一 指数增强型基金的机遇与挑战 作为公募量化产品的主战场，指数增强型基金的规模和数量在近年来呈现出稳定的增长趋势。图1展示了A股市场中不同种类公募指数增强型基金的规模及数量 变化。截至2025年3月31日，A股公募基金中共有324只指数增强型基金，合计规模达到2129亿元。其中，沪深300指数增强型基金、中证500指数增强型基金及 中证A500指数增强型基金规模居于前列，分别达到779亿元、453亿元和188亿元。 撤比1.78，每年均能战胜偏股混合型基金指数，分年度收益基本每年都能排名主动股 作为公募量化产品的主战场，指数增强型基金的规模和数量近年来呈现出稳定的增长趋势。在公募指增产品的构建中，多因子模型作为一套成熟的指数增强框 架有着广泛的应用。然而近年来， 多因子模型同质化问题愈发凸显，公募指增产品面临着Alpha衰减和回撤加大的双重考验，如何从模型构建上对指增产品的 设计进行完善成为量化投资者不断探索的重要课题。 在拓展收益预测模型边界的诸多探索中，根据股票特征进行分域，随后针对不同股票池构建特质化增强模型的方式引起了我们的关注。传统的多因子模型将全 市场所有股票视为一个整体，用同一套打分标准对个股预 ...

Group 1 - The core opportunity for index-enhanced funds lies in their stable growth in scale and quantity, with 324 funds totaling 212.9 billion yuan as of March 31, 2025 [1][5][2] - The main challenge is the homogenization of multi-factor models, leading to alpha decay and increased drawdown risks in public index-enhanced products [1][5][12] Group 2 - The heuristic style classification method seeks to categorize stocks based on their representative styles, using a seed group as an anchor for clustering stock returns into growth, value, and balanced dimensions [3][28][54] - The essence of domain enhancement is to find commonalities among stocks and apply specialized selection methods for enhancement, which can be based on various dimensions such as investor structure and market style [28][29] Group 3 - Multi-strategy index-enhanced combinations have shown significant performance, with the multi-strategy CSI A500 index-enhanced combination achieving an annualized excess return of 18.22% since 2013 [4][24] - The multi-strategy CSI 300 index-enhanced combination has also performed well, with an annualized excess return of 18.86% since 2013 [4][24] Group 4 - The report highlights the importance of diversifying strategies to mitigate risks, with low correlation between different strategy excess returns, such as a correlation coefficient of 0.15 between growth and value styles [1][4][28] - The performance of various index-enhanced funds has been analyzed, showing that the excess return median and relative maximum drawdown have varied across different funds over the years [8][9][26]