2025 年 09 月 03 日 金 融 工 程 8 月市场上涨，跟踪 Smart Beta 指数量化基金跑 赢基准——量化基金月度跟踪（2025 年 9 月） 投资要点： 主动量化基金收益分析 金 融 工 程 定 期 报 告 宽基类主动量化基金共跟踪 17 种宽基指数，其中跟踪沪深 300、 中证 500 指数的量化基金在 8 月份超额收益均值分别为 1.3%和-3.6%； 行业主题类基金中，跟踪中证内地金融主题、中证新兴产业、中证 TMT 指数的量化基金超额收益位列前 3 位；smart beta 类基金跟踪中证红利 指数的量化基金本月超额收益排名第一。 指数增强量化基金收益分析 宽基类指增量化基金共跟踪 27 种宽基指数，跟踪中证 500 指数、 沪深 300 指数的基金在 8 月份超额收益均值分别为-1.8%和 1.0%；行业 主题类基金中，跟踪中证半导、消费龙头、云计算的量化基金超额收 益位列前位；smart beta 类基金中跟踪中证红利指数的量化基金月度超 额收益最高。 对冲量化基金收益分析 2025 年 8 月，对冲量化基金收益绝对收益率平均收益-0.32%。2025 年 8 月份基金净值波动 ...

Core Insights - The ALPS Equal Sector Weight ETF (EQL) debuted on July 7, 2009, and provides broad exposure to the Style Box - Large Cap Blend category of the market [1] - Smart beta ETFs, like EQL, aim to outperform traditional market cap weighted indexes by selecting stocks based on specific fundamental characteristics [3][4] - EQL is sponsored by Alps and has accumulated over $549.97 million in assets, positioning it as an average-sized ETF in its category [5] Fund Details - EQL seeks to match the performance of the NYSE Select Sector Equal Weight Index, which includes various sectors such as Consumer Discretionary, Technology, and Health Care [6][5] - The fund has an annual operating expense ratio of 0.25% and a 12-month trailing dividend yield of 1.72% [7] - The top holdings of EQL include Technology Select Sector SPDR Fund (XLK) at 9.77% of total assets, with the top 10 holdings comprising approximately 91.65% of total assets [9] Performance Metrics - As of September 2, 2025, EQL has gained about 9.36% year-to-date and 10.39% over the past year, with a trading range of $37.36 to $45.41 in the past 52 weeks [11] - The fund has a beta of 0.91 and a standard deviation of 14.51% over the trailing three-year period, indicating medium risk [11] Alternatives - Other ETFs in the same space include iShares Core S&P 500 ETF (IVV) and Vanguard S&P 500 ETF (VOO), which track the S&P 500 Index and have significantly larger asset bases of $661.34 billion and $725.27 billion, respectively [12] - Both IVV and VOO have lower expense ratios of 0.03%, making them attractive alternatives for cost-conscious investors [12]

Core Insights - The First Trust Large Cap Growth AlphaDEX ETF (FTC) is designed to provide broad exposure to the Style Box - Large Cap Growth category and utilizes a smart beta strategy [1][5] - The ETF has amassed assets over $1.22 billion and seeks to match the performance of the Nasdaq AlphaDEX Large Cap Growth Index [5] - FTC has a 12-month trailing dividend yield of 0.34% and an annual expense ratio of 0.58% [6] Fund Characteristics - FTC employs the AlphaDEX stock selection methodology, which selects stocks based on fundamental characteristics rather than market capitalization [5] - The ETF has a significant allocation in the Information Technology sector, accounting for approximately 23.2% of the portfolio, followed by Industrials and Financials [7] - The top 10 holdings represent about 10.66% of FTC's total assets, with Palantir Technologies Inc. (PLTR) being the largest individual holding at 1.2% [8] Performance Metrics - As of September 2, 2025, FTC has returned approximately 13.46% year-to-date and 23.5% over the past year [10] - The fund has traded between $116.97 and $158.18 in the past 52 weeks, with a beta of 1.11 and a standard deviation of 18.39% over the trailing three-year period, indicating medium risk [10] Alternatives - Other ETFs in the large-cap growth space include Vanguard Growth ETF (VUG) and Invesco QQQ (QQQ), with VUG having an expense ratio of 0.04% and QQQ at 0.20% [11] - Investors seeking lower-cost options may consider traditional market cap weighted ETFs that aim to match the returns of the Style Box - Large Cap Growth [12]

