrates strong performance under various constraints, with backtesting results showing significant alpha generation relative to benchmarks like CSI 300, CSI 500, and CSI 1000 [60][61] --- Backtesting Results of Factors - **Six-Month UMR**: - CSI 500: Weekly return of 0.99%, monthly return of 1.65%, annualized return of -4.07% [26] - CSI All Share: Weekly return of 1.23%, monthly return of 1.59%, annualized return of 7.43% [44] - **Three-Month UMR**: - CSI 500: Weekly return of 0.94%, monthly return of 1.31%, annualized return of 0.68% [26] - CSI All Share: Weekly return of 1.02%, monthly return of 1.63%, annualized return of 5.64% [44] - **EPTTM**: - CSI 300: Weekly return of 0.74%, monthly return of 1.42%, annualized return of 3.89% [22] - CSI 800: Weekly return of 1.00%, monthly return of 1.91%, annualized return of 2.87% [30]

近年来，随着市场环境的不断变化和投资者需求的日益多样化，公募基金行业积极探索创新投资模式， 公募量化投资作为一种把传统投资和量化技术结合起来的投资方式，逐渐成为市场的新焦点，为投资者 提供了全新的选择和机遇。 各家公募机构纷纷布局，积极推出自己的量化产品。对此，记者专访了东兴基金量化投资业务负责人李 兵伟。作为一名拥有14年量化从业经验的资深老将，李兵伟凭借其深厚的专业积累，实现了超额收益的 稳定获取。 坚持量化投资初衷 李兵伟从业经验丰富，先后在信达证券（601059）研究开发中心、资产管理部以及东兴证券基金业务 部、东兴基金从事权益研究与投资工作。在多年的投资实践中，李兵伟形成了对权益产品及绝对收益产 品管理较为成熟的体系。他注重平衡型配置，立足基本面量化，深入挖掘具有长期投资价值的优质标 的。 截至今年一季度末，李兵伟管理的东兴兴晟混合、东兴宸祥量化混合自成立以来的收益率分别为 15.82%、10.72%，对标指数累计超额收益率分别达28.36%、22.05%。 近年来，国内指数化投资快速发展，指数增强基金吸引了越来越多投资者的关注，东兴基金也有竞逐这 一产品赛道之意。 "未来我们判断这一趋势会继续向纵 ...

Core Viewpoint - Index rebalancing is a process that ensures the vitality of indices by removing stocks that do not meet criteria and adding new ones, which can lead to changes in stock valuations and investor strategies [3][5][6]. Group 1: Index Rebalancing Process - Index rebalancing is akin to a metabolic process, ensuring that indices remain representative and investable [4]. - There are two main types of index rebalancing: temporary adjustments due to special events and regular adjustments based on sample stability [7][9]. - Regular rebalancing occurs at different frequencies, such as quarterly, semi-annually, or annually, depending on the index [14][15]. Group 2: Impact on Valuations - The recent rebalancing on June 13 affected various indices, with changes in the number of stocks and their average price-to-earnings (P/E) and price-to-book (P/B) ratios [20][18]. - For instance, the Shanghai-Shenzhen 300 Index saw a decrease in P/E and a slight increase in P/B after adjusting 7 stocks [23]. - The CSI 500 Index experienced an increase in both P/E and P/B after replacing 50 stocks [24]. Group 3: Strategy Indices - Strategy indices, such as the CSI A500 and value strategies, often see different valuation impacts compared to market-cap weighted indices [30][32]. - The CSI A500 Index's recent rebalancing led to a decrease in P/E and a slight increase in P/B [31]. - The 300 Value Index typically sees a decrease in valuation metrics due to its focus on low P/E and P/B stocks [32]. Group 4: Market Behavior and Investor Strategies - Market-cap weighted indices can lead to a "buy high, sell low" scenario, as stocks that rise in value are included while those that fall are excluded [43]. - This phenomenon has historical precedence in markets like the U.S. during the tech bubble, where high-flying stocks were included in indices, leading to greater declines when the bubble burst [45]. - To mitigate these effects, investors may consider strategy indices that do not rely on market capitalization, thus avoiding the pitfalls of chasing high valuations [47][51].

