日迈月征，四时轮转。在这春潮涌动、辞旧迎新的美好时刻，我代表国联基金，向一直以来关心与支持公司发 展的广大投资者、合作伙伴、全体员工及家属，致以最诚挚的新春问候！ 回望2025年，中国资本市场走出了结构鲜明、改革深化的特色行情，A股与债券市场在时代变革与产业升级中 呈现出不同的发展特征，为基金行业带来了全新的发展机遇。这一年，行业与资本市场同频共振，在改革浪潮 中经历考验、实现成长，每一步发展都离不开市场环境的赋能与行业自身的坚守。 从A股市场来看，2025年是结构性机遇凸显、权益资产价值回归的一年，市场整体呈现出"科技主线领航、多板 块多点开花"的鲜明格局。AI算力基建落地、自主可控芯片技术突破、人形机器人产能释放等产业红利，推动 半导体、人工智能、高端装备等硬科技赛道持续走强，成为市场核心驱动力；同时资源、互联网、创新药、新 消费板块同步发力，走出独立行情，为权益投资创造了广阔的选股空间与操作弹性。 债券市场方面，2025年则呈现机遇与挑战并存、产品创新加速的特征。一方面，债券型ETF实现爆发式增长， 规模增幅高达3.76倍，科创债ETF等创新产品填补市场空白，推动债券市场工具化、指数化发展迈上新台阶， ...

Investment Rating - The report indicates a positive outlook for the market, particularly for the 中证 1000 index, which has shown a significant increase of 8.68% during the period analyzed [2]. Core Insights - The report highlights a clear differentiation in index beta, suggesting that alpha returns are expected to be promising post-holiday [1]. - The 中证 1000 index has a dynamic price-to-earnings ratio of 50.27, placing it in the 95.5 percentile over the past five years, indicating a notable upward trend [2]. - The report notes that the trading volume in the market reached a substantial 4 trillion, providing a favorable liquidity environment for mid-cap stocks [39]. Summary by Sections Market Performance - The沪深 300 index experienced a slight increase of 1.65% from December 31, 2025, to January 30, 2026, with a dynamic P/E ratio of 14.20, which is at the 60.14 percentile for the last five years [1]. - In the same period, the 中证 1000 index rose by 8.68%, with a dynamic P/E ratio of 50.27, indicating a strong performance compared to historical data [2]. Strategy Performance - For the沪深 300 index, 90% of the products achieved positive monthly excess returns, with an average excess return of 2.10% in January 2026 [15]. - In the 中证 1000 index, over 60% of the products reported positive monthly excess returns, with an average excess return of 0.83% [24]. Future Outlook - The report anticipates that as the market cools down, strategies focused on excess returns are likely to perform well, encouraging investors to maintain a positive outlook for future market conditions [39].

Core Insights - The report emphasizes the construction of an AI-driven low-frequency index enhancement strategy using deep learning frameworks to build alpha and risk models [3][15] - The market indices showed mixed performance, with the Shanghai Composite Index declining by 0.44% and the Shenzhen Component Index dropping by 1.62% as of January 30, 2026 [6][9] - The report provides detailed performance metrics for various index enhancement funds, highlighting their excess returns compared to their respective benchmarks [12][13] Market Index Performance - As of January 30, 2026, the Shanghai Composite Index was at 4117.9 points, down 0.44% for the week, while the Shenzhen Component Index was at 14205.9 points, down 1.62% [10] - The CSI 300 Index increased by 0.08% to 4706.3 points, while the CSI 500 Index decreased by 2.56% to 8370.5 points [10] - The report notes that the oil and petrochemical, telecommunications, and coal industries performed well, with weekly returns of 7.95%, 5.83%, and 3.68% respectively [10][11] Index Enhancement Fund Performance - The CSI 300 index enhancement fund had an excess return range from -1.05% to 1.08%, with a median of -0.04% for the week ending January 30, 2026 [12][13] - The CSI 500 index enhancement fund showed a median excess return of 0.42%, with a maximum of 1.85% [12][13] - Year-to-date, the CSI 300 index enhancement fund has an excess return of -0.4%, while the CSI 500 index enhancement fund has an excess return of -2.6% [19][25] Tracking Portfolio Performance - The report outlines the use of deep learning frameworks to create tracking portfolios for the CSI 300, CSI 500, and CSI 1000 indices, with a weekly rebalancing strategy [15][19][23] - The CSI 300 index enhancement portfolio has a year-to-date return of 1.2%, while the CSI 500 index enhancement portfolio has a return of 9.5% [19][25] - The report indicates that the tracking error for the CSI 300 index enhancement strategy is 1.2% as of January 30, 2026 [20]

