以下文章来源于领航配置 ，作者莱卡 领航配置 . 应对 > 预测，帮认可分散配置理念的私募投资者做好资产配置。 在上一篇 不靠运气，不赌方向，量化基金到底怎么赚的钱？ 我们介绍了量化股票策略到底是怎 么赚钱的，量化赚钱的方法和主观到底有什么本质区别，这一篇我们再来接着介绍一下如何区分 不同的量化基金、量化策略啥时候失灵、量化策略在组合中的作用。 不同量化 基金 之间的区别？ 知道了量化策略到底是怎么赚钱之后，我们就可以更好地从以下几个维度去拆解一只量化基金： 1）收益来源：赚Beta+Alpha，还是纯Alpha？ 最主流的指增策略，赚的就是Beta+Alpha的钱，基金经理会选定一个市场指数作为基准Beta， 模型会复制指数的大部分成分股进行跟踪，再留出一定的仓位用来增强。 既然有Beta+Alpha，那就会有人想要纯Alpha策略，也就是市场中性。它在指增策略的基础上， 会同时做空等值的股指期货，就像左手买入500指增，右手卖出500期货，把大盘的涨跌对冲 掉，只获得Beta之外的Alpha，这部分收益就不会跟随市场Beta的涨跌而上下起伏，成为一种绝 对收益产品。在这里我们先不对中性策略做过多展开，后面 ...

以下文章来源于阿尔法工场DeepFund ，作者基哥 截至2025年三季度末，全市场指数基金数量达到接近3000只，合计规模达到6.72万亿元（剔除 ETF联接基金）。在ETF爆发式增长的助推下，指数基金继续呈现快速增长态势。今年以来新成 立的ETF数量达到328只，新发规模也突破2500亿元，均创下历史新高。 在快速发展的同时，各家机构却陷入无差异的"发行战、费率战、规模战"循环。背后的原因，主 要是很多机构仅仅将指数产品当做扩张规模的"工具"，而忽视了每个产品对于投资者来说，都是 财富保值增值的媒介。 作为一家具有互联网基因、长期服务最广大多元投资者群体的基金公司，天弘基金深刻理解投资 者的财富保值增值需求，凭借自身技术积淀与客户服务经验，在指数基金赛道实现了从"工具提 供"到"全方位解决方案"的升维突破。 这一突破，恰好切中了当前行业快速发展背后的核心痛点：同质化竞争对基金公司和投资者都会 造成显著的资源浪费与潜在损失，对于基金公司来说，为了争夺市场份额难免会陷入价格战和营 销战，压缩利润空间；对于投资者来说，跟踪同一指数的产品大量涌现，增加了选择的难度。 功守道 阿尔法工场DeepFund . 专注基 ...

近期，鹏华基金旗下指数增强系列产品展现出强劲实力，不仅实现了"大中小盘全盘布局"，为投资者点亮不同市值风格的投资机遇，更在近一年创造 了"全线超额"的出色业绩，多只产品超额收益显著，为持有人带来了丰厚的超额回报。 全市场布局，精准捕捉各类机遇 鹏华指增产品线布局完善，覆盖了从科创、小微盘到大盘的全市场市值风格： 完备的产品矩阵，为投资者提供了在不同市场环境下，一键布局各类风格、捕捉细分机遇的指数增强工具。 | | 全 A | | | 科 创 | | --- | --- | --- | --- | --- | | | 胴生涯 ※300 鵬华沪深300 | | 鹏华中证A500 | 科创50 | | | 指数增强 指数量化增强 | | 指数增强 | 增强ETF | | 大 盘 | A类: 005870 | A类: 023290 | A类: 023339 | 姆 588460 | | | c #: 016690 C类: 023291 | | C类: 023340 | | | | 类: 022824 类: 024158 | | | | | | 鹏华中证500指数墙强 | | | | | | A类: 014344 c类 ...

