Quantitative Models and Factors Summary Quantitative Models and Construction Methods Model Name: Guosen JinGong Index Enhancement Portfolio - **Model Construction Idea**: The model aims to outperform the benchmark indices (CSI 300, CSI 500, and CSI 1000) by using multi-factor stock selection, risk control, and portfolio optimization[11][12] - **Model Construction Process**: - **Return Prediction**: Predicting stock returns using multiple factors - **Risk Control**: Controlling the risk exposure of the portfolio - **Portfolio Optimization**: Optimizing the portfolio to maximize returns while adhering to risk constraints - **Formula**: $$ \begin{array}{ll} \text{max} & f^{T} w \\ \text{s.t.} & s_{l} \leq X(w - w_{b}) \leq s_{h} \\ & h_{l} \leq H(w - w_{b}) \leq h_{h} \\ & w_{l} \leq w - w_{b} \leq w_{h} \\ & b_{l} \leq B_{b} w \leq b_{h} \\ & \mathbf{0} \leq w \leq l \\ & \mathbf{1}^{T} w = 1 \end{array} $$ - **Explanation**: - \( f \): Factor values - \( w \): Stock weight vector - \( X \): Factor exposure matrix - \( w_{b} \): Benchmark index component weights - \( s_{l}, s_{h} \): Lower and upper bounds for style factor exposure - \( H \): Industry exposure matrix - \( h_{l}, h_{h} \): Lower and upper bounds for industry exposure - \( w_{l}, w_{h} \): Lower and upper bounds for individual stock deviation - \( B_{b} \): 0-1 vector indicating whether a stock is a benchmark component - \( b_{l}, b_{h} \): Lower and upper bounds for component stock weight - \( l \): Upper limit for individual stock weight - \( \mathbf{1}^{T} w = 1 \): Full investment constraint[35][36][37] Model Backtest Results - **CSI 300 Index Enhancement Portfolio**: - Weekly excess return: 0.79% - Monthly excess return: 2.38%[5][14] - **CSI 500 Index Enhancement Portfolio**: - Weekly excess return: 0.58% - Monthly excess return: 2.73%[5][14] - **CSI 1000 Index Enhancement Portfolio**: - Weekly excess return: 1.17% - Monthly excess return: 4.33%[5][14] Quantitative Factors and Construction Methods Factor Name: BP (Book-to-Price Ratio) - **Factor Construction Idea**: Measures the valuation of a stock by comparing its book value to its market price[17] - **Factor Construction Process**: - **Formula**: $$ \text{BP} = \frac{\text{Net Assets}}{\text{Total Market Value}} $$ - **Explanation**: - Net Assets: The book value of the company's equity - Total Market Value: The market capitalization of the company[17] Factor Name: Expected BP - **Factor Construction Idea**: Uses consensus estimates to predict the book-to-price ratio[17] - **Factor Construction Process**: - **Formula**: $$ \text{Expected BP} = \frac{\text{Consensus Estimated Net Assets}}{\text{Total Market Value}} $$ - **Explanation**: - Consensus Estimated Net Assets: The average of analysts' estimates for the company's net assets - Total Market Value: The market capitalization of the company[17] Factor Name: Non-Liquidity Shock - **Factor Construction Idea**: Measures the impact of non-liquidity on stock returns[17] - **Factor Construction Process**: - **Formula**: $$ \text{Non-Liquidity Shock} = \frac{\sum_{i=1}^{20} |\text{Daily Return}_i|}{\text{Average Trading Volume}} $$ - **Explanation**: - Daily Return: The daily return of the stock - Average Trading Volume: The average trading volume over the past 20 trading days[17] Factor Backtest Results - **CSI 300 Index**: - **Best Performing Factors (Weekly)**: Expected BP, Expected Net Profit QoQ, BP - **Worst Performing Factors (Weekly)**: Specificity, Standardized Unexpected Revenue, Three-Month Institutional Coverage[1][18] - **CSI 500 Index**: - **Best Performing Factors (Weekly)**: Quarterly Net Profit YoY Growth, Standardized Unexpected Earnings, Quarterly Surprise Magnitude - **Worst Performing Factors (Weekly)**: Three-Month Reversal, One-Month Reversal, One-Year Momentum[1][20] - **CSI 1000 Index**: - **Best Performing Factors (Weekly)**: Expected PEG, Standardized Unexpected Revenue, BP - **Worst Performing Factors (Weekly)**: One-Month Reversal, Executive Compensation, DELTAROA[1][22] - **Public Fund Heavy Index**: - **Best Performing Factors (Weekly)**: Expected Net Profit QoQ, Standardized Unexpected Earnings, Quarterly Operating Profit YoY Growth - **Worst Performing Factors (Weekly)**: Three-Month Reversal, Executive Compensation, One-Month Reversal[2][24]

