Group 1 - Morgan Asset Management launched the first-ever CSI A500 Enhanced Strategy ETF, providing new investment options for investors focusing on core Chinese assets [1][2] - The fundraising amount during the subscription period for the Morgan CSI A500 Enhanced Strategy ETF reached 1.016 billion yuan, with 7,765 effective subscriptions [1] - Morgan Asset Management subscribed to 30 million shares of the ETF using its own funds, accounting for 2.95% of the total fund shares, demonstrating confidence in the Chinese capital market [1] Group 2 - The main sales channels for the Morgan CSI A500 Enhanced Strategy ETF included CITIC Securities and Guotai Junan Securities, with nearly 260 training roadshows conducted to promote the product [2] - The CSI A500 index is viewed as a new benchmark for A-shares, offering long-term allocation value and a balanced industry distribution, making it an ideal target for enhanced strategies [2][3] - The launch of the Morgan CSI A500 Enhanced Strategy ETF is part of a broader trend, with multiple public institutions actively participating in the CSI A500 index product layout, indicating strong market interest [3]

Core Viewpoint - Hai Fu Tong Fund has announced changes in fund management, appointing Lin Lihe as the new fund manager for "Hai Fu Tong Xin Xiang Mixed" and co-manager for "Hai Fu Tong An Yi Hedge" alongside current manager Zhu Binquan [1][12]. Group 1: Fund Manager Profile - Lin Lihe holds a master's degree in quantitative finance and risk management from the University of Michigan and has previously worked in quantitative risk management at China Europe Fund [1]. - Since joining Hai Fu Tong Fund in August 2020, Lin has managed a total of 8 products with a combined management scale of 5.254 billion yuan [1][3]. Group 2: Fund Performance - Under Lin's management, the scale of the "Hai Fu Tong Hu Shen 300 Index Enhancement" fund has increased significantly from 268 million yuan to 5.254 billion yuan, a growth of 19.6 times [3][5]. - The "Hai Fu Tong Hu Shen 300 Index Enhancement" fund achieved a cumulative return of 30.31% since Lin took over, with a notable annual return of 22.20% in 2024, outperforming its benchmark by 8.16 percentage points [7][9]. Group 3: Fund Management Strategy - The rapid growth in management scale is attributed to the strong performance of the "Hai Fu Tong Hu Shen 300 Index Enhancement" fund, which accounted for 90.75% of Lin's total management scale as of June 30, 2025 [5][9]. - Lin has been appointed as the manager for multiple products across different investment types, including enhanced index, ordinary stock, flexible allocation, and long-short equity funds [12][15]. Group 4: Challenges and Performance of Other Funds - Despite the success with the index enhancement fund, Lin's performance with other fund types has been less impressive, with the "Hai Fu Tong Fu Li Three-Month Holding" fund ranking in the lower half of its category [16]. - The management scale of some funds under Lin's management remains small, with four out of six products having scales below 100 million yuan, indicating a potential challenge in replicating success across different fund types [15][16].

Core Viewpoint - The private equity securities product registration reached a new high in July, driven by the continuous recovery of the A-share market and strong performance of private equity products [2][3]. Group 1: Private Equity Product Registration - In July, a total of 1,298 private equity securities products were registered, marking an 18.00% month-on-month increase and the highest level in nearly 27 months [2][3]. - Year-to-date, 6,759 private equity securities products have been registered, reflecting a year-on-year increase of 61.39% [3]. - Among the registered products in July, stock strategy products accounted for 887, representing 68.34% of the total, with a month-on-month growth of 24.58% [4][5]. Group 2: Performance and Strategy Insights - Quantitative products have seen significant growth, with 3,081 registered this year, making up 45.58% of the total, and a year-on-year increase of 77.68% [3]. - In July, 620 quantitative private equity products were registered, accounting for 47.77% of the total, with a month-on-month increase of 19.00% [5]. - The index enhancement products within the quantitative category saw a substantial increase, with 321 registered in July, representing 67.15% of the total quantitative products and a month-on-month growth of 52.13% [5]. Group 3: Market Dynamics and Investor Sentiment - The A-share market's upward trend, with the Shanghai Composite Index surpassing the 3,600-point mark, has boosted investor confidence and participation [3][6]. - Nearly 90% of private equity securities products with performance records achieved positive returns as of July 25, with an average return rate of 12.8% [9]. - The private equity industry is experiencing an optimization in supply, with top-tier institutions and quality products emerging, enhancing overall competitiveness and attracting more capital [6][7].