Core Viewpoint - The article discusses the current market volatility and suggests that instead of chasing rapidly changing investment trends, investors should consider index-enhanced funds as a pragmatic strategy to achieve returns that exceed market averages [2]. Group 1: Index-Enhanced Funds - Index-enhanced funds are designed to actively manage investments while passively tracking an index, aiming to achieve both beta returns from the index and alpha returns through enhancement strategies [3]. - When selecting index-enhanced funds, it is crucial to evaluate their historical net asset value performance since inception, as past performance can provide insights into potential future returns [5]. - The article emphasizes the importance of understanding the enhancement strategy before making a selection, as any strategy may experience periods of underperformance [7]. Group 2: Performance Metrics - The example of the Zhongtai CSI 300 Index Enhanced Fund illustrates that since its inception on April 1, 2020, the A share's net asset value growth rate reached 69.63%, significantly outperforming the benchmark growth rate of 24.85% by 44.78% [5][9]. - The fund consistently generated excess returns relative to its benchmark across all complete half-year periods since its establishment, indicating stable performance in various market conditions [5]. - The article suggests that a fund's ability to generate consistent small victories over time is more valuable than sporadic outstanding performance in a single year [5].

Group 1 - The report highlights the significant growth in the issuance of technology innovation bonds (科创债) following the announcement by the People's Bank of China in March 2025, with AAA-rated bonds seeing issuance rise from 20.3 billion yuan in March to 98.8 billion yuan in July 2025, and peaking at 119 billion yuan in November 2025 [4][7] - The average yield for 1-year AA-rated technology innovation bonds was 1.94% in 2025, while the 5-year AA-rated bonds had an average yield of 2.42%, with a peak yield spread of 61 basis points observed on October 10 [12][14] - The report notes that the secondary market saw a significant increase in trading volume for AA-rated technology innovation bonds, with monthly trading volume rising from 33.9 billion yuan in March to 61.3 billion yuan in July 2025 [10][12] Group 2 - The report indicates that multiple technology innovation bond ETFs were launched starting in July 2025, with the highest annualized return of 3.1% recorded by the Invesco CSI AAA Technology Innovation Corporate Bond ETF [23][24] - The report provides a detailed performance analysis of 24 technology innovation bond ETFs, showing that the average annualized return can be enhanced by 58 basis points using a 2-year riding strategy [60][63] - The report identifies that the Invesco CSI AAA Technology Innovation Corporate Bond ETF and the Fortune CSI AAA Technology Innovation Corporate Bond ETF are among the top performers, while other ETFs can benefit from a riding strategy to manage volatility and drawdown [27][63] Group 3 - The report discusses the construction of a portfolio consisting of 72% AAA-rated and 28% AA-rated technology innovation bonds, which is adjusted bi-weekly, showing that the 1-3 year bonds have the highest Sharpe ratio of 2 [30][31] - The report emphasizes that the riding strategy across different durations (2, 5, and 7 years) yields higher Sharpe ratios, with the 2-year riding strategy achieving a Sharpe ratio of 1.92 and an annualized return of 2.6% [38][39] - The report concludes that the 1-3 year technology innovation bond ETFs performed relatively well, while the longer 10-year bonds showed less favorable returns [46][48]

Core Viewpoint - The A-shares market has experienced a significant bull market over the past year, with a shift in investment focus from "chasing returns" to "selecting long-term core assets" as the market transitions from broad-based gains to differentiation [2] Group 1: Scale and Fund Behavior - Since the launch of the first CSI A500 ETF in September 2024, the total scale of A500-related ETFs and linked products has exceeded 160 billion yuan, marking it as one of the fastest-growing broad-based indices in the past decade [3] - In December 2025, the A500 ETF saw nearly 100 billion yuan in net subscriptions, primarily concentrated in the most liquid top products, indicating a strong institutional investment characteristic [3][5] - The rapid expansion of A500 ETF scale reflects institutional recognition of the index's investment value, as it is not driven by short-term sentiment or retail trading [5] Group 2: Quantitative and Private Equity Perspective - The increase in the number of A500 index-enhanced private equity products in 2025 directly reflects professional investment institutions' judgment on the index's "tradeability" [7] - The A500 index's structure is more favorable for quantitative models, with a broader coverage and a balanced industry allocation, making it a suitable base for beta strategies [10] - A500's characteristics allow for stable excess returns without significantly increasing systemic risk, positioning it as a new core index for quantitative institutions [11] Group 3: Importance of A500's Allocation Value - A500 has become a key "core equity vehicle" in the current market, offering threefold allocation value: as a central equity asset, as a quality base for alpha generation, and as a point of convergence for policy and capital preferences [12] - The rapid development of A500-related products indicates a clear market demand for balanced broad-based indices, shifting the focus from "whether to pay attention to A500" to "how much weight to allocate and how to enhance return efficiency" [12]

