- The report tracks the performance of Guosen JinGong's index enhancement portfolios and public fund index enhancement products, as well as monitors the performance of common stock selection factors across different sample spaces[11][12][15] - Guosen JinGong's index enhancement portfolios are constructed based on three main components: return prediction, risk control, and portfolio optimization. These portfolios are benchmarked against indices such as CSI 300, CSI 500, CSI 1000, and CSI A500[12][14] - The report introduces the concept of Maximized Factor Exposure (MFE) portfolios to test the effectiveness of single factors under real-world constraints. The optimization model maximizes single-factor exposure while controlling for style, industry, stock weight deviations, and other constraints[41][42][43] - The optimization model for MFE portfolios is expressed as: $\begin{array}{ll}max&f^{T}\ w\\ s.t.&s_{l}\leq X(w-w_{b})\leq s_{h}\\ &h_{l}\leq H(w-w_{b})\leq h_{h}\\ &w_{l}\leq w-w_{b}\leq w_{h}\\ &b_{l}\leq B_{b}w\leq b_{h}\\ &\mathbf{0}\leq w\leq l\\ &\mathbf{1}^{T}\ w=1\end{array}$ where `f` represents factor values, `w` is the stock weight vector, and constraints include style exposure, industry exposure, stock weight deviations, and component stock weight limits[41][42] - The report tracks the performance of single-factor MFE portfolios across different sample spaces, including CSI 300, CSI 500, CSI 1000, CSI A500, and public fund heavy positions index. Factors are evaluated based on their excess returns relative to benchmarks[15][18][26] - Common stock selection factors are categorized into valuation, reversal, growth, profitability, liquidity, company governance, and analyst dimensions. Examples include BP (Book-to-Price), ROA (Return on Assets), and one-year momentum[16][17] - In the CSI 300 sample space, factors such as single-season ROA, standardized unexpected income, and standardized unexpected earnings performed well recently, while factors like one-month volatility and three-month volatility performed poorly[19] - In the CSI 500 sample space, factors such as one-year momentum and standardized unexpected earnings showed strong performance recently, while factors like one-month turnover and three-month volatility underperformed[21] - In the CSI 1000 sample space, factors such as one-year momentum and standardized unexpected earnings performed well recently, while factors like BP and single-season SP (Sales-to-Price) performed poorly[23] - In the CSI A500 sample space, factors such as DELTAROA (Change in ROA) and standardized unexpected income performed well recently, while factors like three-month volatility and one-month turnover performed poorly[25] - In the public fund heavy positions index sample space, factors such as one-year momentum and DELTAROA performed well recently, while factors like one-month turnover and three-month turnover underperformed[27] - Public fund index enhancement products are tracked for their excess returns relative to benchmarks. For CSI 300 products, recent weekly excess returns ranged from -1.41% to 1.91%, with a median of -0.09%[32] - For CSI 500 products, recent weekly excess returns ranged from -2.05% to 0.52%, with a median of -0.51%[34] - For CSI 1000 products, recent weekly excess returns ranged from -1.70% to 0.94%, with a median of -0.53%[37] - For CSI A500 products, recent weekly excess returns ranged from -1.10% to 0.71%, with a median of -0.25%[40]