Core Insights - The active equity funds have shown significant outperformance compared to index products in 2025, achieving a return of +29.2% against the index's +17.0%, resulting in an excess return of over 12 percentage points [1][5][7] - Despite the positive performance, there are concerns regarding the sustainability of this outperformance as the market enters a volatile phase and new regulations are introduced [1][5][7] Vertical Analysis: Timing Predictions for Active Equity Outperformance - Six indicators have been identified to predict the excess return of active equity funds, including tracking error differentiation (TE-S) and tracking error concentration (HHI), which indicate stronger pricing power and potential for excess returns when concentrated [1][10][13] - A short-term timing model using TE-MDQ, MMT, and VIX has shown a 69% success rate in predicting active equity outperformance for Q4 2025, with an expected outperformance of 2.33% [2][24] - A long-term model using AMT and TE-S predicts underperformance for the period Q4 2025 to Q3 2026, with an expected shortfall of -6.49% [2][27] Horizontal Analysis: Fund Selection Using Excess Return Information - Two effective selection factors for predicting future performance of active equity funds have been identified: Long-term Information Ratio (INFO_LONG) and Tracking Error Change Level (TRACK_D) [1][31] - A composite indicator combining these factors has been developed for fund selection, showing improved predictive power and a backtested annualized return of 11.1% from Q1 2016 to Q3 2025, outperforming the benchmark [3][40][41]

Quantitative Models and Construction Methods 1. Model Name: 博道远航 (Bodao Yuanhang) - **Model Construction Idea**: The product employs an enhanced model based on the average performance index of偏股混合型基金 (partial equity hybrid funds). The fund manager uses quantitative methods to replicate the underlying stock holdings of the 885001 index and then enhances it further [43][43]. - **Model Construction Process**: - The model first replicates the stock holdings of the 885001 index using quantitative techniques. - Enhancements are applied to the replicated portfolio to achieve superior performance while maintaining a controlled deviation from the benchmark [43][43]. - **Model Evaluation**: The model demonstrates significant and stable excess returns over the 885001 index, with a high information ratio and low relative drawdowns [43][43]. 2. Model Name: 兴业聚利 (Xingye Juli) - **Model Construction Idea**: The product adopts a "process-to-result management" approach, setting偏股基准 (partial equity benchmark) and enhancing it while keeping deviations under control [57][57]. - **Model Construction Process**: - The benchmark is first established based on the偏股基准. - Enhancements are applied to the benchmark portfolio, with a focus on maintaining a relatively low deviation and incorporating moderate timing strategies [57][57]. - **Model Evaluation**: The model achieves stable excess returns over the 885001 index, though its lower average position results in occasional underperformance during strong market uptrends [57][57]. 3. Model Name: 信澳宁隽智选 (Xinao Ningjun Zhixuan) - **Model Construction Idea**: This product belongs to the "Index Plus" series, aiming to achieve higher excess returns with relatively loose deviation constraints. It targets the 885001 index as its benchmark [70][70]. - **Model Construction Process**: - The model allows for a certain degree of deviation from the benchmark to capture higher excess returns. - It incorporates港股 (Hong Kong stocks) allocation, which is particularly relevant in the current environment where active equity funds are increasing their exposure to Hong Kong stocks [70][70]. - **Model Evaluation**: The model demonstrates high and stable excess returns over the 885001 index, though it experiences relatively higher maximum relative drawdowns during sharp market uptrends [70][70]. --- Model Backtesting Results 1. 博道远航 (Bodao Yuanhang) - **Excess Return**: 12.65% over the 885001 index [43][43] - **Information Ratio (IR)**: 1.46 [43][43] - **Maximum Relative Drawdown**: -3.41% [43][43] 2. 兴业聚利 (Xingye Juli) - **Excess Return**: 9.24% over the 885001 index [57][57] - **Information Ratio (IR)**: 0.95 [57][57] - **Maximum Relative Drawdown**: -4.84% [57][57] 3. 信澳宁隽智选 (Xinao Ningjun Zhixuan) - **Excess Return**: 11.26% over the 885001 index [70][70] - **Information Ratio (IR)**: 1.07 [70][70] - **Maximum Relative Drawdown**: -7.29% [70][70]