Group 1 - The core viewpoint of the article highlights a significant acceleration in public fund issuance as of January 15, 2026, with 78 new funds launched, including 6 "sunshine funds" that closed early, indicating a proactive approach by institutions to capitalize on economic transformation opportunities [1][2] - FOF (Fund of Funds) and technology, along with high-end manufacturing thematic funds, are the main drivers of this issuance, reflecting a strong demand for selective stocks and industry quant products that sold out in a day [1][2] - The A-share market showed mixed performance on January 15, with the Shanghai Composite Index down 0.33% to 4112.6 points, while the Shenzhen Component Index and the ChiNext Index rose by 0.41% and 0.56%, respectively, amidst a total market turnover of 2.94 trillion yuan [1] Group 2 - On January 15, 2026, four new funds were launched, primarily equity and FOF funds, with the Penghua CSI Industrial Nonferrous Metals Theme ETF targeting a fundraising goal of 5 billion yuan [2] - In 2025, structured market conditions led to impressive performance for index-enhanced strategies, with 810 products achieving an average annual return of 45.08% and 88.02% of them generating positive excess returns [2] - The end of large public collective funds by the end of 2025, combined with tightened approval for public fund licenses, has intensified pressure on brokerage asset management, leading to a focus on "fixed income+" and multi-asset strategies to stabilize the basic market [2] Group 3 - A detailed list of new funds launched on January 15, 2026, includes various funds with their respective target amounts and investment types, such as the Pengnong Central Asia Industrial Nonferrous Metals Theme ETF with a target of 5 billion yuan [3] - The article also provides a comprehensive overview of fund dividends, with 89 funds distributing dividends, the highest being 2.73 yuan per 10 shares for the ICBC Credit Suisse China Opportunity Global Allocation Equity Fund [4][5]