想要获取这个课程，可以添加下方「课程小助手」，回复「 指数增强 」领取哦 ～ 文 | 银行螺丝钉 （转载请注明出处） 从历史数据看，指数增强基金的平均收益，多数年份是可以跑赢对应指数的。 但其中也有一部分跑输了指数，如果不谨慎挑选的话，也有可能买到的基金，实际上跑不赢指 数。 那应该如何挑选优秀的指数增强基金呢？ 这里有一门限时免费的福利课程，介绍了指数增强基金的投资方法。 提供再贷款支持,来维护资本市场的平稳 运行。 也有朋友问,支持中央汇金买股票指数基 金，为啥要走再贷款，这样划算吗？ 人民币资产现在有个好处，就是利率非常 低。 10年期国债只有1.6%-1.7%利率。 如果是国家队，再贷款利率1.75%，那也 很。 而沪深300、 A500的股息率,远超过利率 水平。以沪深300为例，股息率超过3%。 指数基金的分红不太受市场涨跌的影响。 ◆◆◆ 目前 A股港股的红利指数，很多股息率也 超过4%-5%。 中央汇金低位买入股票指数基金,仅靠每 年分红，就足以偿还再贷款成本。 不具比较划管的 ▼点击阅读原 文，免费学习大额家庭资产配置课程 ...

证券研究报告 | 2025年04月12日 低换手因子表现出色，中证 1000 指增组合年内超额 3.15% 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，非流动性冲击、三个月换手、一个 月换手等因子表现较好，而单季 EP、单季 ROE、预期 EPTTM 等因子表现 较差。最近一月，非流动性冲击、三个月换手、一个月反转等因子表现较好， 而单季 ROA、单季 ROE、单季 EP 等因子表现较差。 以中证 500 指数为选股空间。最近一周，预期净利润环比、非流动性冲击、 3 个月盈利上下调等因子表现较好，而 BP、预期 BP、单季 SP 等因子表现 较差。最近一月，一个月换手、股息率、预期净利润环比等因子表现较好， 而 BP、特异度、预期 BP 等因子表现较差。 以中证 1000 指数为选股空间。最近一周，三个月机构覆盖、三个月换手、 一个月换手等因子表现较好，而特异度、BP、预期 BP 等因子表现较差。最 近一月，一个月波动、一个月换手、三个月换手等因子表现较好，而特异度、 预期 PEG、预期净利润环比等因子表现较差。 以公募重仓指数为选股空间。最近 ...

当外资涌入 A 股、新质生产力写入政策文件、传统宽基指数逐渐 " 钝化 " 时，中国资本市场亟需一个 既能承载外资配置需求、又能精准映射产业升级的"新标尺"。中证 A500 的诞生，恰似一场指数编制 的 " 供给侧改革 " 。 开年以来， DeepSeek 的崛起打破了美国 Al 技术垄断的核心壁垒，也打破了"美国例外论"。市场方 面，以 A 股和港股为代表的中国资产联袂走强，昔日 "YYDS" 美股显露疲态，这一轮以 " 技术突破 " 驱动的行情，或许也是中国资产重估的主线。 当下，全球"聪明资金"正在形成共识——中国核心资产已成新时代的 " 必选项 " 。 再看"新"核心宽基 该指数的编制方式，突破了传统的仅靠市值排序的方案，吸收海外指数编制经验，旨在打造属于中国自 己的 " 新 " 核心宽基。 | | 中证A500指数编制规则"新"在哪? | | | --- | --- | --- | | 1、流动性筛选 | 1 | 提升指数可投资性 | | 2、ESG负面剔除 | 1 | 降低成份股发生重大负面风险事件概率 | | 3、互联互通标的 | 1 | 便利外资投资 | | 4、优先纳入行业市值龙头 | 1 ...

Core Viewpoint - The launch of multiple Science and Technology Innovation Board (STAR Market) index-enhanced funds indicates a strong interest from fund companies in equity funds, which is expected to bring incremental capital to the A-share market [2][11]. Group 1: Fund Launch and Market Impact - Over 10 STAR Market index-enhanced funds were approved and quickly launched for sale, showcasing efficiency in the process [3][6]. - As of March 29, approximately 70 equity funds are in the issuance phase, indicating a robust pipeline that could provide continuous capital inflow into the A-share market [2][11]. - The first batch of STAR Market index-enhanced funds is set to officially start sales on April 1, with a focus on combining index tracking with active management to potentially exceed index returns [7][11]. Group 2: Fund Characteristics and Strategies - The STAR Market index covers a wide range of companies, including AI chips, biotechnology, and high-end manufacturing, which helps mitigate risks associated with over-concentration in a single industry while targeting high-growth sectors [3][11]. - Fund companies are leveraging advanced strategies, such as using big data and AI algorithms, to create alpha returns while effectively tracking the index [8]. - The STAR Market index is viewed as a core investment tool for investors looking to capitalize on China's technological innovation and growth potential [11]. Group 3: Broader Fund Trends - The popularity of index-enhanced funds is part of a broader trend, with many fund companies also focusing on other types of funds, such as dividend-themed and industry-specific ETFs [12]. - The total fundraising amount for newly established funds in 2023 has reached 249.7 billion yuan, with equity products accounting for approximately 109.9 billion yuan, reflecting significant year-on-year growth [13].