Core Insights - The John Hancock Multifactor Large Cap ETF (JHML) debuted on September 28, 2015, and provides broad exposure to the Style Box - Large Cap Blend category of the market [1] Fund Overview - JHML is managed by John Hancock and has accumulated over $1.02 billion in assets, making it one of the larger ETFs in its category [5] - The fund aims to match the performance of the John Hancock Dimensional Large Cap Index, which includes securities from companies with market capitalizations larger than the 801st largest U.S. company [5] Cost Structure - The annual operating expenses for JHML are 0.29%, which is competitive with most peer products [6] - The fund has a 12-month trailing dividend yield of 1.11% [6] Sector Exposure and Holdings - JHML's largest sector allocation is in Information Technology, comprising approximately 25.3% of the portfolio, followed by Financials and Industrials [7] - Microsoft Corp (MSFT) represents about 4.45% of the fund's total assets, with Nvidia Corp (NVDA) and Apple Inc (AAPL) also among the top holdings [8] - The top 10 holdings account for approximately 23.89% of total assets under management [8] Performance Metrics - As of September 2, 2025, JHML has gained roughly 10.12% year-to-date and approximately 13.23% over the past year [10] - The fund has traded between $59.74 and $76.71 in the past 52 weeks, with a beta of 0.98 and a standard deviation of 15.94% over the trailing three-year period, indicating medium risk [10] Alternatives - JHML is positioned as a strong option for investors looking to outperform the Style Box - Large Cap Blend segment, with alternatives like iShares Core S&P 500 ETF (IVV) and Vanguard S&P 500 ETF (VOO) also available [11] - IVV has $661.34 billion in assets and an expense ratio of 0.03%, while VOO has $725.27 billion in assets with the same expense ratio [11]

Core Viewpoint - The WisdomTree U.S. Total Dividend ETF (DTD) is a smart beta ETF that aims to provide broad exposure to the large-cap value segment of the market, with a focus on dividend-paying stocks [1][5]. Fund Overview - Launched on June 16, 2006, DTD has accumulated over $1.44 billion in assets, positioning it as an average-sized ETF within its category [1][5]. - The fund is managed by WisdomTree and seeks to match the performance of the WisdomTree U.S. Dividend Index, which is fundamentally weighted [5]. Cost and Performance - DTD has an annual operating expense ratio of 0.28%, which is competitive within its peer group [6]. - The ETF has a 12-month trailing dividend yield of 1.93% [6]. - Year-to-date, DTD has gained approximately 10.54% and has increased about 12.69% over the past year, with a trading range between $68.45 and $83.02 in the last 52 weeks [9]. Risk Profile - The ETF has a beta of 0.83 and a standard deviation of 13.74% over the trailing three-year period, indicating a medium risk profile [10]. - DTD holds around 842 stocks, which helps to diversify company-specific risk [10]. Sector Exposure and Holdings - The fund's top 10 holdings account for about 121.67% of its total assets under management, indicating a concentrated investment strategy [8]. - The U.S. Dollar constitutes approximately 54.16% of total assets, followed by Dreyfus Treasury Obligations Cash Management Class Ins and Microsoft Corp (MSFT) [7]. Alternatives - While DTD is a viable option for investors looking to outperform the large-cap value segment, alternatives such as Schwab U.S. Dividend Equity ETF (SCHD) and Vanguard Value ETF (VTV) are available, with SCHD having $72.51 billion in assets and VTV at $143.81 billion [11][12]. - SCHD has a lower expense ratio of 0.06%, while VTV charges 0.04%, making them potentially more attractive for cost-conscious investors [12].