Quantitative Models and Construction Methods - **Model Name**: CSI 300 Enhanced Portfolio **Model Construction Idea**: The model aims to enhance the performance of the CSI 300 Index by leveraging quantitative strategies to generate excess returns over the benchmark index[5][9][15] **Model Construction Process**: The portfolio is constructed by applying quantitative stock selection and weighting methodologies to the CSI 300 Index constituents. The process involves identifying stocks with favorable factor exposures and optimizing the portfolio to maximize risk-adjusted returns while maintaining a low tracking error relative to the benchmark[9][15] **Model Evaluation**: The model demonstrated strong performance with positive excess returns over the benchmark index, indicating effective factor utilization and portfolio construction[15] - **Model Name**: CSI 500 Enhanced Portfolio **Model Construction Idea**: Similar to the CSI 300 Enhanced Portfolio, this model focuses on enhancing the performance of the CSI 500 Index by employing quantitative strategies[5][9][15] **Model Construction Process**: The portfolio is built by selecting stocks from the CSI 500 Index based on quantitative factors and optimizing the portfolio to achieve excess returns while controlling tracking error[9][15] **Model Evaluation**: The model underperformed the benchmark index during the observed period, suggesting potential challenges in factor effectiveness or market conditions[15] - **Model Name**: CSI 1000 Enhanced Portfolio **Model Construction Idea**: This model targets the CSI 1000 Index, aiming to generate excess returns through quantitative enhancements[5][9][15] **Model Construction Process**: The portfolio construction involves selecting stocks from the CSI 1000 Index using quantitative factors and optimizing the portfolio for risk-adjusted returns and low tracking error[9][15] **Model Evaluation**: The model showed a slight underperformance relative to the benchmark index, indicating room for improvement in factor application or portfolio optimization[15] - **Model Name**: GARP Portfolio **Model Construction Idea**: The GARP (Growth at a Reasonable Price) portfolio combines growth and valuation factors to identify stocks with strong growth potential at reasonable valuations[32] **Model Construction Process**: Stocks are selected based on a combination of growth metrics (e.g., earnings growth) and valuation metrics (e.g., price-to-earnings ratio). The portfolio is then optimized to balance growth and valuation exposures[32] **Model Evaluation**: The portfolio achieved positive excess returns over the CSI 300 Index, demonstrating the effectiveness of the GARP strategy in the observed period[32] - **Model Name**: Small-Cap Growth Portfolio **Model Construction Idea**: This portfolio focuses on small-cap stocks with strong growth characteristics, aiming to capture the growth premium in the small-cap segment[37] **Model Construction Process**: Stocks are selected from the small-cap universe based on growth factors such as earnings growth and revenue growth. The portfolio is optimized to maximize growth exposure while managing risk[37] **Model Evaluation**: The portfolio delivered positive excess returns over the micro-cap index, indicating the effectiveness of the growth factor in the small-cap segment[37] Model Backtesting Results - **CSI 300 Enhanced Portfolio**: Weekly return 4.69%, excess return 1.90%, tracking error 4.71%, maximum drawdown 1.68%[9][15][22] - **CSI 500 Enhanced Portfolio**: Weekly return 6.34%, excess return -1.58%, tracking error 4.07%, maximum drawdown 3.11%[9][15][16] - **CSI 1000 Enhanced Portfolio**: Weekly return 6.17%, excess return -0.86%, tracking error 5.31%, maximum drawdown 4.45%[9][15][18] - **GARP Portfolio**: Weekly return 3.62%, excess return 0.84%, tracking error 13.93%, maximum drawdown 4.04%[32][33] - **Small-Cap Growth Portfolio**: Weekly return 4.95%, excess return 0.49%, tracking error 11.60%, maximum drawdown 9.76%[37][40] Quantitative Factors and Construction Methods - **Factor Name**: Market Capitalization (Size) Factor **Factor Construction Idea**: This factor captures the size effect, where smaller companies tend to outperform larger companies over time[42] **Factor Construction Process**: Stocks are ranked by their market capitalization, and the top 10% (large-cap) and bottom 10% (small-cap) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the size factor's performance[41][42] **Factor Evaluation**: The factor showed mixed performance, with large-cap stocks outperforming small-cap stocks in the observed period[42] - **Factor Name**: Price-to-Book Ratio (PB) Factor **Factor Construction Idea**: This factor identifies undervalued stocks based on their price-to-book ratios[42] **Factor Construction Process**: Stocks are ranked by their PB ratios, and the top 10% (high PB) and bottom 10% (low PB) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the PB factor's performance[41][42] **Factor Evaluation**: The factor underperformed during the observed period, with high PB stocks outperforming low PB stocks[42] - **Factor Name**: Expected Net Profit Adjustment Factor **Factor Construction Idea**: This factor captures the impact of expected net profit adjustments on stock performance[53] **Factor Construction Process**: Stocks are ranked by their expected net profit adjustments, and the top 10% (high adjustment) and bottom 10% (low adjustment) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the factor's performance[41][53] **Factor Evaluation**: The factor delivered positive returns, indicating its effectiveness in identifying stocks with favorable profit adjustments[53] Factor Backtesting Results - **Market Capitalization (Size) Factor**: Multi-market excess returns: -0.79% (All Market), 4.83% (CSI 300), -5.59% (CSI 500), -2.47% (CSI 1000)[42][43][48] - **Price-to-Book Ratio (PB) Factor**: Multi-market excess returns: -4.01% (All Market), -5.52% (CSI 300), -6.06% (CSI 500), -5.68% (CSI 1000)[42][43][48] - **Expected Net Profit Adjustment Factor**: Multi-market excess returns: 0.57% (All Market), 0.86% (CSI 300), 1.89% (CSI 500), -0.58% (CSI 1000)[53][54][55]