（来源：中信建投财富管理） 今年以来，A股主要指数表现亮眼，各主要宽基指数出现不同程度上涨，这反映市场风险偏好的提升和结构性机会的活跃。宏观政策面上，"十五五"规划 将科技自立自强置于前列，为科技成长行业提供了坚实的政策支持和发展预期，成长风格有望成为市场主线，当前或是布局长期成长弹性标的的较好时 机。 创业板作为中国资本市场的重要组成部分，近年来逐步发展成为服务成长型创新创业企业的重要平台，支持传统产业与新技术、新产业、新模式深度融 合，其中战略性新兴产业公司占比超较高，指数具有高弹性、高波动的特征，是投资者进行资产配置的重要选项之一。 指数基本情况介绍 指数名称：创业板综合指数 指数代码：399102.SZ 指数简介：创业板综指覆盖创业板全部1300多家上市公司，总市值覆盖率高达98%，新股上市后第11个交易日进入指数,提供对整个创业板市场最全面、 最均衡的代表。 指数基点：1000点 指数基日：2010/5/31 发布日期：2010/08/20 | | 创业板综合指数 | 创业板 | 覆盖率 | | --- | --- | --- | --- | | 个股数 | 1344只 | 1389只 | 96.7 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - Against the backdrop of policies promoting long - term capital entry into the market, the allocation value of CSI 300 is continuously increasing. It combines the representativeness of leading companies with dispersion and stability [2]. - The aggregation of large - scale leading companies and the balanced industry distribution jointly enhance the stability of the index. It presents a configuration pattern of "dual support from valuation and performance" [2]. - CSI 300 index enhancement products are highly mature and have strong adaptability to the market environment. They can achieve continuous and stable excess returns in different market environments [2]. - BOC CSI 300 Index Enhancement focuses on growth and profitability. It has a moderately diversified portfolio, and its factor exposure is centered around growth and profitability, with mild adjustments to other factors [2]. - The industry allocation deviation of the enhancement product continues to converge, and the product shows more stable performance and more resilient relative return ability in different market environments [2]. - The product demonstrates continuous and stable enhancement ability at both annual and monthly levels, with a high winning rate since 2020 [2]. 3. Summary by Directory 3.1 CSI 300 Index Allocation Value Analysis 3.1.1 Long - term Capital and High - quality Assets Resonance - In September 2024, the CSRC proposed to optimize the long - term fund allocation mechanism, guiding medium - and long - term funds to increase their allocation of equity assets. The "dual functions of investment and financing" in the capital market are deepened, which is expected to enhance market resilience and the long - term investment value of high - quality enterprises [7]. - The CSI 300 index represents the core assets of the Chinese economy, covering 62.69% of the total market value of A - shares. It has a wide industry coverage and is highly recognized by institutional investors. As of Q3 2025, the total scale of related ETF products is close to 8 billion [9]. - The index has a large - cap bias, with a high concentration of weight in large - market - cap enterprises. The top ten component stocks have a weight concentration of 22.51%, which combines leading - company dominance with weight balance [13][16]. 3.1.2 Valuation and Profitability - As of November 28, 2025, the PE (TTM) of the CSI 300 index is 13.94, at the 77.55% quantile since 2015. It has a larger valuation increase space compared to other broad - based indexes [19]. - According to Wind's consensus forecast, the overall net profit attributable to the parent company of CSI 300 is expected to maintain a stable growth rate of over 9% from 2025 - 2026, and the operating income is expected to grow by about 4.12% and 6.73% respectively in the next two years [22]. 3.2 CSI 300 Index Enhancement Fund Investment Value and Strategy Analysis 3.2.1 Product Development - The CSI 300 index enhancement products have a long history and rich practical experience. The first CSI 300 index enhancement fund was established in 2009 [27]. - Currently, CSI 300 index enhancement products are the largest in scale among index enhancement products. In the past 12 months, 46 new products were established, and the total scale of 43 products announced in Q3 2025 reached 621.6 million yuan. As of Q3 2025, the total scale of CSI 300 index enhancement products was 7.9506 billion yuan, ranking first among broad - based enhancement product systems [28]. 3.2.2 Historical Performance - Since 2016, the equal - weighted portfolio of CSI 300 index enhancement products has been able to achieve continuous excess returns. It has strong adaptability in different market environments [31]. 3.3 BOC CSI 300 Index Enhancement Product Feature Analysis 3.3.1 Positioning Features - The individual stock positions of BOC CSI 300 Index Enhancement are relatively diversified, with the top ten holdings accounting for mostly between 20% and 30%, and the top thirty holdings accounting for less than 50% in most periods [38]. - The current turnover rate of the product is moderate, with a relatively stable change. The turnover rate in 2024 was relatively low, and it rose to 314.47% in the first half of 2025 [40]. - The product's market - value structure is consistent with that of CSI 300, mainly focusing on medium - and large - market - cap companies. It makes mild weight adjustments to pursue excess returns [41]. - The factor exposure of the product is centered around growth and profitability, with mild adjustments to volatility, momentum, and reversal factors according to market conditions [44][46]. 3.3.2 Industry Exposure - The industry allocation of the product shows a trend of stable convergence, with a low - volatility and orderly structure. The overall deviation has been continuously narrowing in the past two years, and the over - and under - allocation of different industries changes moderately [49]. - The number of stocks held by the product has increased steadily, from 197 at the end of 2022 to 256 in the middle of 2025. It is lower than the industry average, which helps control portfolio concentration [54]. 3.3.3 Performance - Since its establishment, BOC CSI 300 Index Enhancement has contributed positive excess returns relative to the CSI 300 index, and the excess returns have become more stable over time [56]. - In 2025, the product's return rate reached 17.53%, continuously outperforming the CSI 300 index. The Calmar ratio reached 1.99, indicating good balance between enhancement effect and risk control [61]. 3.3.4 Stable Enhancement Returns - The product has a high winning rate at both annual and monthly levels. The annual winning rate is 85.71%. It can amplify advantages in the upward phase and remain stable in the shock or downward phase [66]. 3.3.5 Product Feature Summary - The product has a stable and diversified portfolio, with a moderate turnover rate. - The core factor exposure is clear, centered around growth and profitability, with adjustments to other factors according to the market. - The industry allocation is stable and orderly, with a gradually converging deviation. - The performance is stable and sustainable, with a high probability of outperforming the index annually. - The overall style is clear and controllable, maintaining a neutral level for market - value, dividend, and valuation factors, and achieving stable enhancement and sustainable excess returns [68].