Group 1 - The issuance of index-enhanced funds has surged this year, with 59 funds established, raising a total of 305.05 billion yuan, a 17-fold increase compared to last year's 11 funds that raised 130.54 billion yuan [1] - Public funds have actively participated in A-share private placements, with nearly 10 billion yuan invested, and over 80% of institutions reporting positive returns [1] - The number of low-fee funds has exceeded 1,000 for the first time, with several funds reducing management fees to as low as 0.15% [2] Group 2 - Several banks have reduced the interest rates on large certificates of deposit, with some rates now in the "1-digit" range, primarily due to pressure on net interest margins [3] - The active user base of securities apps reached 167 million in April, a 14.29% year-on-year increase, as brokerages enhance their digital services [4] - The restructuring of state-owned enterprises in the automotive sector is underway, with a focus on increasing industry concentration and competitiveness [4] Group 3 - China's direct investment in the EU and the UK has increased by 47% year-on-year, reaching 10 billion euros, driven by significant investments in electric vehicles and battery projects [5] - The commercial rollout of 5G-A networks has been completed, covering over 300 cities, presenting significant investment opportunities in the telecommunications sector [5] - A new brain-machine interface robot has been developed, enhancing the precision of electrode implantation for neuroscience research [6] Group 4 - OpenAI is acquiring the AI company io for approximately $6.5 billion, aiming to enhance its hardware capabilities with a team of 55 engineers [6] - Elon Musk predicts that the current chip supply constraints for AI will shift to a shortage of power generation capacity by mid-2026 [7] - Nvidia's CEO stated that U.S. export controls on AI chips to China have failed, resulting in significant sales losses for American companies [7] Group 5 - China Merchants Bank plans to exit a trust product with a value of 1.56 billion yuan at a 5% loss for investors if approved [8] - Vanke has signed a borrowing agreement with Shenzhen Metro Group for 4.2 billion yuan, using up to 6 billion yuan in stock as collateral [9] - AVIC Capital's stock will be delisted on May 27, 2025, following a decision by the Shanghai Stock Exchange [10] - Guokai Microelectronics is planning a major asset restructuring, leading to a temporary suspension of its stock [11]

Group 1 - Vanguard Fund announced Wang Chongkun as the new chairman on May 16, 2025, with a diverse background in banking and asset management [1] Group 2 - Xinhua Fund invested 10 million yuan in its own equity fund, reflecting confidence in the long-term health of the capital market, with total self-purchases by fund managers reaching 2.038 billion yuan this year [2] Group 3 - The first batch of innovative floating fee rate products based on performance benchmarks has been submitted, with 26 fund managers participating, indicating strong management capabilities across the board [3] Group 4 - The number of newly issued index-enhanced funds has surged over five times year-on-year, with 63 funds launched this year compared to 10 last year [4] Group 5 - Several pharmaceutical funds have seen net value increases exceeding 30% this year, driven by a strong rebound in the pharmaceutical sector [5] Group 6 - Wan Minyuan, a well-known fund manager, expressed optimism about the pharmaceutical sector in 2025, citing the potential for recovery in both fundamentals and policies after a prolonged adjustment period [7]

Group 1 - The issuance of equity funds is accelerating, with an average of less than half a month for a product to complete the fundraising to establishment process [1] - As of May 19, 2023, at least 23 new products are expected to be launched this week, with 16 being equity products, accounting for approximately 70% of the total [1] - The average subscription period for these equity products is 12.56 days, indicating strong market interest [1] Group 2 - The recent issuance includes 14 stock-type funds, all of which are index or enhanced index funds, reflecting a strong demand for low-cost, high-transparency passive investment tools [2] - The China Securities Regulatory Commission has introduced a plan to enhance the scale and proportion of equity investments in public funds, optimizing the registration process for equity funds [2] - As of May 19, 2023, 345 equity funds have been established this year, representing a year-on-year increase of 30.19% [2] Group 3 - The structural characteristics of the market reflect a recovery in market confidence and the penetration of passive investment concepts in asset allocation [3] - Current policies, upgraded demand, and product innovation are creating a favorable ecosystem for the development of equity funds, particularly index-based tools [3]

Core Insights - Index-enhanced funds have shown strong performance, with an average excess return of 2.56% over the past year, and over 70% of these funds achieving positive excess returns [1][2] - The launch of the Guotou Ruijin CSI A500 Index Enhanced Securities Investment Fund is set for May 12, providing investors with a new tool for low-positioning core assets [1][4] Group 1: Performance and Strategy - The unique feature of index-enhanced funds is their pursuit of stable excess returns, differentiating them from traditional index funds and active funds [2][3] - The methodology for achieving index enhancement involves two key aspects: "seeking victory" through quantitative methods for stock selection and weight adjustment, and "seeking stability" through risk control measures [3][4] Group 2: Market Context and Opportunities - The current macroeconomic environment in China is favorable for core assets, with the CSI A500 Index reflecting the performance of leading companies and benefiting from economic recovery [5][6] - The CSI A500 Index is well-suited for index enhancement strategies due to its broad composition of 500 stocks, allowing for effective quantitative strategy implementation [7][9] Group 3: Team and Management - The Guotou Ruijin quantitative investment team has a strong track record, with team members possessing extensive experience and advanced degrees, enhancing the fund's management capabilities [11][12] - The fund manager, Yin Ruifei, has a proven history of delivering significant excess returns, with the CSI 500 Index Quantitative Fund achieving a 93.38% excess return since its inception [11][12]