Core Insights - The First Trust Small Cap Core AlphaDEX ETF (FYX) debuted on May 8, 2007, and provides broad exposure to the Style Box - Small Cap Blend category of the market [1] Fund Overview - FYX is managed by First Trust Advisors and has accumulated over $880.27 million in assets, categorizing it as an average-sized ETF in its segment [5] - The fund aims to match the performance of the Nasdaq AlphaDEX Small Cap Core Index, which utilizes the AlphaDEX stock selection methodology [5] Cost Structure - FYX has annual operating expenses of 0.61%, making it one of the more expensive options in the smart beta ETF space [6] - The ETF has a 12-month trailing dividend yield of 1.13% [6] Sector Allocation - The Financials sector represents 20.6% of the portfolio, followed by Industrials and Consumer Discretionary as the next largest sectors [7] - The top 10 holdings account for approximately 4.31% of total assets under management, with Commscope Holding Company, Inc. (COMM) being the largest individual holding at about 0.58% [8] Performance Metrics - Year-to-date, FYX has gained approximately 6.63% and is up about 10.81% over the last 12 months as of September 1, 2025 [10] - The ETF has a beta of 1.13 and a standard deviation of 22.17% over the trailing three-year period, indicating medium risk [10] Alternatives - Other ETFs in the small-cap blend space include iShares Russell 2000 ETF (IWM) and iShares Core S&P Small-Cap ETF (IJR), which have significantly larger asset bases and lower expense ratios [12]

Core Insights - The Goldman Sachs ActiveBeta World Low Vol Plus Equity ETF (GLOV) debuted on March 15, 2022, providing broad exposure to the Global Large-Cap Blend Equity ETF category [1] - GLOV has amassed over $1.4 billion in assets, positioning it as one of the larger ETFs in its category [5] - The ETF has a 12-month trailing dividend yield of 1.66% and an annual operating expense ratio of 0.25%, making it a cost-effective option [6] Fund Management and Strategy - GLOV is managed by Goldman Sachs Funds and aims to match the performance of the Goldman Sachs ActiveBeta World Low Vol Plus Equity Index [5] - The index focuses on large and mid-cap equity securities from developed markets, including the U.S. [5] - Smart beta strategies, like those employed by GLOV, seek to outperform traditional market cap-weighted indexes by selecting stocks based on fundamental characteristics [3][4] Performance Metrics - GLOV has delivered a return of approximately 15.19% and is up about 14.56% year-to-date as of September 1, 2025 [10] - The ETF has traded between $46.99 and $56.55 over the past 52 weeks, indicating a stable price range [10] - With a beta of 0.73 and a standard deviation of 12.24% over the trailing three years, GLOV effectively diversifies company-specific risk with around 456 holdings [10] Sector Exposure and Holdings - GLOV's top 10 holdings constitute about 17.75% of its total assets, with Apple Inc (AAPL) making up approximately 3.31% [7][8] - The ETF's transparency allows investors to assess individual holdings, which is crucial for informed investment decisions [7] Alternatives in the Market - Other ETFs in the same space include iShares Global 100 ETF (IOO) and iShares MSCI ACWI ETF (ACWI), with assets of $7.02 billion and $22.04 billion respectively [12] - IOO has an expense ratio of 0.40%, while ACWI has a lower expense ratio of 0.32%, providing investors with additional options [12]

