本文首发于公众号"私募排排网"。 （点击↑↑ 上图查看详情 ） 2025年以来，有多家私募或因产品净值增长或因赢得投资人信任而实现了规模跃升。正瀛资产就是其中一家。私募排排网数据显示，2024年 底，正瀛资产的管理规模为20-50亿元。2025年9月，公司规模成功突破百亿。（ 领取最新94家百亿私募名单 ） 主动+量化相结合 四大优势支撑股票量化策略 资料显示，正瀛资产成立于2015年， 在投资模式上采取主观和量化结合的方式，能够更好的洞悉市场，管理风险。 公司是国内较早参与场内期 权市场的投资机构，在期权波动率交易领域拥有深厚的底蕴与丰富的经验。 随着公司的不断发展和期权市场容量有限，公司认识到金融科技和人工智能对于投资行业的深刻影响，加大了技术方面的投入， 在2021年开始 布局股票业务并引入了股票高频策略团队。 正瀛资产的高频策略团队成员来自于上海交大、中科大、北大、浙大、复旦等知名高校；团队成员聚焦于机器学习、深度学习、强化学习，拥有 丰富的策略储备和量化交易经验；核心成员拥有超过5年的海外期货高频交易经验，最大管理规模超10亿美金。 正瀛资产在2021年底至2023年主要是做融券T0策略，从2023 ...

Group 1 - The report indicates that the performance of major public index enhancement funds has been tracked weekly, focusing on the returns of the funds against their respective benchmarks, including CSI 300, CSI 500, CSI 1000, and National Index 2000 [7][8]. - As of September 12, 2025, the CSI 300 enhancement funds have 53 products with a total scale of 77.3 billion, while the CSI 500 enhancement funds have 66 products with a scale of 43.7 billion [8][9]. - The report highlights that the CSI 2000 enhancement strategy has achieved a year-to-date excess return of 21.18%, indicating strong performance compared to its benchmark [1][4]. Group 2 - The report details the top-performing CSI 300 enhancement funds for the year, with the top five funds achieving returns of 28.33%, 27.65%, 23.15%, 22.67%, and 21.93%, respectively, with corresponding excess returns of 13.41%, 12.73%, 8.23%, 7.75%, and 7.01% [9][11]. - For the CSI 500 enhancement funds, the top five funds have returns of 35.46%, 35.31%, 35.02%, 34.39%, and 32.41%, with excess returns of 10.62%, 10.47%, 10.19%, 9.56%, and 7.58% [15][19]. - The CSI 1000 enhancement funds show similar strong performance, with the top five funds achieving returns of 40.4%, 39.68%, 39.21%, 38.57%, and 38.44%, with excess returns of 15.81%, 15.08%, 14.62%, 13.98%, and 13.85% [21][25]. Group 3 - The report emphasizes the performance of the National Index 2000 enhancement funds, with the top five funds achieving returns of 45.03%, 44.3%, 43.56%, 37.72%, and 35.56%, with excess returns of 16.01%, 15.28%, 14.54%, 8.7%, and 6.54% [29][30]. - The report also tracks the performance of various factors used in quantitative stock selection models, highlighting the effectiveness of different factors across various stock pools [34][37]. - The report provides insights into the excess returns of single factors, indicating that certain factors have performed better over different time frames, which can guide investment strategies [38][39].

Group 1 - The article discusses the comparison between long-term holding of investments for 30 years versus frequent fund switching, analyzing which strategy yields better returns [1] - It highlights the recent performance of the ChiNext 50 Index, which saw a weekly increase of 3.42%, indicating a strong market trend in the new energy sector [1] - The article emphasizes the importance of understanding market trends and investor sentiment in making informed investment decisions [1] Group 2 - The article features insights from various financial institutions, including a focus on risk management as a primary investment objective [2] - It mentions the upgrade of the "China Manufacturing" investment research system by China Europe Fund, indicating a shift towards more sophisticated investment strategies [2] - The article includes a quote from a fund manager emphasizing the need to control risks while aiming for excess returns, underscoring the balance between risk and reward in investment strategies [2]