Core Viewpoint - The article emphasizes the importance of strategic asset allocation for families to optimize their wealth management and investment returns [1] Group 1: Industry Insights - The current market environment presents both challenges and opportunities for investors, particularly in the context of rising interest rates and inflation [1] - Diversification across various asset classes is highlighted as a key strategy to mitigate risks and enhance returns [1] Group 2: Company Analysis - Specific companies within the financial services sector are noted for their innovative approaches to asset management, which could provide competitive advantages [1] - The article discusses the performance metrics of leading firms, indicating a trend towards increased profitability and market share in the asset management space [1]

点评：分析人士认为，以社保基金等为代表的中长期资金持续加大入市力度，市场内在稳定性将不断提 升，2025年会有更多的增量资金进入A股市场。 事关降息，美联储官员深夜发声！ 特朗普考虑对华关税分级方案 关税降至35%引发关注 美方高级官员透露，特朗普政府正考虑多种方案。第一种方案，对中国商品征收的关税税率可能降至大 约50%-65%。第二种方案则被称为"分级方案"，美方将把进口自中国的商品分为所谓"对美国国家安全 不构成威胁"和所谓"对美国国家利益具有战略意义"的商品。 点评：美媒称，在"分级方案"里，美方将对前一类商品征收35%的关税，对第二类商品的关税税率至少 为100%。白宫新闻秘书莱维特称，特朗普在对华关税问题上的立场"没有软化"。 央行连续两个月加量续作MLF 加大向市场注入中期流动性 4月24日，中国人民银行发布公告称，为保持银行体系流动性充裕，2025年4月25日（周五），将以固定 数量、利率招标、多重价位中标方式开展6000亿元MLF（中期借贷便利）操作，期限为1年期。鉴于本 月MLF到期量为1000亿元，故央行MLF口径将实现净投放5000亿元。这也将是央行连续第二个月加量 续作MLF。3月份 ...