Core Insights - The report emphasizes the development of a deep learning factor selection system for stock prediction and portfolio optimization, shifting from traditional logic-driven methods to data-driven approaches [7][10]. - The system integrates diverse data sources, including daily and minute market data, to enhance the performance of alpha signals [7][10]. - The report outlines the construction of multiple models that utilize different network architectures to extract unique alpha signals, demonstrating low correlation among them [8][54]. Data and Network - The input data consists of three categories: daily market data, minute market data, and manually crafted features, with neural networks independently extracting alpha features from each dataset [11]. - The report describes the use of Long Short-Term Memory (LSTM) networks combined with self-attention mechanisms to capture long-term dependencies in time series data [19]. - A Graph Attention Network (GAT) is employed to model the complex relationships between stocks, providing a global analysis perspective [20]. Alpha Models - The report presents various alpha models, including simple equal-weight, tree model weighting, and network weighting, with a focus on combining multiple signals to enhance robustness [3][3.1][3.2]. - The average Information Coefficient (IC) for the combined factors since 2019 is reported as 11.3% for 5-day IC and 12.4% for 10-day IC, indicating strong predictive power [31][32]. Risk Models - The report highlights the use of neural networks to identify high-dimensional non-linear risk patterns directly from raw price and volume data, enhancing risk control in portfolio construction [9]. Index Enhancement Strategies - The report details the performance of enhanced index strategies based on deep learning alpha signals, with annualized returns reported as follows: - CSI 300 enhanced portfolio: 18.2% annualized return, 14.2% excess return over the index [3][5.1]. - CSI 500 enhanced portfolio: 22.4% annualized return, 17.2% excess return over the index [3][5.2]. - CSI 1000 enhanced portfolio: 29.8% annualized return, 24.5% excess return over the index [3][5.3].

Core Viewpoint - The report demonstrates the effectiveness of deep learning models, specifically GRU and TCN, in stock selection, with GRU showing slightly better performance than TCN+GRU and TCN. The 10-day return prediction model outperforms the 5-day model. The deep learning factors are highly correlated with low volatility and low liquidity factors, indicating potential investment strategies [1][2]. Group 1: Model Performance - The GRU model is confirmed to be effective, with advantages in prediction accuracy and training speed, making it widely used in the industry [1]. - The TCN model, based on CNN architecture, effectively captures long-term dependencies in time series data through causal convolution and residual connections [1]. - The annualized excess returns since 2017 for various indices are as follows: - CSI 300: 11.8% - CSI 500: 13.6% - CSI 1000: 21.7% - CSI 2000: 27.1% The current year's excess returns are -0.4%, 2.7%, 9.9%, and 9.3% respectively [1][3]. Group 2: Single Factor Stock Selection - The single-factor stock selection shows better performance in small and mid-cap stock pools (CSI 1000, CSI 2000), with minimal impact from market capitalization and industry neutrality [2]. - The original factor values in CSI 300 outperform the market capitalization and industry-neutralized factor values, indicating that deep learning factors capture style and industry rotation patterns [2]. Group 3: Composite Factor Stock Selection - Composite factors, when equally weighted, outperform single factors, and the report outlines the construction of index-enhanced strategies with specific constraints on stock turnover and market exposure [3]. - The maximum drawdown for the CSI 300 index-enhanced strategy since January 2017 is -6.0%, with a current year excess return of -0.4% [3]. - Allowing for slight market and industry exposure results in annualized excess returns of 8.8% for CSI 300 and 14.6% for CSI 500, with current year excess returns of -1.7% and 5.2% respectively [3].