Core Insights - The article discusses the concept of enhanced index funds, which aim to achieve excess returns (Alpha) while passively tracking an index, using various strategies such as multi-factor models and quantitative analysis [1][9] - Enhanced index ETFs have seen significant growth, with over 60 products available as of August 22, 2025, nearly half of which were established in the last two years [1][9] Performance Analysis - Traditional index-enhanced strategies have faced challenges, with some funds underperforming compared to fully replicated index ETFs, particularly in the past year [2][4] - For instance, the annual returns of several enhanced strategy ETFs, such as the Guotai Hushen 300 Enhanced Strategy ETF, were lower than those of standard ETFs [3][4] Market Dynamics - Large-cap stocks, like those in the Hushen 300 index, are often well-covered by institutions, leading to high pricing efficiency and making it difficult for quantitative strategies to identify mispricings [4] - Conversely, small-cap stocks, particularly those in indices like the CSI 2000, have shown higher Alpha potential due to less institutional coverage and greater pricing inefficiencies [5][6] Long-term Trends - Enhanced index strategies have demonstrated superior long-term performance, with the CSI 500 Enhanced Index outperforming its benchmark over three, five, and ten-year periods [7][8] - The article emphasizes that the probability of achieving excess returns with enhanced index funds is over 90%, making them an attractive option for both retail and professional investors [9]

Core Viewpoint - The A-share market experienced a broad rally last week, with the Shanghai Composite Index reaching the critical level of 3700, while index-enhanced strategy products significantly underperformed the benchmark indices [2] Group 1: Market Performance - The excess returns of various index-enhanced products were negative, with the Shanghai 300 Index Enhanced, CSI 500 Index Enhanced, and CSI 1000 Index Enhanced showing excess returns of -0.49%, -1.09%, and -1.26% respectively [2] - The performance of individual stocks was relatively weak, with less than 50% of stocks in the quant management pool outperforming the benchmark indices during the week [2][3] - The proportion of stocks outperforming the Shanghai 300 Index was below 40% for most of the week, indicating increased difficulty in achieving excess returns [2] Group 2: Strategy and Market Dynamics - The difficulty in obtaining alpha returns is attributed to rapid convergence of basis, where the short positions in futures are weaker than long positions, leading to a decline in neutral strategy products [3] - Market sentiment was high, but the rapid rotation of sector styles made it challenging for stock selection strategies to generate excess returns [2][3] - Quant managers believe that the recent alpha pullback is within a normal range and is not indicative of issues with stock selection strategies [7] Group 3: Future Expectations - Historical data suggests that after periods of alpha decline, there is a high probability of recovery in subsequent market conditions, even if indices experience profit-taking [7][10] - Investors are encouraged to remain optimistic about the potential for recovery in quant management products despite current challenges [7]

Core Viewpoint - The A-share market has reached significant milestones, with the Shanghai Composite Index hitting 3741 points, marking a new high since August 2015, and the total market capitalization of A-shares surpassing 100 trillion yuan for the first time in history [1][3]. Market Performance - The Shanghai Composite Index has faced minimal resistance beyond 3731 points, indicating a strong upward trend [3]. - The total market capitalization of A-shares exceeded 100 trillion yuan, a historic achievement [1]. ETF Performance - The top-performing ETF over the past year is the CSI 2000 Enhanced ETF (159552), which recorded a remarkable increase of 102.16% [3]. - The CSI 2000 Enhanced ETF (159552) has achieved a total return of 106.19% since September 24, 2024, outperforming the index by 27.42% [5][6]. - The CSI 2000 Enhanced ETF has attracted over 10 billion yuan in net inflows this year, making it one of the top funds in terms of capital absorption [6]. Investment Strategies - The strong performance of small-cap stocks reflects a significant inflow of quantitative funds and an increase in market risk appetite [4][9]. - The CSI 2000 Enhanced ETF and the CSI 1000 Enhanced ETF (159680) have demonstrated their ability to outperform the index during both rising and falling markets [7][9]. - The growing demand for enhanced index strategies is driven by the challenges of stock selection and volatility in small-cap investments [9][11]. Market Dynamics - The margin trading balance has been rising, exceeding 2 trillion yuan for two consecutive weeks, indicating increased market activity and attracting more leveraged funds [11]. - Small-cap stocks are favored due to their agility in responding to market changes, making them attractive to investors [11].