Core Insights - The JPMorgan Diversified Return U.S. Mid Cap Equity ETF (JPME) offers investors exposure to the mid-cap blend category, utilizing a rules-based approach to combine risk-based portfolio construction with multi-factor security selection [1][6]. Fund Overview - JPME was launched on May 11, 2016, and has accumulated over $372.98 million in assets, positioning it as an average-sized ETF in its category [1][5]. - The fund aims to match the performance of the Russell Midcap Diversified Factor Index before fees and expenses [5]. Investment Strategy - JPME employs non-cap weighted strategies, focusing on fundamental characteristics to select stocks with better risk-return performance [3][4]. - The fund's annual operating expenses are 0.24%, which is competitive within its peer group [7]. Sector Exposure - The ETF has a significant allocation in the Industrials sector, comprising approximately 12% of the portfolio, followed by Healthcare and Consumer Staples [8]. - The top 10 holdings account for about 4.96% of total assets, with Tapestry Inc Common (TPR) being the largest individual holding at 0.55% [9]. Performance Metrics - Year-to-date, JPME has increased by approximately 6.41%, and it has risen about 7.16% over the past 12 months as of September 1, 2025 [11]. - The fund has a beta of 0.93 and a standard deviation of 16.09% over the trailing three-year period, indicating effective diversification of company-specific risk [11]. Alternatives - Other ETFs in the mid-cap blend space include the Vanguard Mid-Cap ETF (VO) and the iShares Core S&P Mid-Cap ETF (IJH), which have significantly larger asset bases and lower expense ratios [12][13].

Core Insights - The Invesco S&P International Developed Quality ETF (IDHQ) is a smart beta ETF launched on June 13, 2007, providing broad exposure to the Foreign Large Growth ETF category [1] - IDHQ aims to match the performance of the S&P Quality Developed ex US LargeMidCap Index, focusing on stocks with high quality scores based on return on equity, accruals ratio, and financial leverage ratio [5][6] Fund Overview - Managed by Invesco, IDHQ has accumulated over $492.45 million in assets, making it one of the larger ETFs in its category [5] - The fund has an annual operating expense ratio of 0.29%, making it the least expensive product in the Foreign Large Growth ETF space [7] - IDHQ offers a 12-month trailing dividend yield of 2.29% [7] Holdings and Sector Exposure - The ETF's top holdings include Asml Holding Nv (4.62% of total assets), Novartis Ag, and Nestle Sa, with the top 10 holdings accounting for approximately 30.21% of total assets [8] Performance Metrics - IDHQ has gained about 18.16% over the past year and is up approximately 5.39% year-to-date as of September 1, 2025 [9] - The ETF has traded between $27.24 and $33.40 in the last 52 weeks [9] - With a beta of 0.89 and a standard deviation of 16.05% over the trailing three-year period, IDHQ is considered a low-risk investment [10] Alternatives and Market Context - While IDHQ is a viable option for investors seeking to outperform the Foreign Large Growth ETF segment, there are alternative ETFs such as First Trust International Developed Capital Strength ETF (FICS) and Invesco Dorsey Wright Developed Markets Momentum ETF (PIZ) [11][12] - FICS has $226.16 million in assets and an expense ratio of 0.70%, while PIZ has $416.93 million in assets with an expense ratio of 0.80% [12]

Core Insights - The market is experiencing heightened volatility, leading to increased attention on the stable attributes of dividends, particularly through the cash flow ETF (159399), which attracted over 200 million yuan in investments on the 5th [1] - Nanjing Securities indicates that the growth sector carries significant trading risks, while sectors with strong policy expectations, such as "anti-involution" and "promoting domestic demand," remain relatively undervalued, presenting better long-term investment opportunities [1] - The cash flow ETF (159399) utilizes free cash flow as a stock selection factor, closely tracking the FTSE China A-Share Free Cash Flow Index, excluding financial and real estate sectors, and selecting the top 50 stocks with the highest free cash flow rates [1] Index Characteristics - The cash flow index focuses on large and mid-cap stocks, exhibiting strong defensive attributes and higher dividend yields, which may help mitigate market fluctuations [2] - The cash flow ETF (159399) has consistently distributed dividends for six consecutive months as of the end of August since its launch [2]