Core Insights - The article discusses the growing interest in personal pension contributions as the deadline approaches, highlighting the introduction of index-enhanced funds into the pension investment basket starting from the end of 2024 [1][2] - Index-enhanced funds are presented as suitable options for long-term pension investments due to their clear investment style and potential for compounded returns [1][2] Group 1: Why Index-Enhanced Funds are Suitable for Pension Investments - Index-enhanced funds maintain a clear investment style, which helps investors hold onto their investments for the long term [1] - These funds aim for enhanced returns beyond merely tracking an index, making them well-suited for the long investment horizon typical of personal pensions [2] Group 2: Performance of Index-Enhanced Funds - The BoDao CSI 500 Enhanced Fund has outperformed the CSI 500 index since its inception, with a cumulative net value increase of 177.53% compared to a benchmark of 75.74%, resulting in an excess return of 101.79% as of September 2023 [3] - The BoDao CSI 300 Enhanced Fund has also consistently outperformed the CSI 300 index since its inception, demonstrating similar performance trends [4][5] - As of October 2023, both index-enhanced funds have continued to exceed their benchmark indices, with returns of 34.21% and 21.31% respectively, compared to their benchmarks of 26.59% and 17.04% [6] Group 3: Suitable Investor Profiles for Index-Enhanced Y Shares - Younger investors, particularly those in their middle years, are ideal candidates for these funds due to their longer investment horizons, which allow for the compounding effect to take hold [8] - Investors looking for a solid equity base in their pension portfolios can benefit from the broad market representation of these index-enhanced funds, which aim to provide both stability and potential for excess returns [9] - Investors who prefer transparent investment strategies over those reliant on individual fund manager discretion may find index-enhanced funds appealing due to their clear rules and transparent holdings [10]