Core Insights - The report highlights that the market indices have shown positive performance, with the Shanghai Composite Index rising by 1.70% and the Shenzhen Component Index increasing by 4.55% as of August 15, 2025, marking a new high since 2022 [5][8] - The report emphasizes the construction of an AI-based low-frequency index enhancement strategy using deep learning frameworks, which has resulted in significant outperformance of enhanced index portfolios compared to their respective benchmarks [5][13] Market Index Performance - As of August 15, 2025, the Shanghai Composite Index increased by 1.70%, the Shenzhen Component Index by 4.55%, and the CSI 300 Index by 2.37%, with the Shanghai Composite Index reaching a new high since 2022 [5][9] - Year-to-date performance shows the CSI 300 Index up by 6.8%, while the CSI 300 enhanced portfolio has risen by 17.1%, yielding an excess return of 10.3% [5][17] - The CSI 500 Index has increased by 14.7% year-to-date, with its enhanced portfolio up by 21.6%, resulting in an excess return of 6.9% [5][22] - The CSI 1000 Index has seen a year-to-date increase of 19.5%, with its enhanced portfolio rising by 29.4%, leading to an excess return of 9.9% [5][29] Enhanced Portfolio Performance - The report details the performance of the CSI 300 enhanced portfolio, which has achieved a return of 17.1% year-to-date compared to the CSI 300's 6.8% [17][18] - The CSI 500 enhanced portfolio has delivered a year-to-date return of 21.6%, outperforming the CSI 500's 14.7% [22][23] - The CSI 1000 enhanced portfolio has recorded a year-to-date return of 29.4%, significantly higher than the CSI 1000's 19.5% [29][30] Sector Performance - The report notes that the telecommunications, electronics, and non-bank financial sectors performed well this week, with weekly returns of 7.66%, 7.02%, and 6.48% respectively [9][10] - Conversely, the banking, steel, and textile sectors underperformed, with weekly returns of -3.19%, -2.04%, and -1.37% respectively [9][10]

- The report discusses a multi-factor model suitable for the constituents of the CSI 300 Index, combined with a small-cap high-growth portfolio as an external satellite strategy to improve the performance of the CSI 300 enhanced strategy[1][3][5] - The internal part of the enhanced strategy uses a multi-factor model based on fundamental and momentum indicators, including factors such as ROE, ROE YoY, SUE, expected net profit adjustment, accelerated growth, cash flow ratio, value (dividend yield and BP equal weight composite), momentum, buy-in strength after opening, and large order-driven rise[16][17] - The external part of the enhanced strategy uses a small-cap high-growth portfolio, constructed using factors such as SUE, EAV, expected net profit adjustment, cumulative R&D investment, PB_INT, small-cap, late trading volume ratio, and large order net buy-in ratio after opening[35][36] - The internal multi-factor model shows more stable stock selection performance within the CSI 300 Index constituents compared to the all-A multi-factor model, with higher IC and RankIC information ratios[16][17] - The small-cap high-growth portfolio has an annualized return of 25.0% since 2016, with an annualized excess return of 24.4% relative to the CSI 300 Index, but also higher tracking error[35][36] - The GARP strategy, which balances growth potential and reasonable pricing, is also considered as an external satellite strategy, showing an annualized return of 20.9% for the GARP 20 portfolio and 17.4% for the GARP 50 portfolio since 2016[39][40][42] - Combining the internal multi-factor model and external satellite strategies (small-cap high-growth or GARP) can significantly improve the performance of the CSI 300 enhanced strategy, with annualized excess returns not less than 10% and information ratios above 2.0 since 2016[29][45][55] Model and Factor Construction Process - **Internal Multi-Factor Model**: Constructed using fundamental and momentum indicators, including ROE, ROE YoY, SUE, expected net profit adjustment, accelerated growth, cash flow ratio, value (dividend yield and BP equal weight composite), momentum, buy-in strength after opening, and large order-driven rise[16][17] - **Small-Cap High-Growth Portfolio**: Constructed using factors such as SUE, EAV, expected net profit adjustment, cumulative R&D investment, PB_INT, small-cap, late trading volume ratio, and large order net buy-in ratio after opening[35][36] - **GARP Strategy**: Constructed by excluding high-risk stocks, using PB and dividend yield as value factors, and ROE, SUE, EAV, expected net profit adjustment, and two-year compound growth rate as growth factors, selecting the top 20 or 50 stocks based on composite scores[41][42] Model and Factor Performance Metrics - **Internal Multi-Factor Model**: IC monthly average 6.36%, IC monthly win rate 67.0%, annualized ICIR 1.67; RankIC monthly average 7.53%, RankIC monthly win rate 72.2%, annualized ICIR 2.00[17] - **Small-Cap High-Growth Portfolio**: Annualized return 25.0%, annualized excess return 24.4%, tracking error 20.3%, information ratio 1.21, relative drawdown 39.6%, monthly win rate 61.4%[36] - **GARP 20 Portfolio**: Annualized return 20.9%, annualized excess return 20.3%, tracking error 15.8%, information ratio 1.26, relative drawdown 36.0%[42] - **GARP 50 Portfolio**: Annualized return 17.4%, annualized excess return 16.8%, tracking error 14.6%, information ratio 1.14, relative drawdown 37.2%[42] Combined Strategy Performance - **Internal 20% + External 10% (Small-Cap High-Growth)**: Annualized excess return 11.7%, information ratio 2.35, tracking error 5.2%, relative drawdown 21.9%[45][48] - **Internal 20% + External 10% (GARP)**: Annualized excess return 11.3%, information ratio 2.41, tracking error 4.3%, relative drawdown 5.8%[50][53]

