Group 1: Weekly Index Enhanced Portfolio Performance - The CSI 300 index enhanced portfolio achieved an excess return of 0.01% this week and 18.92% year-to-date [6][18] - The CSI 500 index enhanced portfolio recorded an excess return of -0.26% this week and 7.89% year-to-date [6][18] - The CSI 1000 index enhanced portfolio had an excess return of -0.63% this week and 16.63% year-to-date [6][18] - The CSI A500 index enhanced portfolio posted an excess return of 0.20% this week and 9.84% year-to-date [6][18] Group 2: Stock Selection Factor Performance Tracking - In the CSI 300 component stocks, factors such as EPTTM, expected BP, and BP performed well [9][10] - In the CSI 500 component stocks, three-month volatility, expected EPTTM, and expected BP showed strong performance [9][10] - For the CSI 1000 component stocks, EPTTM, three-month volatility, and expected EPTTM were the top-performing factors [9][10] - In the CSI A500 index component stocks, expected EPTTM, EPTTM, and BP were the best-performing factors [9][10] Group 3: Public Fund Index Enhanced Product Performance Tracking - The CSI 300 index enhanced products had a maximum excess return of 0.89%, a minimum of -1.44%, and a median of -0.18% this week [22][24] - The CSI 500 index enhanced products achieved a maximum excess return of 1.65%, a minimum of -1.05%, and a median of 0.05% this week [24][28] - The CSI 1000 index enhanced products recorded a maximum excess return of 0.94%, a minimum of -1.66%, and a median of -0.30% this week [24][28] - The CSI A500 index enhanced products had a maximum excess return of 0.59%, a minimum of -1.02%, and a median of -0.16% this week [24][29]

- The report tracks the performance of Guosen Financial Engineering's index enhancement portfolios, which are constructed based on multi-factor stock selection models targeting benchmarks such as CSI 300, CSI 500, CSI 1000, and CSI A500 indices. The goal is to consistently outperform the respective benchmarks [11][12][14] - The construction process of the index enhancement portfolios includes three main components: return prediction, risk control, and portfolio optimization. The optimization model maximizes single-factor exposure while controlling for constraints such as industry exposure, style exposure, stock weight deviation, turnover rate, and component stock weight ratio [12][41][42] - The Maximized Factor Exposure (MFE) portfolio is used to test the effectiveness of individual factors under real-world constraints. The optimization model is expressed as follows: $\begin{array}{ll}max&f^{T}\ w\\ s.t.&s_{l}\leq X(w-w_{b})\leq s_{h}\\ &h_{l}\leq H(w-w_{b})\leq h_{h}\\ &w_{l}\leq w-w_{b}\leq w_{h}\\ &b_{l}\leq B_{b}w\leq b_{h}\\ &\mathbf{0}\leq w\leq l\\ &\mathbf{1}^{T}\ w=1\end{array}$ where \(f\) represents factor values, \(w\) is the stock weight vector, and constraints include style exposure (\(X\)), industry exposure (\(H\)), stock weight deviation (\(w_b\)), and component stock weight ratio (\(B_b\)) [41][42][43] - The report monitors the performance of common stock selection factors across different sample spaces, including CSI 300, CSI 500, CSI 1000, CSI A500, and public fund heavy-holding indices. Factors are tested using MFE portfolios to evaluate their excess return relative to benchmarks [11][15][18] - The factor library includes over 30 factors categorized into valuation, reversal, growth, profitability, liquidity, volatility, corporate governance, and analyst-related factors. Examples include BP (Book-to-Price), EPTTM (Earnings-to-Price TTM), one-month reversal, three-month reversal, one-year momentum, and others [16][17] - The report highlights the performance of specific factors in different sample spaces: - **CSI 300**: One-month reversal, three-month reversal, and EPTTM one-year percentile performed well recently, while three-month institutional coverage and standardized unexpected earnings performed poorly [1][18] - **CSI 500**: Three-month volatility, three-month reversal, and EPTTM one-year percentile performed well recently, while one-year momentum and standardized unexpected revenue performed poorly [1][20] - **CSI 1000**: One-month volatility, one-month turnover, and three-month reversal performed well recently, while executive compensation and three-month earnings revisions performed poorly [1][22] - **CSI A500**: One-month reversal, EPTTM one-year percentile, and one-month volatility performed well recently, while three-month institutional coverage and one-year momentum performed poorly [1][24] - **Public fund heavy-holding index**: Dividend yield, three-month reversal, and EPTTM performed well recently, while standardized unexpected revenue and three-month earnings revisions performed poorly [1][26][27] - The report tracks the excess returns of public fund index enhancement products, including CSI 300, CSI 500, CSI 1000, and CSI A500. For CSI 300 products, the highest weekly excess return was 0.92%, while the lowest was -3.08%, with a median of 0.01% [3][32][31] - For CSI 500 products, the highest weekly excess return was 3.20%, while the lowest was -0.48%, with a median of 0.49% [3][35][34] - For CSI 1000 products, the highest weekly excess return was 1.58%, while the lowest was -0.82%, with a median of 0.37% [3][37][36] - For CSI A500 products, the highest weekly excess return was 1.20%, while the lowest was -0.84%, with a median of 0.23% [3][40][39]

Group 1 - The core viewpoint of the article is to track the performance of index-enhanced portfolios and stock selection factors across different indices, highlighting their excess returns and the effectiveness of various stock selection factors [1][2][14]. Group 2 - The performance of the CSI 300 index-enhanced portfolio showed an excess return of -1.25% for the week and 1.61% year-to-date [1][2]. - The performance of the CSI 500 index-enhanced portfolio indicated an excess return of -1.53% for the week and 2.17% year-to-date [1][2]. - The performance of the CSI 1000 index-enhanced portfolio recorded an excess return of -0.88% for the week and 3.15% year-to-date [1][2]. Group 3 - In the CSI 300 sample space, factors such as non-liquidity shock, three-month turnover, and one-month turnover performed well recently [4][5]. - In the CSI 500 sample space, factors like expected net profit month-on-month, non-liquidity shock, and three-month earnings adjustments showed strong performance [6][8]. - In the CSI 1000 sample space, factors including three-month institutional coverage and turnover metrics performed well [9][10]. Group 4 - The public fund index-enhanced products for the CSI 300 had a maximum excess return of 1.04% and a minimum of -2.85% for the week, with a median of -0.53% [16]. - The public fund index-enhanced products for the CSI 500 had a maximum excess return of 0.86% and a minimum of -1.80% for the week, with a median of -0.62% [18]. - The public fund index-enhanced products for the CSI 1000 had a maximum excess return of 0.86% and a minimum of -1.80% for the week, with a median of -0.62% [18]. Group 5 - The total number of public fund index-enhanced products includes 67 for the CSI 300 with a total scale of 81.5 billion, 68 for the CSI 500 with a total scale of 49.3 billion, and 46 for the CSI 1000 with a total scale of 16.9 billion [15].