Wind数据显示，2025年以来，公募行业共新成立166只指数增强基金，合计新发规模超910亿元，两项数据均超越过去三年指增产品的新发总 和。 由于基金管理人的积淀差异，指增产品布局的"进度条"已然形成梯度：部分头部机构指增产品线已形成对主流指数的全覆盖；部分中游机构 刚开始发力布局；还有部分小型机构今年初步试水，成立公司旗下首只指增产品。 此外，公募行业今年不断拓展视野，在指增产品方面纳入更多"新鲜"标的指数，诞生了诸多"首只"产品。比如，华夏上证综合全收益指数增 强、建信中证A股指数增强以及涵盖港股的兴全中证沪港深500指数增强、兴全中证沪港深300指数增强、国联中证港股通综合指数增强等， 都是全市场首只跟踪对应标的指数的指增产品。 指增产品爆发式增长 今年5月，证监会发布《推动公募基金高质量发展行动方案》，着重强化了业绩比较基准的约束作用，无论是绩效考核、分类评价还是薪酬管 理等，都将围绕业绩比较基准这一锚点展开相关工作。 监管导向已经明显传导到产品端。今年以来，紧密跟踪标的指数且力争在此基础上做出超额收益的指数增强产品，成为公募机构争相布局的 重点品种。 Wind数据显示，截至12月9日，今年以来新成 ...

数据显示，2025年以来，公募行业共新成立166只指数增强基金，合计新发规模超910亿元，两项数据均超越过去三年指增产品的新发总和。 由于基金管理人的积淀差异，指增产品布局的"进度条"已然形成梯度：部分头部机构指增产品线已形成对主流指数的全覆盖；部分中游机构 刚开始发力布局；还有部分小型机构今年初步试水，成立公司旗下首只指增产品。 指增产品爆发式增长 今年5月，证监会发布《推动公募基金高质量发展行动方案》，着重强化了业绩比较基准的约束作用，无论是绩效考核、分类评价还是薪酬管 理等，都将围绕业绩比较基准这一锚点展开相关工作。 监管导向已经明显传导到产品端。今年以来，紧密跟踪标的指数且力争在此基础上做出超额收益的指数增强产品，成为公募机构争相布局的 重点品种。 数据显示，截至12月9日，今年以来新成立的指增产品达166只，合计新发规模突破910亿元，两项数据均超越过去三年（2022年至2024年）指 增产品的新发总和，指数增强基金在2025年迎来爆发式增长。 指增业务呈现"梯度"发展 记者进一步观察发现，在指增产品的爆发式发展过程中，由于业务积淀的参差不齐，各家基金管理人的指增产品布局"进度条"已然形成梯 度。 ...

Core Insights - The index-enhanced funds have become one of the most prominent product lines in the public fund industry this year, showing significant improvement in scale expansion, issuance enthusiasm, and investor attention compared to last year [1][2] Group 1: Market Performance - As of December 5, the number of index-enhanced funds has increased to 459, with a management scale of 276.4 billion, up from 298 funds and 212.8 billion at the beginning of the year, indicating a notable growth in both product quantity and management funds [2][3] - Over 90% of index-enhanced products have achieved positive returns this year, with some products yielding over 50%, such as the Dongcai CSI Nonferrous Metals Index Enhanced A with a return of 74.93% [3] Group 2: Investor Sentiment - There has been a significant change in investor perception regarding index-enhanced funds, with increased recognition of their high allocation value, especially in the context of the current A-share market's excess return potential [4][5] - The positioning of index-enhanced products has shifted from being seen as "optional" to "necessary" within the overall investment strategy, as investors begin to focus more on long-term returns rather than short-term trading [6]

一、本周指数增强组合表现 沪深300指数增强组合本周超额收益0.68%，本年超额收益18.98%。 中证500指数增强组合本周超额收益0.13%，本年超额收益7.30%。 中证1000指数增强组合本周超额收益0.77%，本年超额收益15.97%。 中证A500指数增强组合本周超额收益0.87%，本年超额收益9.47%。 二、本周选股因子表现跟踪 沪深300成分股中单季ROE、三个月机构覆盖、EPTTM等因子表现较好。 中证500成分股中BP、三个月换手、预期BP等因子表现较好。 中证1000成分股中单季EP、预期EPTTM、EPTTM等因子表现较好。 中证A500指数成分股中单季ROE、三个月机构覆盖、单季ROA等因子表现较 好。 公募基金重仓股中预期EPTTM、三个月机构覆盖、预期BP等因子表现较 好。 三、本周公募基金指数增强产品表现跟踪 沪深300指数增强产品本周超额收益最高1.01%，最低-0.79%，中位数 0.18%。 中证500指数增强产品本周超额收益最高1.26%，最低-0.76%，中位数 0.38%。 中证1000指数增强产品本周超额收益最高1.20%，最低-0.85%，中位数 0.54%。 ...