Core Viewpoint - The market is experiencing a significant increase in risk appetite, with a notable rise in small-cap growth stocks, supported by a high level of margin financing that has returned to over 2 trillion yuan for the first time since 2015, although its market share has decreased [1][3][5]. Group 1: Market Performance - The three major indices opened higher on August 12, with the Shanghai Composite Index continuing to strengthen after reaching a new high since 2022 [1]. - As of August 11, the margin financing balance has remained above 2 trillion yuan for four consecutive trading days, marking a significant return to this level [1][3]. Group 2: Margin Financing Insights - Despite the high absolute value of margin financing, its proportion of the A-share market's circulating market value is only 2.30%, less than half of the 4.73% seen in April 2015, indicating a healthier leverage structure [3]. - This situation suggests that there may still be marginal incremental capital supporting the market, with leverage levels not yet reaching alarm thresholds [3]. Group 3: Investment Strategy - The current market dynamics favor small-cap growth stocks, which are particularly sensitive to changes in liquidity and risk appetite, as evidenced by the performance of the CSI 1000 index, which has risen 16.55% year-to-date compared to the 8.82% increase of the Shanghai Composite Index [5]. - The 1000 ETF Enhanced (159680) has seen a year-to-date net value increase of 25.25%, significantly outperforming its benchmark, with a substantial inflow of 213 million shares over the year [8]. - The strategy of using index enhancement may be beneficial for investors looking to balance their portfolios while capturing both beta and alpha returns in the small-cap sector [10]. Group 4: Future Considerations - The market's increasing heat and the gains across various sectors suggest that a refined approach to portfolio rebalancing may be prudent, particularly through low-cost dollar-cost averaging or phased entry strategies [11].

Group 1 - The fund is named "E Fund Shanghai Stock Exchange Science and Technology Innovation Board Comprehensive Enhanced Strategy ETF" and is a type of open-ended index fund [23] - The fund will be available for subscription from August 18 to August 22, 2025, with both online and offline cash subscription options [2][23] - The maximum fundraising scale for the fund is set at 2 billion RMB, excluding interest and subscription fees [5][23] Group 2 - Investors must have a Shanghai Stock Exchange A-share account or a securities investment fund account to subscribe to the fund [3][44] - The subscription fee for the fund will not exceed 0.80% of the subscribed amount [4][28] - The fund's investment objective is to pursue returns that exceed the performance benchmark while controlling the average tracking deviation and annualized tracking error [24][25] Group 3 - The fund's underlying index is the Shanghai Stock Exchange Science and Technology Innovation Board Comprehensive Index, which includes stocks listed on the Science and Technology Innovation Board [12][13] - The fund will be managed by E Fund Management Co., Ltd., with Ping An Bank as the custodian [1][64] - The fund's shares will be issued at an initial value of 1 RMB per share [23]