Report Industry Investment Rating - Not provided in the content Core Views - Last week, the performance of major broad-based indices in the A-share market diverged. The Shanghai Composite Index, CSI 300, and STAR 50 Index had relatively high returns of 1.19%, 0.59%, and -0.31% respectively, while the Small and Medium-Sized Board Index, ChiNext Index, and Shenzhen Component Index had relatively low returns of -1.15%, -0.64%, and -0.54% respectively [1]. - The trading volumes of major broad-based indices decreased last week. In the banking, real estate, and coal sectors, the returns were relatively high at 4.23%, 3.78%, and 2.62% respectively, while in the national defense and military industry, agriculture, forestry, animal husbandry, and fishery, and computer sectors, the returns were relatively low at -2.73%, -2.03%, and -0.98% respectively [1]. - As of last Friday, the central bank's net repurchase investment was 333.8 billion yuan, with 474.2 billion yuan of repurchases maturing, and a net open market investment of 808 billion yuan. The yields of 1-year, 3-year, and 5-year treasury bonds all increased, and the yield spread narrowed by 3.97 BP [1]. - Last week, 44 funds were reported, a decrease from the previous week. The reported products included 1 QDII, 4 FOFs, and others such as the China Merchants Shekou Commercial REIT and Huatai-PineBridge CSI Science and Technology Innovation 50 ETF [2]. - Recently, Yongying Fund, E Fund, Yin Hua Fund, and Harvest Fund applied for the Science and Technology Innovation Comprehensive Index Enhanced Strategy ETF [2]. - On April 18, the CSRC announced the latest list of personal pension funds and personal pension fund sales institutions. As of March 31, 2025, there were 288 personal pension funds and 52 personal pension fund sales institutions [2]. - Last week, the returns of active equity, flexible allocation, and balanced hybrid funds were -0.04%, 0.00%, and 0.00% respectively. This year, alternative funds have performed the best, with a median return of 7.15% [2]. - Last week, the median excess return of index-enhanced funds was 0.30%, and the median return of quantitative hedging funds was 0.07%. This year, the median excess return of index-enhanced funds was 0.96%, and the median return of quantitative hedging funds was 0.31% [3]. - As of the end of last week, there were 240 ordinary FOF funds, 117 target-date funds, and 157 target-risk funds among open-ended public funds. This year, target-risk funds have performed the best, with a cumulative return of -0.17% [3]. - Last week, 25 new funds were established, with a total issuance scale of 20.476 billion yuan, an increase from the previous week. In addition, 34 funds started their first issuance last week, and 27 funds will start issuing this week [3]. Summary by Relevant Catalogs Fund Application and Issuance Dynamics - Last week, 44 funds were reported, a decrease from the previous week. The reported products included 1 QDII, 4 FOFs, and others such as the China Merchants Shekou Commercial REIT and Huatai-PineBridge CSI Science and Technology Innovation 50 ETF [2][10]. - Recently, Yongying Fund, E Fund, Yin Hua Fund, and Harvest Fund applied for the Science and Technology Innovation Comprehensive Index Enhanced Strategy ETF. The Science and Technology Innovation Comprehensive Index, launched in January this year, aims to provide investors with an investment tool to accurately access high-quality science and technology innovation board companies [2][11]. - As of April 17, 2025, the total scale of ETFs exceeded 4 trillion yuan, and the number of products reached 1,135. ETFs are becoming increasingly popular among investors due to their advantages such as convenient trading, low cost, and high transparency [12]. - On April 18, the CSRC announced the latest list of personal pension funds and personal pension fund sales institutions. As of March 31, 2025, there were 288 personal pension funds and 52 personal pension fund sales institutions, including 19 commercial banks, 25 securities companies, and 8 independent fund sales institutions [2][14]. Stock Market - Last week, the performance of major broad-based indices in the A-share market diverged. The Shanghai Composite Index, CSI 300, and STAR 50 Index had relatively high returns, while the Small and Medium-Sized Board Index, ChiNext Index, and Shenzhen Component Index had relatively low returns [1]. - The trading volumes of major broad-based indices decreased last week. In the past 52 weeks, major broad-based indices were in the 45%-60% historical quantile range. On a monthly basis, the average daily trading volumes of major broad-based indices decreased in the past month, and major broad-based indices were in the 60%-90% historical quantile range in the past 36 months [18][19]. - In terms of industries, last week, the banking, real estate, and coal sectors had relatively high returns, while the national defense and military industry, agriculture, forestry, animal husbandry, and fishery, and computer sectors had relatively low returns [23]. Bond Market - As of last Friday, the central bank's net repurchase investment was 333.8 billion yuan, with 474.2 billion yuan of repurchases maturing, and a net open market investment of 808 billion yuan. The 1D pledged repurchase rate increased by 3.80 BP compared to the previous week, and the overnight SHIBOR increased by 5.10 BP [26]. - The yields of 1-year, 3-year, and 5-year treasury bonds all increased, and the yield spread narrowed by 3.97 BP. The yields of 1-year, 3-year, and 5-year credit bonds of different ratings all increased [27]. - In terms of credit spreads, the credit spreads of 1-year and 3-year credit bonds of different ratings decreased, while the credit spreads of 7-year and 10-year credit bonds of different ratings increased [30]. Convertible Bond Market - Last week, the CSI Convertible Bond Index fell 0.58%, with a cumulative trading volume of 263.5 billion yuan, a decrease of 201.9 billion yuan from the previous week. As of last Friday, the median conversion premium rate of the convertible bond market was 35.55%, a decrease of 1.13% from the previous week, and the median pure bond premium rate was 12.41%, a decrease of 0.84% from the previous week [31]. Open-Ended Public Fund Performance - Last week, the returns of active equity, flexible allocation, and balanced hybrid funds were -0.04%, 0.00%, and 0.00% respectively. This year, alternative funds have performed the best, with a median return of 7.15% [34][35]. - Last week, the median excess return of index-enhanced funds was 0.30%, and the median return of quantitative hedging funds was 0.07%. This year, the median excess return of index-enhanced funds was 0.96%, and the median return of quantitative hedging funds was 0.31% [37]. - As of the end of last week, there were 240 ordinary FOF funds, 117 target-date funds, and 157 target-risk funds among open-ended public funds. Last week, a new FOF fund, Qianhai Kaiyuan Kangyue Stable Pension One-Year Holding, was established. This year, target-risk funds have performed the best, with a cumulative return of -0.17% [40]. Fund Manager Changes - Last week, the fund manager situations of 77 fund products of 30 fund companies changed, including ICBC Credit Suisse Fund (10 products), China Merchants Fund (9 products), and Guotai Fund (6 products) [43]. Fund Product Issuance - Last week, 25 new funds were established, with a total issuance scale of 20.476 billion yuan, an increase from the previous week. Among them, equity funds were issued at 6.879 billion yuan, hybrid funds at 2.26 billion yuan, and bond funds at 11.338 billion yuan. There were no new issuances of alternative funds and money market funds [45]. - Last week, 34 funds started their first issuance, and 27 funds will start issuing this week [3][49][52].