Market Performance - In 2025, A-shares and Hong Kong stocks had their best performance in the last five years, with A-shares rising 24.60% and Hong Kong's Hang Seng Index increasing by 27.77% [4][9][23]. - The ChiNext Index surged by 50% in Q3, marking the largest quarterly increase in the last decade [7]. - The global stock market also saw an overall increase of 22.43% in 2025 [23]. A-shares Breakdown - The CSI 300 Index rose by 17.66%, while the CSI 500 and CSI 1000 increased by 30.39% and 27.49%, respectively [10][11][12]. - Growth stocks outperformed value stocks in 2025, with the CSI 300 Growth Index up 29.52% compared to the CSI 300 Value Index's 6.41% [20][21]. Hong Kong Market Insights - The Hong Kong stock market outperformed A-shares, with the technology sector rising by 34.97% [23]. - The Hang Seng Dividend Low Volatility Index increased by 18.97%, indicating strong performance across various sectors [23]. Global Market Context - Since the Federal Reserve's first interest rate cut on September 19, 2024, global stock indices have risen by 24.62%, with A-shares increasing by 60.66% and Hong Kong stocks by 45.13% [24]. - The easing of monetary policy has led to increased liquidity in global markets, benefiting A-shares and Hong Kong stocks [24]. Investment Strategy Performance - The Index Enhancement Strategy achieved a 23.16% increase in 2025, outperforming both the CSI 300 and CSI 800 indices [28][29]. - The Active Selection Strategy also significantly outperformed the CSI 300, with a 27% increase in 2025 [47]. Investor Returns - By the end of 2025, approximately 88.65% of holders of the Ding series advisory combinations were in profit, significantly higher than the average profit rate of individual investors [53][58]. - The report indicated that 38.2% of advisory investors chose to reinvest, reflecting confidence in the advisory services [54]. Company Achievements - The company maintained a consistent engagement with its audience, providing over 100,000 words of original content and responding to approximately 45,000 inquiries in 2025 [68]. - The company received multiple awards for its advisory services, including the prestigious "Golden Bull Award" for three consecutive years, highlighting its recognition in the investment advisory field [100].

- The report tracks the performance of single factors and major factor categories in quantitative stock selection models across different stock pools (CSI 300, CSI 500, CSI 1000, CSI 2000, and CSI All Share). It highlights the excess returns of factors over different time periods, such as weekly, monthly, and yearly[7][28][30] - Single factors with strong weekly excess returns in the CSI 300 stock pool include "120-day change in analysts' forecasted net profit FY3" (2.11%), "EPS 120-day change FY3" (2.05%), and "90-day institutional earnings forecast adjustment" (1.96%)[30] - In the CSI 500 stock pool, factors with strong weekly excess returns include "standardized unexpected single-quarter ROA with drift" (1.18%), "standardized unexpected single-quarter net profit with drift" (1.15%), and "standardized unexpected P/E ratio (parent company) with drift" (1.15%)[31] - For the CSI 1000 stock pool, factors with strong weekly excess returns include "single-quarter non-recurring ROA change" (1.26%), "1-minute path momentum" (1.15%), and "20-day intraday return" (1.02%)[32] - In the CSI 2000 stock pool, factors with strong weekly excess returns include "60-day shareholding ratio change" (1.74%), "5-day shareholding ratio change" (1.26%), and "EP 60-day change" (1.12%)[33] - Major factor categories with strong weekly excess returns in the CSI 300 stock pool include "analysts' surprise" (1.96%), "growth" (1.5%), and "analysts" (1.24%). For the full year, the best-performing categories are "profitability" (33.2%), "analysts' surprise" (30.25%), and "growth" (29.73%)[37][38][40] - In the CSI 500 stock pool, the best-performing major factor categories for the year are "growth" (16.68%), "analysts" (10.84%), and "analysts' surprise" (8.32%)[42][43] - For the CSI 1000 stock pool, the top-performing major factor categories for the year are "growth" (18.41%), "analysts" (10.99%), and "analysts' surprise" (10.86%)[47][48] - In the CSI 2000 stock pool, the best-performing major factor categories for the year are "market capitalization" (22.73%), "analysts' surprise" (20.54%), and "growth" (20.25%)[52][55] - The CSI All Share stock pool shows the best-performing major factor categories for the year as "market capitalization" (43.82%), "growth" (26.45%), and "analysts' surprise" (23.55%)[57][58] - The report also tracks the performance of index enhancement strategies based on multi-factor stock selection models. For the CSI 300 stock pool, the strategy achieved a weekly return of 2.38% and an annual return of 27.19%, with an excess return of 8.84% and a maximum drawdown of -3.15%[59][60] - For the CSI 500 stock pool, the strategy achieved a weekly return of 3.59% and an annual return of 31.54%, with an excess return of 1.28% and a maximum drawdown of -4.76%[60] - The CSI 1000 stock pool's strategy achieved a weekly return of 3% and an annual return of 42.2%, with an excess return of 14.54% and a maximum drawdown of -5.59%[66] - The CSI 2000 stock pool's strategy achieved a weekly return of 1.76% and an annual return of 63.87%, with an excess return of 27.31% and a maximum drawdown of -5.23%[66]