Core Viewpoint - The expansion of personal pension index fund Y shares marks a significant development in the investment landscape, with an increase in the number of available funds and a growing interest in index-enhanced products as a key component of pension asset allocation [1][2][5]. Group 1: Fund Expansion and Market Dynamics - On July 28, Huaxia Fund announced the addition of Y shares for its Huaxia ChiNext ETF linked fund to meet the investment needs of personal pension investors, effective from July 31 [1]. - Following this, four index-enhanced funds also announced the establishment of their Y shares, bringing the total number of index funds available for personal pensions to 90, with the overall number of personal pension Y share funds exceeding 300 for the first time [2]. - The approval of new Y shares for index-enhanced funds indicates a growing trend in the market, with more products expected to be submitted for inclusion in the personal pension product directory [3]. Group 2: Fund Management and Performance - Both Guotai Haitong Asset Management and Bodao Fund have introduced their first index-enhanced personal pension funds, showcasing their unique strategies in the competitive landscape [3][4]. - As of July 29, the total number of index-enhanced funds in the market reached 760, with a combined scale of 222.16 billion yuan, highlighting the increasing popularity of these products [4]. - The average annual return for 20 index-enhanced Y shares in the first half of 2025 was 10%, outperforming their performance benchmark by 3.2% [8]. Group 3: Investment Strategy and Market Outlook - Index-enhanced products are becoming a favored choice for pension allocation, as they provide a means to combat inflation and capitalize on economic growth [5]. - The core logic of index-enhanced products is to optimize stock structure to achieve excess returns while adhering to index styles, which is particularly relevant in the current market environment characterized by liquidity-driven growth and structural rotation [6][7]. - The average return of personal pension funds established before 2025 was 6.98%, with Y share index funds achieving an average return of 8.32%, indicating strong performance in the pension fund sector [6].

Group 1 - The core viewpoint of the article is to track the performance of various index enhancement portfolios and the factors influencing stock selection across different indices, highlighting the excess returns achieved by these portfolios [1][2][3]. Group 2 - The performance of the HuShen 300 index enhancement portfolio this week showed an excess return of 0.78%, with a year-to-date excess return of 9.31% [5]. - The performance of the Zhongzheng 500 index enhancement portfolio this week showed an excess return of -0.52%, with a year-to-date excess return of 9.90% [5]. - The Zhongzheng 1000 index enhancement portfolio had an excess return of 0.07% this week, with a year-to-date excess return of 15.69% [5]. - The Zhongzheng A500 index enhancement portfolio reported an excess return of 0.26% this week, with a year-to-date excess return of 9.96% [5]. Group 3 - In the HuShen 300 component stocks, factors such as specificity, EPTTM one-year quantile, and quarterly net profit year-on-year growth performed well [8]. - In the Zhongzheng 500 component stocks, factors like three-month volatility, EPTTM one-year quantile, and expected BP showed good performance [8]. - For Zhongzheng 1000 component stocks, factors such as three-month institutional coverage, three-month reversal, and expected BP performed well [8]. - In the Zhongzheng A500 index component stocks, factors like specificity, three-month reversal, and expected net profit month-on-month growth performed well [8]. Group 4 - The HuShen 300 index enhancement products had a maximum excess return of 1.28%, a minimum of -0.98%, and a median of 0.12% this week [21]. - The Zhongzheng 500 index enhancement products had a maximum excess return of 1.41%, a minimum of -1.31%, and a median of 0.04% this week [21]. - The Zhongzheng 1000 index enhancement products had a maximum excess return of 0.82%, a minimum of -0.47%, and a median of 0.15% this week [21]. - The Zhongzheng A500 index enhancement products had a maximum excess return of 1.16%, a minimum of -0.57%, and a median of -0.04% this week [21].

Core Viewpoint - The A-share market has attracted significant attention due to its strong performance, with the Shanghai Composite Index breaking through key levels, leading to discussions about market entry and potential risks of "catching the falling knife" [2] Group 1: Market Performance and Strategy - The Shanghai Composite Index successfully broke through 3500 points on July 9 and again surpassed 3600 points on July 23, indicating a strong market trend [2] - Quantitative long strategies have shown impressive results in the first half of the year, with an average return of 17.32% for quantitative long strategies, leading among 16 secondary strategies [3] - The average return for the small-cap index enhancement strategy, represented by the CSI 1000 index, reached 20.26%, making it one of the top-performing products [2][3] Group 2: Expert Insights on Investment Strategies - Experts from 15 well-known private equity firms provided insights on whether to invest in quantitative index enhancement products at the current market levels [2] - Montrose Investment believes that the small-cap index enhancement configuration window is still open but requires more refined factor design and position optimization [5] - Inno Asset suggests that the second half of the year may bring new opportunities for factor exploration and strategy adjustment due to a stable macroeconomic environment [10] Group 3: Factors Driving Performance - The strong performance of quantitative index enhancement strategies in the first half of the year is attributed to three main factors: improved beta environment, significant small-cap style rotation, and enhanced effectiveness of quantitative model factors [6] - The market environment remains resilient, but challenges related to style switching and volatility are anticipated [7] - The long-term advantages of quantitative index enhancement strategies lie in their risk control and portfolio optimization capabilities, allowing for dynamic adjustments to factor structures and risk exposures [7] Group 4: Future Market Outlook - The market is expected to transition from a phase of valuation recovery to one emphasizing profit realization, with increased uncertainty in style switching [12] - Despite potential challenges, the long-term configuration logic for quantitative index enhancement remains unchanged, supported by ample liquidity and policy backing [39] - The competitive landscape for quantitative private equity is likely to show a trend of polarization, with leading firms solidifying their positions while smaller firms seek differentiation [9][19]

Core Insights - The A-share market exhibited significant structural characteristics in the first half of 2025, with index-enhanced private equity products delivering impressive returns, averaging 17.32% in yield and 14.17% in excess returns [1] - The performance disparity among private equity firms is notable, with larger firms (over 5 billion yuan) showing superior results compared to medium and small firms [1][2] Performance Analysis - Large private equity firms achieved an average yield of 18.30% and an excess return rate of 14.51%, with 99.25% of their products outperforming benchmark indices [1] - Medium-sized private equity firms (20 billion to 50 billion yuan) had an average yield of 17.30% and an excess return rate of 14.37%, with 96.71% of products outperforming [1] - Small private equity firms (under 10 billion yuan) saw a decline in average yield to 16.41% and an excess return rate of 13.75% [1] Market Trends - The small-cap style dominated the market, significantly boosting the performance of related index-enhanced products, with small-cap index products achieving an average yield of 20.84% [2] - The CSI 1000 index-enhanced products led the performance with an average yield of 20.26%, while the CSI 500 index-enhanced products yielded 15.31% [2] - The CSI 300 index-enhanced products lagged with an average yield of 6.31% and an excess return rate of 6.28% [2] Investment Strategy Insights - The market environment, characterized by high trading volumes and increased volatility, has created favorable conditions for index-enhanced strategies [2] - The relaxation of regulations on mergers and acquisitions has boosted market confidence and liquidity, benefiting quantitative strategies [2] - The focus on small-cap stocks is expected to continue, with potential opportunities in undervalued mid and large-cap stocks as the market undergoes rebalancing [2]

Group 1 - The report indicates that the small-cap style outperformed last week, with the CSI 2000 index enhancement strategy achieving an excess return of 18.92% year-to-date [1] - The report tracks the performance of public index enhancement funds for major indices, including CSI 300, CSI 500, CSI 1000, and CSI 2000, as of July 11, 2025 [8] - The top three public funds for the CSI 300 index enhancement this year are: Anxin Quantitative Selected CSI 300 Index Enhancement A (003957.OF) with an excess return of 8.86%, Changxin CSI 300 Index Enhancement A (005137.OF) with 5.91%, and Changcheng Jiutai CSI 300 A (200002.OF) with 5.33% [9] Group 2 - For the CSI 500 index enhancement, the top three funds this year are: Zhongou CSI 500 Index Enhancement A (015453.OF) with 9.15%, Penghua CSI 500 Index Enhancement A (014344.OF) with 7.72%, and Baodao CSI 500 Index Enhancement A (006593.OF) with 7.46% [16] - The CSI 1000 index enhancement funds show the best performers as: Guojin CSI 1000 Index Enhancement A (017846.OF) with 13.65%, ICBC Credit Suisse CSI 1000 Index Enhancement A (016942.OF) with 13.62%, and Huitianfu CSI 1000 Index Enhancement A (017953.OF) with 11.89% [22] - The top three funds for the CSI 2000 index enhancement this year are: Huitianfu CSI 2000 Index Enhancement A (019318.OF) with 14.1%, Penghua CSI 2000 Index Enhancement A (017892.OF) with 13.04%, and Tianhong CSI 2000 Index Enhancement A (017547.OF) with 10.94% [27] Group 3 - The report highlights that the excess returns of various factors within the CSI indices are tracked, with significant factors identified for each index [7] - For the CSI 300, the best-performing factors last week were market capitalization, high-frequency minute data, and valuation [34] - In the CSI 500, the top factors were high-frequency minute data, growth, and market capitalization [42]